Details about Lu Yang

Access statistics for papers by Lu Yang.

Last updated 2025-02-07. Update your information in the RePEc Author Service.

Short-id: pya385

Journal Articles

2025

1. From Economic Policy Uncertainty to Implied Market Volatility: Nothing to Fear?
   Journal of Futures Markets, 2025, 45, (2), 143-157 View citations (1)

2024

2. REVISITING THE “PURE†OIL-EXCHANGE CO-MOVEMENT FROM A TIME-DOMAIN PERSPECTIVE
   The Singapore Economic Review (SER), 2024, 69, (01), 183-202
3. Systemic risk and idiosyncratic networks among global systemically important banks
   International Journal of Finance & Economics, 2024, 29, (1), 58-75

2023

4. A Multiple Timescales Conditional Causal Analysis on the Carbon-Energy Relationship: Evidence from European and Emerging Markets
   Emerging Markets Finance and Trade, 2023, 59, (8), 2775-2785
5. Modeling the global sovereign credit network under climate change
   International Review of Financial Analysis, 2023, 87, (C) View citations (7)
6. Oil price bubbles: The role of network centrality on idiosyncratic sovereign risk
   Resources Policy, 2023, 82, (C) View citations (2)
7. Risk spillover from international financial markets and China's macro-economy: A MIDAS-CoVaR-QR model
   International Review of Economics & Finance, 2023, 84, (C), 55-69 View citations (1)
8. Sovereign default network and currency risk premia
   Financial Innovation, 2023, 9, (1), 1-22 View citations (4)

2022

9. Idiosyncratic information spillover and connectedness network between the electricity and carbon markets in Europe
   Journal of Commodity Markets, 2022, 25, (C) View citations (13)
10. Information disclosure ratings and continuing overreaction: Evidence from the Chinese capital market
    Journal of Business Research, 2022, 140, (C), 638-656 View citations (23)

2021

11. Housing market networks in China's major cities: a conditional causality approach
    International Journal of Emerging Markets, 2021, 17, (9), 2166-2185
12. Last hour momentum in the Chinese stock market
    China Finance Review International, 2021, 12, (1), 69-100
13. Systemic risk and economic policy uncertainty: International evidence from the crude oil market
    Economic Analysis and Policy, 2021, 69, (C), 142-158 View citations (16)
14. The role of the carbon market in relation to the cryptocurrency market: Only diversification or more?
    International Review of Financial Analysis, 2021, 77, (C) View citations (29)

2020

15. 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) View citations (50)
16. Dependence structures and risk spillover in China’s credit bond market: A copula and CoVaR approach
    Journal of Asian Economics, 2020, 68, (C) View citations (12)
17. Forecasts of Value-at-Risk and Expected Shortfall in the Crude Oil Market: A Wavelet-Based Semiparametric Approach
    Energies, 2020, 13, (14), 1-27 View citations (4)
18. Multi-Horizon Dependence between Crude Oil and East Asian Stock Markets and Implications in Risk Management
    Energies, 2020, 13, (2), 1-24 View citations (9)
19. Network structures and idiosyncratic contagion in the European sovereign credit default swap market
    International Review of Financial Analysis, 2020, 72, (C) View citations (25)

2019

20. Connectedness of economic policy uncertainty and oil price shocks in a time domain perspective
    Energy Economics, 2019, 80, (C), 219-233 View citations (94)
21. Determinants of the Long-Term Correlation between Crude Oil and Stock Markets
    Energies, 2019, 12, (21), 1-15 View citations (10)
22. Do anticorruption efforts affect banking system stability?
    The Journal of International Trade & Economic Development, 2019, 28, (3), 277-298 View citations (7)
23. 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 View citations (11)

2018

24. Dependence Structures and Systemic Risk of Government Securities Markets in Central and Eastern Europe: A CoVaR-Copula Approach
    Sustainability, 2018, 10, (2), 1-23 View citations (8)
25. 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 View citations (19)
26. 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 View citations (26)
27. 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 View citations (6)
28. 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 View citations (5)
29. 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 View citations (27)

2017

30. 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 View citations (101)

2016

31. Hot Money and Business Cycle Volatility: Evidence from Selected ASEAN Countries
    Emerging Markets Finance and Trade, 2016, 52, (2), 351-363 View citations (4)
32. Interdependence of foreign exchange markets: A wavelet coherence analysis
    Economic Modelling, 2016, 55, (C), 6-14 View citations (40)

2015

33. Does Capital Account Liberalization Affect the Financial Stability: Evidence from China
    Journal of Reviews on Global Economics, 2015, 4, 152-158 View citations (1)
34. 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 View citations (18)
35. Modeling dependence structures among international stock markets: Evidence from hierarchical Archimedean copulas
    Economic Modelling, 2015, 51, (C), 308-314 View citations (27)
36. 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

2014

37. Dependence structure between CEEC-3 and German government securities markets
    Journal of International Financial Markets, Institutions and Money, 2014, 29, (C), 109-125 View citations (13)
38. Gold prices and exchange rates: a time-varying copula analysis
    Applied Financial Economics, 2014, 24, (1), 41-50 View citations (15)
39. 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 View citations (12)
40. The Phillips Curve in the United States and Canada: A GARCHDCC Analysis
    Journal of Reviews on Global Economics, 2014, 3, 1-6

2013

41. Dependence structure among international stock markets: a GARCH--copula analysis
    Applied Financial Economics, 2013, 23, (23), 1805-1817 View citations (23)
42. 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
43. EU Accession, Financial Integration, and Contagion Effects: Dynamic Correlation Analysis of CEEC-3 Bond Markets
    Transition Studies Review, 2013, 20, (2), 179-189 View citations (7)