Wenling Lin

Office of Comptroller of Currency

Financial Economist

400 7th Street SW

Washington, DC 20219

United States

SCHOLARLY PAPERS

12

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Top 43,538

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935

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Top 2,675

in Total Papers Citations

209

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Scholarly Papers (12)

1.

Rising Sector and Style Influences on Global Equity Portfolios

EFMA 2003 Helsinki Meetings
Number of pages: 38 Posted: 27 Jun 2003
Office of Comptroller of Currency, Frank Russell Company, Frank Russell Company and Frank Russell Company
Downloads 410 (69,378)

Abstract:

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2.

International Equity Diversification: Small-Cap Versus Small-Market Effects

Number of pages: 38 Posted: 18 Jan 2011 Last Revised: 22 Apr 2011
Wenling Lin
Office of Comptroller of Currency
Downloads 182 (162,703)

Abstract:

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international diversification, small-cap stocks, frontier markets, emerging markets, mean-variance spanning, portfolio selection with the higher moments

3.

Race to the Center: Competition for the Nikkei 225 Futures Trade

IMF Working Paper No. 96/117
Number of pages: 50 Posted: 15 Feb 2006
Takatoshi Ito and Wenling Lin
University of Tokyo - Faculty of Economics and Office of Comptroller of Currency
Downloads 112 (240,980)

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margin requirements, futures price volatility, trading volume, GARCH

4.

Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market

NBER Working Paper No. w2609
Number of pages: 28 Posted: 18 Jun 2004 Last Revised: 22 Aug 2010
Robert F. Engle, Takatoshi Ito and Wenling Lin
New York University - Leonard N. Stern School of Business - Department of Economics, University of Tokyo - Faculty of Economics and Office of Comptroller of Currency
Downloads 70 (323,759)

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5.

Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns

NBER Working Paper No. w3911
Number of pages: 39 Posted: 12 Apr 2004 Last Revised: 12 Sep 2010
Wenling Lin, Robert F. Engle and Takatoshi Ito
Office of Comptroller of Currency, New York University - Leonard N. Stern School of Business - Department of Economics and University of Tokyo - Faculty of Economics
Downloads 63 (342,321)

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6.

Where Does the Meteor Shower Come from? the Role of Stochastic Policy Coordination

NBER Working Paper No. w3504
Number of pages: 32 Posted: 08 Jan 2008 Last Revised: 10 Aug 2010
Takatoshi Ito, Robert F. Engle and Wenling Lin
University of Tokyo - Faculty of Economics, New York University - Leonard N. Stern School of Business - Department of Economics and Office of Comptroller of Currency
Downloads 37 (429,126)

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7.

Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets

NBER Working Paper No. w4592
Number of pages: 35 Posted: 12 Jun 2000 Last Revised: 22 Jul 2010
Takatoshi Ito and Wenling Lin
University of Tokyo - Faculty of Economics and Office of Comptroller of Currency
Downloads 35 (437,226)

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8.

What Matters in International Equity Diversification?

Journal of Investment Consulting, Vol. 13, No. 1, 15-24, 2012
Number of pages: 10 Posted: 25 Sep 2012
Chun-Hung Chen and Wenling Lin
Government of the United States of America - Office of the Comptroller of the Currency (OCC) and Office of Comptroller of Currency
Downloads 26 (479,171)

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International Diversification, American Depository Receipts, Small-Cap Stocks, Frontier Markets, Emerging Markets, Mean-Variance Spanning, Downside Risk

9.

A New Measure of Tactical Allocation Skills in Performance Attribution Analysis

Journal of Performance Measurement, Forthcoming
Posted: 05 Aug 2010 Last Revised: 12 Aug 2010
Wenling Lin
Office of Comptroller of Currency

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Performance Measurement, Active Management, Holdings-Based Performance Attribution, Multifactor-Based Performance Attribution, Tactical Asset Allocation, Factor Timing Skill, Mutual Funds

10.

Changing Risks in Global Equity Portfolios

Financial Analysts Journal, Vol. 60, No. 1, pp. 87-99, January/February 2004
Posted: 13 Feb 2004
Office of Comptroller of Currency, Frank Russell Company, Frank Russell Company and Frank Russell Company

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Portfolio Management, asset allocation, equity strategies

11.

Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility

Review of Financial Studies, Volume 7, Number 4, 1994.
Posted: 26 Oct 1999
Wenling Lin and Robert F. Engle
Office of Comptroller of Currency and New York University - Leonard N. Stern School of Business - Department of Economics

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12.

Interdependence between International Stock Returns--News or Contagion Effect?

Posted: 02 Sep 1999
Wenling Lin
Office of Comptroller of Currency

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