Wenling Lin

Office of Comptroller of Currency

Financial Economist

400 7th Street SW

Washington, DC 20219

United States

  • Office of Comptroller of Currency

SCHOLARLY PAPERS

12

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1,360

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39

Scholarly Papers (12)

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1.

Rising Sector and Style Influences on Global Equity Portfolios

Number of pages: 38 Posted: 27 Jun 2003
Wenling Lin, Lisa Kopp, Phillip Hoffman and Mark Thurston
Office of Comptroller of Currency, Frank Russell Company, Frank Russell Company and Frank Russell Company
Downloads 458 (136,831)

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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 286 (230,697)
Citation 1

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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 158 (404,860)

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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: 20 Aug 2022
Robert F. Engle, Takatoshi Ito and Wenling Lin
New York University (NYU) - Department of Finance, University of Tokyo - Faculty of Economics and Office of Comptroller of Currency
Downloads 128 (480,501)
Citation 10

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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: 20 Apr 2022
Wenling Lin, Robert F. Engle and Takatoshi Ito
Office of Comptroller of Currency, New York University (NYU) - Department of Finance and University of Tokyo - Faculty of Economics
Downloads 118 (511,797)
Citation 28

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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: 31 Jul 2022
Takatoshi Ito, Robert F. Engle and Wenling Lin
University of Tokyo - Faculty of Economics, New York University (NYU) - Department of Finance and Office of Comptroller of Currency
Downloads 83 (650,103)

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7.

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 73 (699,594)

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

8.

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: 21 Jul 2022
Takatoshi Ito and Wenling Lin
University of Tokyo - Faculty of Economics and Office of Comptroller of Currency
Downloads 56 (803,941)

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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

Posted: 13 Feb 2004
Wenling Lin, Lisa Kopp, Phillip Hoffman and Mark Thurston
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 (NYU) - Department of Finance

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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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