Details about Shixuan Wang

Access statistics for papers by Shixuan Wang.

Last updated 2023-11-14. Update your information in the RePEc Author Service.

Short-id: pwa799

Working Papers

2023

1. Do Professional Forecasters' Phillips Curves Incorporate the Beliefs of Others?
   Economics Discussion Papers, Department of Economics, University of Reading

2022

2. The Effects of Conventional and Unconventional Monetary Policy Shocks on US REITs Moments: Evidence from VARs with Functional Shocks
   Working Papers, University of Pretoria, Department of Economics

2021

3. Asymmetry, tail risk and time series momentum
   Post-Print, HAL View citations (2)
   See also Journal Article in International Review of Financial Analysis (2021)
4. Tail Dependence Structure of Metal Commodity Futures in London Metal Exchange
   Post-Print, HAL

2020

5. A functional time series analysis of forward curves derived from commodity futures
   Post-Print, HAL View citations (3)
   See also Journal Article in International Journal of Forecasting (2020)
6. Bear, Bull, Sidewalk, and Crash: The Evolution of the US Stock Market Using Over a Century of Daily Data
   Working Papers, University of Pretoria, Department of Economics
   See also Journal Article in Finance Research Letters (2021)
7. Vines climbing higher: Risk management for commodity futures markets using a regular vine copula approach
   Post-Print, HAL View citations (2)
   See also Journal Article in International Journal of Finance & Economics (2022)

2019

8. Contagion between Stock and Real Estate Markets: International Evidence from a Local Gaussian Correlation Approach
   Working Papers, University of Pretoria, Department of Economics View citations (4)
9. Moments-Based Spillovers across Gold and Oil Markets
   Working Papers, University of Pretoria, Department of Economics View citations (1)
   See also Journal Article in Energy Economics (2020)
10. Oil Price Uncertainty and Movements in the US Government Bond Risk Premia
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in The North American Journal of Economics and Finance (2020)

2017

11. Bitcoin and Global Financial Stress: A Copula-Based Approach to Dependence and Causality-in-Quantiles
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in The Quarterly Review of Economics and Finance (2018)
12. Decoding Chinese stock market returns: Three-state hidden semi-Markov model
    Post-Print, HAL View citations (10)
    See also Journal Article in Pacific-Basin Finance Journal (2017)
13. Structural breaks in panel data: Large number of panels and short length time series
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (4)
    See also Journal Article in Econometric Reviews (2019)

Journal Articles

2023

1. Improving automotive garage operations by categorical forecasts using a large number of variables
   European Journal of Operational Research, 2023, 306, (2), 893-908
2. Loss function-based change point detection in risk measures
   European Journal of Operational Research, 2023, 310, (1), 415-431
3. Modelling Australian electricity prices using indicator saturation
   Energy Economics, 2023, 120, (C) View citations (1)
4. The evolvement of momentum effects in China: Evidence from functional data analysis
   Research in International Business and Finance, 2023, 64, (C) View citations (1)
5. Time series momentum and reversal: Intraday information from realized semivariance
   Journal of Empirical Finance, 2023, 72, (C), 54-77

2022

6. An R-vine copula analysis of non-ferrous metal futures with application in Value-at-Risk forecasting
   Journal of Commodity Markets, 2022, 25, (C) View citations (2)
7. Inference in functional factor models with applications to yield curves
   Journal of Time Series Analysis, 2022, 43, (6), 872-894
8. Measuring Economic Uncertainty in China†
   Emerging Markets Finance and Trade, 2022, 58, (5), 1359-1389 View citations (2)
9. Measuring US regional economic uncertainty
   Journal of Regional Science, 2022, 62, (4), 1149-1178
10. Nonlinear contagion between stock and real estate markets: International evidence from a local Gaussian correlation approach
    International Journal of Finance & Economics, 2022, 27, (2), 2089-2109
11. Vines climbing higher: Risk management for commodity futures markets using a regular vine copula approach
    International Journal of Finance & Economics, 2022, 27, (2), 2438-2457
    See also Working Paper (2020)

2021

12. Asymmetry, tail risk and time series momentum
    International Review of Financial Analysis, 2021, 78, (C) View citations (2)
    See also Working Paper (2021)
13. Bear, Bull, Sidewalk, and Crash: The Evolution of the US Stock Market Using Over a Century of Daily Data
    Finance Research Letters, 2021, 43, (C) View citations (1)
    See also Working Paper (2020)
14. Market Integration between Turkey and Eurozone Countries
    Emerging Markets Finance and Trade, 2021, 57, (9), 2674-2686 View citations (1)
15. On the intraday return curves of Bitcoin: Predictability and trading opportunities
    International Review of Financial Analysis, 2021, 76, (C) View citations (9)

2020

16. A functional time series analysis of forward curves derived from commodity futures
    International Journal of Forecasting, 2020, 36, (2), 646-665 View citations (5)
    See also Working Paper (2020)
17. Dependence structure in the Australian electricity markets: New evidence from regular vine copulae
    Energy Economics, 2020, 90, (C) View citations (10)
18. Moments-based spillovers across gold and oil markets
    Energy Economics, 2020, 89, (C) View citations (23)
    See also Working Paper (2019)
19. Oil price uncertainty and movements in the US government bond risk premia
    The North American Journal of Economics and Finance, 2020, 52, (C) View citations (17)
    See also Working Paper (2019)
20. Sequential monitoring for changes from stationarity to mild non-stationarity
    Journal of Econometrics, 2020, 215, (1), 209-238 View citations (9)
21. Testing normality of data on a multivariate grid
    Journal of Multivariate Analysis, 2020, 179, (C) View citations (1)

2019

22. Decoding the Australian electricity market: New evidence from three-regime hidden semi-Markov model
    Energy Economics, 2019, 78, (C), 129-142 View citations (14)
23. Structural breaks in panel data: Large number of panels and short length time series
    Econometric Reviews, 2019, 38, (7), 828-855 View citations (13)
    See also Working Paper (2017)
24. The boomerang returns? Accounting for the impact of uncertainties on the dynamics of remanufacturing systems
    International Journal of Production Research, 2019, 57, (23), 7361-7394 View citations (16)

2018

25. Bitcoin and global financial stress: A copula-based approach to dependence and causality in the quantiles
    The Quarterly Review of Economics and Finance, 2018, 69, (C), 297-307 View citations (84)
    See also Working Paper (2017)

2017

26. Decoding Chinese stock market returns: Three-state hidden semi-Markov model
    Pacific-Basin Finance Journal, 2017, 44, (C), 127-149 View citations (9)
    See also Working Paper (2017)
27. Detecting at-Most-m Changes in Linear Regression Models
    Journal of Time Series Analysis, 2017, 38, (4), 552-590 View citations (5)
28. Return spillovers between white precious metal ETFs: The role of oil, gold, and global equity
    International Review of Financial Analysis, 2017, 52, (C), 316-332 View citations (73)
29. Understanding the Chinese stock market: international comparison and policy implications
    Economic and Political Studies, 2017, 5, (4), 441-455 View citations (5)