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Details about Lu Yang

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Workplace:College of Economics, Shenzhen University, (more information at EDIRC)

Access statistics for papers by Lu Yang.

Last updated 2020-10-07. Update your information in the RePEc Author Service.

Short-id: pya385


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Journal Articles

2020

  1. Can crude oil drive the co-movement in the international stock market? Evidence from partial wavelet coherence analysis
    The North American Journal of Economics and Finance, 2020, 53, (C) Downloads View citations (1)
  2. Dependence structures and risk spillover in China’s credit bond market: A copula and CoVaR approach
    Journal of Asian Economics, 2020, 68, (C) Downloads View citations (1)
  3. Forecasts of Value-at-Risk and Expected Shortfall in the Crude Oil Market: A Wavelet-Based Semiparametric Approach
    Energies, 2020, 13, (14), 1-24 Downloads
  4. Multi-Horizon Dependence between Crude Oil and East Asian Stock Markets and Implications in Risk Management
    Energies, 2020, 13, (2), 1-24 Downloads View citations (2)

2019

  1. Connectedness of economic policy uncertainty and oil price shocks in a time domain perspective
    Energy Economics, 2019, 80, (C), 219-233 Downloads View citations (6)
  2. Determinants of the Long-Term Correlation between Crude Oil and Stock Markets
    Energies, 2019, 12, (21), 1-15 Downloads
  3. Do anticorruption efforts affect banking system stability?
    The Journal of International Trade & Economic Development, 2019, 28, (3), 277-298 Downloads
  4. Modeling the joint dynamic value at risk of the volatility index, oil price, and exchange rate
    International Review of Economics & Finance, 2019, 59, (C), 137-149 Downloads View citations (2)

2018

  1. Dependence Structures and Systemic Risk of Government Securities Markets in Central and Eastern Europe: A CoVaR-Copula Approach
    Sustainability, 2018, 10, (2), 1-23 Downloads View citations (4)
  2. Dependence structures between Chinese stock markets and the international financial market: Evidence from a wavelet-based quantile regression approach
    The North American Journal of Economics and Finance, 2018, 45, (C), 116-137 Downloads View citations (4)
  3. Determinants of dependence structures of sovereign credit default swap spreads between G7 and BRICS countries
    International Review of Financial Analysis, 2018, 59, (C), 19-34 Downloads View citations (4)
  4. MODELING THE DYNAMICS OF INTERNATIONAL AGRICULTURAL COMMODITY PRICES: A COMPARISON OF GARCH AND STOCHASTIC VOLATILITY MODELS
    Annals of Financial Economics (AFE), 2018, 13, (03), 1-20 Downloads View citations (2)
  5. Market Sentiment and Investor Overreaction: Evidence from New York Listed Asian Country Exchange Traded Funds
    Emerging Markets Finance and Trade, 2018, 54, (11), 2455-2471 Downloads
  6. What determines the long-term correlation between oil prices and exchange rates?
    The North American Journal of Economics and Finance, 2018, 44, (C), 140-152 Downloads View citations (6)

2017

  1. Does the crude oil price influence the exchange rates of oil-importing and oil-exporting countries differently? A wavelet coherence analysis
    International Review of Economics & Finance, 2017, 49, (C), 536-547 Downloads View citations (26)

2016

  1. Hot Money and Business Cycle Volatility: Evidence from Selected ASEAN Countries
    Emerging Markets Finance and Trade, 2016, 52, (2), 351-363 Downloads View citations (3)
  2. Interdependence of foreign exchange markets: A wavelet coherence analysis
    Economic Modelling, 2016, 55, (C), 6-14 Downloads View citations (11)

2015

  1. Does Capital Account Liberalization Affect the Financial Stability: Evidence from China
    Journal of Reviews on Global Economics, 2015, 4, 152-158 Downloads
  2. Interdependence between the bond markets of CEEC-3 and Germany: A wavelet coherence analysis
    The North American Journal of Economics and Finance, 2015, 32, (C), 124-138 Downloads View citations (9)
  3. Modeling dependence structures among international stock markets: Evidence from hierarchical Archimedean copulas
    Economic Modelling, 2015, 51, (C), 308-314 Downloads View citations (17)
  4. This paper investigates whether the hot IPO effect persists post-IPO in China’s Growth Enterprise Market
    Journal of Reviews on Global Economics, 2015, 4, 43-50 Downloads

2014

  1. Dependence structure between CEEC-3 and German government securities markets
    Journal of International Financial Markets, Institutions and Money, 2014, 29, (C), 109-125 Downloads View citations (10)
  2. Gold prices and exchange rates: a time-varying copula analysis
    Applied Financial Economics, 2014, 24, (1), 41-50 Downloads View citations (10)
  3. Spillover effect of US monetary policy to ASEAN stock markets: Evidence from Indonesia, Singapore, and Thailand
    Pacific-Basin Finance Journal, 2014, 26, (C), 145-155 Downloads View citations (3)
  4. The Phillips Curve in the United States and Canada: A GARCHDCC Analysis
    Journal of Reviews on Global Economics, 2014, 3, 1-6 Downloads

2013

  1. Dependence structure among international stock markets: a GARCH--copula analysis
    Applied Financial Economics, 2013, 23, (23), 1805-1817 Downloads View citations (20)
  2. Dynamic Linkages among Foreign Exchange, Stock, and Commodity Markets in Northeast Asian Countries: Effects from Two Recent Crises
    Journal of Reviews on Global Economics, 2013, 2, 278-290 Downloads
  3. EU Accession, Financial Integration, and Contagion Effects: Dynamic Correlation Analysis of CEEC-3 Bond Markets
    Transition Studies Review, 2013, 20, (2), 179-189 Downloads View citations (6)
 
Page updated 2020-10-17