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Cindy S.H. Wang

Catholic University of Louvain (UCL)

Place Montesquieu, 3

Louvain-la-Neuve, 1348

Belgium

Peking University, HSBC Business School

101, Section 2 Kuang Fu Road

Hsinchu, Taiwan 300

China

  • Catholic University of Louvain (UCL)

  • Peking University, HSBC Business School

SCHOLARLY PAPERS

9

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1,248

TOTAL CITATIONS

9

Scholarly Papers (9)

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1.

Forecasting Stock Returns Using Global Market Integration Indices

Number of pages: 57 Posted: 11 Apr 2022
Cindy S.H. Wang, Cheng Hsiao and Gary Wen
Catholic University of Louvain (UCL)Peking University, HSBC Business School, University of Southern California - Department of Economics and National Tsing Hua University
Downloads 206 (373,348)

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2.

Exchange Rate Risk in the U.S. Stock Market: A Pooled Panel Data Regression Approach

Number of pages: 40 Posted: 25 Jun 2019
Cheng-Few Lee, Cindy S.H. Wang and Andrew Y.M. Xie
Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics, Catholic University of Louvain (UCL)Peking University, HSBC Business School and affiliation not provided to SSRN
Downloads 183 (413,774)
Citation 2

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Panel data analysis, Error cross-sectional dependency, Exchange rate exposure, Capital flows, Common factors, Risk management

3.

Market Integration, Systemic Risk and Diagnostic Tests in Large Mixed Panels

Number of pages: 50 Posted: 07 Jan 2019
Cindy S.H. Wang, Cheng Hsiao and Hao-Hsiang Yang
Catholic University of Louvain (UCL)Peking University, HSBC Business School, University of Southern California - Department of Economics and National Tsing Hua University
Downloads 180 (420,133)
Citation 4

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autoregressive (AR) approximation, cross sectional dependence, diagnostic tests, CD and Schott tests, market integration and systemic risk

4.

Market Systemic Risk, Predictability, and Macroeconomics News

Number of pages: 44 Posted: 18 Oct 2022
Cindy S.H. Wang, Rui Fan and Yiqiang Xie
Catholic University of Louvain (UCL)Peking University, HSBC Business School, Rensselaer Polytechnic Institute (RPI) - Department of Economics and Peking University HSBC Business School
Downloads 177 (428,796)

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5.

Forecasting a Long Memory Process Subject to Structural Breaks

CAFE Research Paper No. 13.01
Number of pages: 37 Posted: 20 Aug 2013 Last Revised: 26 Aug 2013
Cindy S.H. Wang, Luc Bauwens and Cheng Hsiao
Catholic University of Louvain (UCL)Peking University, HSBC Business School, Université catholique de Louvain and University of Southern California - Department of Economics
Downloads 125 (580,653)
Citation 3

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forecasting, long memory process, structural break, HAR model

6.

Return and Volatility Forecasting in Mixed Panels

Number of pages: 61 Posted: 28 Apr 2024
Cindy S.H. Wang, Cheng Hsiao, Yimeng Xie and Gary C.K. Wen
Catholic University of Louvain (UCL)Peking University, HSBC Business School, University of Southern California - Department of Economics, Xiamen University and University of California, Davis
Downloads 118 (613,149)

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Long memory process, mixed panel, return and volatility forecasts, cross-sectional dependence, panel autoregression approximation.

7.

The Real Time Monitoring Test for Realized Volatility

CAFE Research Paper No. 13.02
Number of pages: 29 Posted: 20 Aug 2013 Last Revised: 26 Aug 2013
Cindy S.H. Wang and Cheng Hsiao
Catholic University of Louvain (UCL)Peking University, HSBC Business School and University of Southern California - Department of Economics
Downloads 108 (649,907)

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CUSUM of squares tests, long memory, structural change, real time monitoring

8.

On Same-Realization Prediction in the Multivariate Long Memory Process with the VAR Procedure

Number of pages: 38 Posted: 06 May 2019
Wen-Jen Tsay and Cindy S.H. Wang
Soochow University and Catholic University of Louvain (UCL)Peking University, HSBC Business School
Downloads 79 (816,709)

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multivariate long memory process; realized volatility; VAR approximation; VIX index; HAR-class models

9.

Evaluating Financial Assets as Hedge Instruments Using Systemic Risk Indicator

Number of pages: 94 Posted: 04 Feb 2025
Cindy S.H. Wang, Yi-Chi Chen and Xin Yue Wang
Catholic University of Louvain (UCL)Peking University, HSBC Business School, National Cheng Kung University - Department of Economics and Peking University HSBC Business School
Downloads 72 (860,052)

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hedge assets, market consolidation index, systemic risk index, Hong correlation test, out-of sample forecasts