Details about Yaojie Zhang

Access statistics for papers by Yaojie Zhang.

Last updated 2025-04-07. Update your information in the RePEc Author Service.

Short-id: pzh1078

Journal Articles

2025

1. Forecasting Chinese Stock Market Volatility With Volatilities in Bond Markets
   Journal of Forecasting, 2025, 44, (2), 547-555
2. Forecasting Realized Volatility: The Choice of Window Size
   Journal of Forecasting, 2025, 44, (2), 692-705
3. Model specification for volatility forecasting benchmark
   International Review of Financial Analysis, 2025, 97, (C)

2024

4. Abnormal temperature and the cross-section of stock returns in China
   International Review of Financial Analysis, 2024, 94, (C) View citations (1)
5. Forecasting carbon prices under diversified attention: A dynamic model averaging approach with common factors
   Energy Economics, 2024, 133, (C) View citations (1)
6. Forecasting crude oil market volatility: A comprehensive look at uncertainty variables
   International Journal of Forecasting, 2024, 40, (3), 1022-1041 View citations (3)
7. Forecasting crude oil prices with global ocean temperatures
   Energy, 2024, 311, (C) View citations (1)
8. Forecasting crude oil returns with oil-related industry ESG indices
   Journal of Commodity Markets, 2024, 36, (C)
9. Forecasting stock market returns with a lottery index: Evidence from China
   Journal of Forecasting, 2024, 43, (5), 1595-1606
10. Forecasting stock returns with industry volatility concentration
    Journal of Forecasting, 2024, 43, (7), 2705-2730
11. Forecasting the equity premium using weighted regressions: Does the jump variation help?
    Empirical Economics, 2024, 66, (5), 2049-2082
12. Geopolitical risk exposure and stock returns: Evidence from China
    Finance Research Letters, 2024, 64, (C)
13. Industry volatility concentration and the predictability of aggregate stock market volatility
    International Review of Economics & Finance, 2024, 95, (C)
14. Industry volatility spillover and aggregate stock returns
    The European Journal of Finance, 2024, 30, (10), 1097-1126
15. Market Skewness and Stock Return Predictability: New Evidence from China
    Emerging Markets Finance and Trade, 2024, 60, (2), 233-244
16. Modelling and forecasting crude oil price volatility with climate policy uncertainty
    Palgrave Communications, 2024, 11, (1), 1-10 View citations (2)
17. Out‐of‐sample volatility prediction: Rolling window, expanding window, or both?
    Journal of Forecasting, 2024, 43, (3), 567-582 View citations (2)
18. Policy uncertainty, investor sentiment, and good and bad volatilities in the stock market: Evidence from China
    Pacific-Basin Finance Journal, 2024, 84, (C) View citations (5)
19. The predictability of carbon futures volatility: New evidence from the spillovers of fossil energy futures returns
    Journal of Futures Markets, 2024, 44, (4), 557-584 View citations (1)

2023

20. Climate risk exposure and the cross-section of Chinese stock returns
    Finance Research Letters, 2023, 55, (PB) View citations (5)
21. Default return spread: A powerful predictor of crude oil price returns
    Journal of Forecasting, 2023, 42, (7), 1786-1804 View citations (5)
22. Forecasting aggregate stock market volatility with industry volatilities: The role of spillover index
    Research in International Business and Finance, 2023, 65, (C) View citations (2)
23. Forecasting crude oil futures market returns: A principal component analysis combination approach
    International Journal of Forecasting, 2023, 39, (2), 659-673 View citations (11)
24. Forecasting crude oil market volatility using variable selection and common factor
    International Journal of Forecasting, 2023, 39, (1), 486-502 View citations (14)
25. Forecasting crude oil price returns: Can nonlinearity help?
    Energy, 2023, 262, (PB) View citations (4)
26. Forecasting crude oil prices: A reduced-rank approach
    International Review of Economics & Finance, 2023, 88, (C), 698-711 View citations (7)
27. Forecasting stock market realized volatility: the role of global terrorist attacks
    Applied Economics, 2023, 55, (22), 2551-2566
28. Forecasting stock market volatility: The sum of the parts is more than the whole
    Finance Research Letters, 2023, 55, (PA) View citations (1)
29. Geopolitical risk and stock market volatility: A global perspective
    Finance Research Letters, 2023, 53, (C) View citations (24)
30. Global economic policy uncertainty aligned: An informative predictor for crude oil market volatility
    International Journal of Forecasting, 2023, 39, (3), 1318-1332 View citations (18)
31. Hedging pressure momentum and the predictability of oil futures returns
    Economic Modelling, 2023, 121, (C) View citations (2)
32. New evidence of extreme risk transmission between financial stress and international crude oil markets
    Research in International Business and Finance, 2023, 64, (C) View citations (4)
33. Not all geopolitical shocks are alike: Identifying price dynamics in the crude oil market under tensions
    Resources Policy, 2023, 80, (C) View citations (10)
34. Predicting cryptocurrency returns for real-world investments: A daily updated and accessible predictor
    Finance Research Letters, 2023, 58, (PA)
35. Predicting stock realized variance based on an asymmetric robust regression approach
    Bulletin of Economic Research, 2023, 75, (4), 1022-1047
36. The predictability of iron ore futures prices: A product‐material lead–lag effect
    Journal of Futures Markets, 2023, 43, (9), 1289-1304

2022

37. Climate policy uncertainty and the stock return predictability of the oil industry
    Journal of International Financial Markets, Institutions and Money, 2022, 81, (C) View citations (36)
38. Detection of fraud statement based on word vector: Evidence from financial companies in China
    Finance Research Letters, 2022, 46, (PB) View citations (7)
39. Dynamic asymmetric impact of equity market uncertainty on energy markets: A time-varying causality analysis
    Renewable Energy, 2022, 196, (C), 535-546 View citations (21)
40. Forecasting Bitcoin volatility: A new insight from the threshold regression model
    Journal of Forecasting, 2022, 41, (3), 633-652 View citations (4)
41. Forecasting China's crude oil futures volatility: How to dig out the information of other energy futures volatilities?
    Resources Policy, 2022, 78, (C) View citations (4)
42. Forecasting crude oil market returns: Enhanced moving average technical indicators
    Resources Policy, 2022, 76, (C) View citations (5)
43. Forecasting crude oil market volatility: A newspaper-based predictor regarding petroleum market volatility
    Resources Policy, 2022, 79, (C) View citations (7)
44. Forecasting crude oil prices: do technical indicators need economic constraints?
    Quantitative Finance, 2022, 22, (8), 1545-1559 View citations (6)
45. Forecasting international equity market volatility: A new approach
    Journal of Forecasting, 2022, 41, (7), 1433-1457 View citations (22)
46. Forecasting realized volatility of Chinese stock market: A simple but efficient truncated approach
    Journal of Forecasting, 2022, 41, (2), 230-251 View citations (5)
47. Forecasting the Chinese Stock Market Volatility with G7 Stock Market Volatilities: A Scaled PCA Approach
    Emerging Markets Finance and Trade, 2022, 58, (13), 3639-3650 View citations (1)
48. Forecasting the Chinese stock market volatility: A regression approach with a t-distributed error
    Applied Economics, 2022, 54, (50), 5811-5826 View citations (4)
49. Forecasting the oil price realized volatility: A multivariate heterogeneous autoregressive model
    International Journal of Finance & Economics, 2022, 27, (4), 4770-4783
50. Forecasting the volatility of the German stock market: New evidence
    Applied Economics, 2022, 54, (9), 1055-1070 View citations (2)
51. Geopolitical risk trends and crude oil price predictability
    Energy, 2022, 258, (C) View citations (42)
52. How macro-variables drive crude oil volatility? Perspective from the STL-based iterated combination method
    Resources Policy, 2022, 77, (C) View citations (10)
53. Information connectedness of international crude oil futures: Evidence from SC, WTI, and Brent
    International Review of Financial Analysis, 2022, 81, (C) View citations (34)
54. Out-of-sample prediction of Bitcoin realized volatility: Do other cryptocurrencies help?
    The North American Journal of Economics and Finance, 2022, 62, (C) View citations (1)
55. To jump or not to jump: momentum of jumps in crude oil price volatility prediction
    Financial Innovation, 2022, 8, (1), 1-31 View citations (2)
56. Which predictor is more predictive for Bitcoin volatility? And why?
    International Journal of Finance & Economics, 2022, 27, (2), 1947-1961 View citations (12)

2021

57. Forecasting US stock market volatility: How to use international volatility information
    Journal of Forecasting, 2021, 40, (5), 733-768 View citations (13)
58. Forecasting crude oil prices: A scaled PCA approach
    Energy Economics, 2021, 97, (C) View citations (59)
59. Forecasting stock return volatility using a robust regression model
    Journal of Forecasting, 2021, 40, (8), 1463-1478 View citations (7)
60. Forecasting the volatility of Chinese stock market: An international volatility index
    International Journal of Finance & Economics, 2021, 26, (1), 1336-1350 View citations (2)
61. Good variance, bad variance, and stock return predictability
    International Journal of Finance & Economics, 2021, 26, (3), 4410-4423 View citations (10)
62. Intraday return predictability in China’s crude oil futures market: New evidence from a unique trading mechanism
    Economic Modelling, 2021, 96, (C), 209-219 View citations (10)
63. Realized skewness and the short-term predictability for aggregate stock market volatility
    Economic Modelling, 2021, 103, (C) View citations (14)

2020

64. Economic policy uncertainty and the Chinese stock market volatility: Novel evidence
    Economic Modelling, 2020, 87, (C), 24-33 View citations (71)
65. Forecasting global equity market volatilities
    International Journal of Forecasting, 2020, 36, (4), 1454-1475 View citations (65)
66. Forecasting the Chinese stock market volatility with international market volatilities: The role of regime switching
    The North American Journal of Economics and Finance, 2020, 52, (C) View citations (23)
67. Forecasting the aggregate stock market volatility in a data-rich world
    Applied Economics, 2020, 52, (32), 3448-3463 View citations (19)
68. Information transmission between gold and financial assets: Mean, volatility, or risk spillovers?
    Resources Policy, 2020, 69, (C) View citations (16)
69. Is implied volatility more informative for forecasting realized volatility: An international perspective
    Journal of Forecasting, 2020, 39, (8), 1253-1276 View citations (70)

2019

70. Economic constraints and stock return predictability: A new approach
    International Review of Financial Analysis, 2019, 63, (C), 1-9 View citations (37)
71. Economic policy uncertainty and the Chinese stock market volatility: new evidence
    Applied Economics, 2019, 51, (49), 5398-5410 View citations (49)
72. Forecasting crude oil prices with a large set of predictors: Can LASSO select powerful predictors?
    Journal of Empirical Finance, 2019, 54, (C), 97-117 View citations (155)
73. Forecasting oil price volatility: Forecast combination versus shrinkage method
    Energy Economics, 2019, 80, (C), 423-433 View citations (106)
74. Forecasting stock returns with cycle-decomposed predictors
    International Review of Financial Analysis, 2019, 64, (C), 250-261 View citations (11)
75. Forecasting stock returns: Do less powerful predictors help?
    Economic Modelling, 2019, 78, (C), 32-39 View citations (22)
76. Forecasting the Chinese stock volatility across global stock markets
    Physica A: Statistical Mechanics and its Applications, 2019, 525, (C), 466-477 View citations (10)
77. Forecasting the U.S. stock volatility: An aligned jump index from G7 stock markets
    Pacific-Basin Finance Journal, 2019, 54, (C), 132-146 View citations (30)
78. Geopolitical risk and oil volatility: A new insight
    Energy Economics, 2019, 84, (C) View citations (110)
79. Good, bad cojumps and volatility forecasting: New evidence from crude oil and the U.S. stock markets
    Energy Economics, 2019, 81, (C), 52-62 View citations (29)
80. Harnessing jump component for crude oil volatility forecasting in the presence of extreme shocks
    Journal of Empirical Finance, 2019, 52, (C), 40-55 View citations (122)
81. Improving forecasting performance of realized covariance with extensions of HAR-RCOV model: statistical significance and economic value
    Quantitative Finance, 2019, 19, (9), 1425-1438 View citations (8)
82. Interest rate level and stock return predictability
    Review of Financial Economics, 2019, 37, (4), 506-522 View citations (1)
83. Intraday momentum and stock return predictability: Evidence from China
    Economic Modelling, 2019, 76, (C), 319-329 View citations (41)
84. Out-of-sample prediction of the oil futures market volatility: A comparison of new and traditional combination approaches
    Energy Economics, 2019, 81, (C), 1109-1120 View citations (33)
85. Out‐of‐sample volatility prediction: A new mixed‐frequency approach
    Journal of Forecasting, 2019, 38, (7), 669-680 View citations (21)
86. Volatility forecasting: long memory, regime switching and heteroscedasticity
    Applied Economics, 2019, 51, (38), 4151-4163 View citations (11)

2018

87. Are low-frequency data really uninformative? A forecasting combination perspective
    The North American Journal of Economics and Finance, 2018, 44, (C), 92-108 View citations (18)
88. Does US Economic Policy Uncertainty matter for European stock markets volatility?
    Physica A: Statistical Mechanics and its Applications, 2018, 512, (C), 215-221 View citations (43)
89. Does default point vary with firm size?
    Applied Economics Letters, 2018, 25, (15), 1078-1082 View citations (1)
90. Forecasting oil futures price volatility: New evidence from realized range-based volatility
    Energy Economics, 2018, 75, (C), 400-409 View citations (48)
91. Forecasting the aggregate oil price volatility in a data-rich environment
    Economic Modelling, 2018, 72, (C), 320-332 View citations (64)
92. Forecasting the oil futures price volatility: Large jumps and small jumps
    Energy Economics, 2018, 72, (C), 321-330 View citations (57)
93. Forecasting the prices of crude oil using the predictor, economic and combined constraints
    Economic Modelling, 2018, 75, (C), 237-245 View citations (43)
94. Forecasting the prices of crude oil: An iterated combination approach
    Energy Economics, 2018, 70, (C), 472-483 View citations (100)
95. The pricing of loan insurance based on the Gram-Charlier option model
    China Finance Review International, 2018, 8, (4), 425-440

2017

96. Systematic risk and deposit insurance pricing
    China Finance Review International, 2017, 7, (4), 390-406 View citations (3)