Shouyang Wang

Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences

China

SCHOLARLY PAPERS

23

DOWNLOADS
Rank 21,690

SSRN RANKINGS

Top 21,690

in Total Papers Downloads

2,187

SSRN CITATIONS
Rank 23,883

SSRN RANKINGS

Top 23,883

in Total Papers Citations

0

CROSSREF CITATIONS

0

Scholarly Papers (23)

1.

Market Timing Strategy in Dynamic Portfolio Selection: A Mean-Variance Formulation

Number of pages: 32 Posted: 06 Mar 2012
Jianjun Gao, Duan Li, Xiangyu Cui and Shouyang Wang
Shanghai University of Finance and Economics, Chinese University of Hong Kong, The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management and Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences
Downloads 386 (75,875)
Citation 1

Abstract:

Loading...

Market timing, Multi-period portfolio selection, Multi-period mean-variance formulation, Time cardinality

2.

Managing Carbon Footprints in Inventory Control

Number of pages: 25 Posted: 24 Jun 2010 Last Revised: 24 May 2014
Guowei Hua, T. C. E. Cheng and Shouyang Wang
Beijing Jiaotong University - School of Managment and Economics, Hong Kong Polytechnic University and Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences
Downloads 362 (81,756)
Citation 5

Abstract:

Loading...

inventory, carbon footprints, carbon emission trading, order quantity

3.

Time Cardinality Constrained Mean-Variance Dynamic Portfolio Selection

Number of pages: 30 Posted: 04 Aug 2009
Jianjun Gao, Shouyang Wang and Duan Li
Shanghai University of Finance and Economics, Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences and Chinese University of Hong Kong
Downloads 207 (147,024)
Citation 1

Abstract:

Loading...

Cardinality constraint, Dynamic programming, Management fees, Multi-period portfolio selection, Multi-period mean-variance formulation

4.

Modeling the Dynamics of Chinese Spot Interest Rates

Journal of Banking and Finance, Forthcoming
Number of pages: 44 Posted: 14 Oct 2008 Last Revised: 26 Nov 2010
Yongmiao Hong, Hai Lin and Shouyang Wang
Cornell University - Department of Economics, Victoria University of Wellington - School of Economics & Finance and Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences
Downloads 153 (192,415)
Citation 1

Abstract:

Loading...

Spot rate models, Term structure of interest rates, Market segmentation, Nonparametric specification tests

5.

Buyback Contracts with Price-Dependent Demands: Effects of Demand Uncertainty

European Journal of Operational Research 239 (2014) 663–673
Number of pages: 11 Posted: 03 Mar 2010 Last Revised: 10 May 2017
Chinese Academy of Sciences (CAS), The Hong Kong Polytechnic University - Institute of Textiles and Clothing, Hong Kong Polytechnic University, University of Texas at Dallas - Naveen Jindal School of Management and Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences
Downloads 145 (201,048)
Citation 1

Abstract:

Loading...

buyback contract, supply chain coordination

6.

Forecasting the Technical Range Volatility with Moving Average (TRV-MA) Modle

Number of pages: 16 Posted: 15 Nov 2009
Haibin Xie, Guohua Zou and Shouyang Wang
affiliation not provided to SSRN, Chinese Academy of Sciences - Academy of Mathematics and Systems Science and Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences
Downloads 137 (210,525)

Abstract:

Loading...

ARCH, GARCH, TRV-MA, Price Range

7.

Impacts of Border Carbon Adjustments on China's Sectoral Emissions: Simulations with a Dynamic Computable General Equilibrium Model

FEEM Working Paper No. 93.2011
Number of pages: 53 Posted: 25 Jan 2012
Chinese Academy of Sciences (CAS) - Institute of Systems Science, Academy of Mathematics and Systems Science, affiliation not provided to SSRN, Tianjin University - Ma Yinchu School of Economics, University of Chinese Academy of Sceinces and Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences
Downloads 125 (226,133)
Citation 1

Abstract:

Loading...

Border Carbon Tax Adjustments, Computable General Equilibrium Model, Carbon Emissions

8.

The ARCH-in-Mean Dose Work: Out-of-Sample Predictability of US Stock Market

Number of pages: 23 Posted: 25 Jan 2015
Haibin Xie and Shouyang Wang
University of International Business and Economics and Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences
Downloads 100 (265,235)

Abstract:

Loading...

ARCH-in-Mean, Return Predictability, Time-Varying Risk Premia, Market Inefficiency

9.

Reference Point Formation in Social Networks, Wealth Growth, and Inequality

Number of pages: 39 Posted: 04 Aug 2017 Last Revised: 25 Jun 2019
Youcheng Lou, Moris Strub, Duan Li and Shouyang Wang
Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Science, Southern University of Science and Technology - Business School, Chinese University of Hong Kong and Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences
Downloads 92 (279,924)
Citation 3

Abstract:

Loading...

Cumulative Prospect Theory (CPT), Reference Point, Coefficient of Aspiration, Wealth Growth, Wealth Inequality, Gini Coefficient

10.

The Return and Volatility Spillover between Carbon Futures Market and Global Financial, Energy and Commodity Futures Markets

Number of pages: 10 Posted: 02 Jun 2015
Ziran Li, Mengchen Ji, Han Qiao and Shouyang Wang
Chinese Academy of Sciences (CAS) - Center for Forecasting Science, Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences, University of Chinese Academy of Sceinces and Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences
Downloads 86 (292,222)

Abstract:

Loading...

Carbon futures, spillover, Granger causality test, ergodicity

Carbon-Based Border Tax Adjustments and China's International Trade: Analysis Based on a Dynamic Computable General Equilibrium Model

FEEM Working Paper No. 17.2013
Number of pages: 39 Posted: 14 Mar 2013 Last Revised: 18 Mar 2013
Ling Tang, Qin Bao, ZhongXiang Zhang and Shouyang Wang
Beijing University of Chemical Technology, Chinese Academy of Sciences (CAS) - Institute of Systems Science, Academy of Mathematics and Systems Science, Tianjin University - Ma Yinchu School of Economics and Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences
Downloads 52 (388,157)

Abstract:

Loading...

Border Carbon Tax Adjustments, International Trade, Dynamic Computable General Equilibrium Model, Price Determination Power, Technological Change

Carbon-Based Border Tax Adjustments and China's International Trade: Analysis Based on a Dynamic Computable General Equilibrium Model

Crawford School Research Paper No. 1301
Number of pages: 38 Posted: 13 Feb 2013 Last Revised: 26 Feb 2013
Ling Tang, Qin Bao, ZhongXiang Zhang and Shouyang Wang
Beijing University of Chemical Technology, Chinese Academy of Sciences (CAS) - Institute of Systems Science, Academy of Mathematics and Systems Science, Tianjin University - Ma Yinchu School of Economics and Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences
Downloads 32 (469,876)

Abstract:

Loading...

Border carbon tax adjustments, International trade, Dynamic computable general equilibrium model, Price determination power, Technological change

12.

Autoregressive Conditional Parameter Model and Applications

Number of pages: 32 Posted: 17 Mar 2016 Last Revised: 17 Aug 2017
Fengbin Lu and Shouyang Wang
Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences and Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences
Downloads 83 (298,614)

Abstract:

Loading...

time-varying conditional parameter, autoregressive conditional parameter model, autoregressive conditional beta, commodity market

13.

Forecasting US Stock Returns with Halloween Effect in Japanese Candlestick

Number of pages: 26 Posted: 10 Apr 2015
Haibin Xie and Shouyang Wang
University of International Business and Economics and Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences
Downloads 77 (312,250)

Abstract:

Loading...

Out-of-sample predictability; Halloween effect; Japanese candlestick

14.

The Oil Shock to Chinese Stock Market After Year 2003 Underreacting, Herding, or Both

Number of pages: 21 Posted: 01 May 2011
Haibin Xie, Shouyang Wang, Kun Dong and Xiangli Liu
University of International Business and Economics, Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 58 (362,851)

Abstract:

Loading...

Oil effect, Chinese stock market, Market predictability, Herding behavior

15.

Revisiting the Efficiency of Competitive Markets: The Incentive to Social Communication

Number of pages: 32 Posted: 28 Dec 2017
Youcheng Lou, Duan Li and Shouyang Wang
Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Science, Chinese University of Hong Kong and Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences
Downloads 37 (436,943)

Abstract:

Loading...

Efficiency, social communication, incentive, social welfare, individual welfare

16.

An Investigation of Return and Volatility Linkages Among Stock Markets: A Study of Emerging Asian and Selected Developed Countries

Journal of International Trade & Commerce, Vol.14, No.4, pp.1-29
Number of pages: 29 Posted: 15 Jan 2019
Roni Bhowmik and Shouyang Wang
Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Science and Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences
Downloads 21 (516,588)

Abstract:

Loading...

Causality Test, GARCH Models, Returns and Volatility Linkages, Stock Markets, VAR Model

17.

Autoregressive Conditional Parameter Model with Heteroskedastic Regressors

Number of pages: 19 Posted: 12 Apr 2016
Fengbin Lu and Shouyang Wang
Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences and Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences
Downloads 21 (516,588)

Abstract:

Loading...

autoregressive conditional parameter model, heteroskedastic regressor, ARCH effect, crude oil

18.

Market Inefficiencies Associated with Pricing Oil Stocks During Shocks

Number of pages: 26 Posted: 10 Dec 2018
Kenan Qiao, Yuying Sun and Shouyang Wang
Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Science, Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Science and Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences
Downloads 11 (576,595)

Abstract:

Loading...

Crude oil shocks, Interval-valued factor pricing models, Market efficiency, Oil stocks, Quantile regression.

19.

Better than Dynamic Mean‐Variance: Time Inconsistency and Free Cash Flow Stream

Mathematical Finance, Vol. 22, Issue 2, pp. 346-378, 2012
Number of pages: 33 Posted: 11 Feb 2012
Xiangyu Cui, Duan Li, Shouyang Wang and Shushang Zhu
The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management, Chinese University of Hong Kong, Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences and Sun Yat-Sen University (SYSU)
Downloads 2 (640,277)
Citation 2
  • Add to Cart

Abstract:

Loading...

portfolio selection, mean‐variance, time consistency, free cash flow stream

20.

Uncertainty Shocks of Trump Election in an Interval Model of Stock Market

Posted: 10 Dec 2018
Yuying Sun, Kenan Qiao and Shouyang Wang
Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Science, Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Science and Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences

Abstract:

Loading...

Interval dummy variables, Interval time series, Nonlinear minimum distance estimator, Range volatility, Trump election

21.

How to Distinguish Abrupt Structural Breaks from Smooth Structural Changes?

Posted: 23 May 2018
Yuying Sun, Yongmiao Hong and Shouyang Wang
Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Science, Cornell University - Department of Economics and Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences

Abstract:

Loading...

Abrupt structural break; Boundary problem; Local linear smoothing; Model instability; Predictive regression models; Smooth structural change

Threshold Autoregressive Models for Interval-Valued Time Series Data

Posted: 19 Apr 2018 Last Revised: 28 Apr 2018
Yuying Sun, Ai Han, Yongmiao Hong and Shouyang Wang
Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Cornell University - Department of Economics and Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences

Abstract:

Loading...

Asymmetric Reaction, Interval-Valued Data, Minimum Distance Estimation, Nonlinearity, Symbolic Data, Threshold Autoregressive Interval Models

Threshold Autoregressive Models for Interval-Valued Time Series Data

Posted: 24 Apr 2018
Yuying Sun, Ai Han, Yongmiao Hong and Shouyang Wang
Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Science, Independent, Cornell University - Department of Economics and Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences

Abstract:

Loading...

Asymmetric Reaction, Interval-Valued Data, Minimum Distance Estimation, Nonlinearity, Symbolic Data, Threshold Autoregressive Interval Models

23.

An Integrated Decision Support Framework for Macroeconomic Policy Making Based on Early Warning Theories

International Journal of Information Technology & Decision Making, Vol. 8, No. 2, pp. 335-359, 2009
Posted: 24 Apr 2010
Shouyang Wang
Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences

Abstract:

Loading...

Macroeconomic policy making, decision support system, macroeconomic early warning