Yang Zhao

Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development

39 South College Road

Beijing

China

SCHOLARLY PAPERS

9

DOWNLOADS

1,095

SSRN CITATIONS

4

CROSSREF CITATIONS

1

Scholarly Papers (9)

1.

Neural Network Copula Portfolio Optimization for Exchange Traded Funds

Quantitative Finance, forthcoming
Number of pages: 26 Posted: 01 Dec 2016 Last Revised: 05 Jan 2018
Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development, University of Glasgow, Department of Economics, University of Glasgow and University of Glasgow
Downloads 344 (123,537)
Citation 1

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Copulas, Neural Networks, Portfolio Optimization, ETF

2.

Modeling Dependence Structure and Forecasting Market Risk with Dynamic Asymmetric Copula

Number of pages: 51 Posted: 30 Jun 2014 Last Revised: 20 Jun 2015
London Metropolitan University - Department of Economics, Finance and International Business (EFIB), University of Maryland - Robert H. Smith School of Business, University of Liverpool - Accounting and Finance Division and Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development
Downloads 266 (161,398)

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Asymmetry; Tail dependence; Dependence dynamics; Dynamic skewed t copulas; VaR and ES forecasting

3.

Intraday Return Predictability in the Cryptocurrency Markets: Momentum, Reversal, or Both

Number of pages: 42 Posted: 10 May 2022 Last Revised: 14 Jun 2022
Zhuzhu Wen, Elie Bouri, Yahua Xu and Yang Zhao
PBCSF, Tsinghua University, Lebanese American University, Central University of Finance and Economics (CUFE) - China Economics and Management Academy and Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development
Downloads 191 (220,653)

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intraday return predictability; cryptocurrency markets; Bitcoin; momentum; reversal; economic value; market timing strategy

4.

The Joint Credit Risk of UK Global-Systemically Important Banks

Journal of Futures Markets, 37(10), 964-988. doi:10.1002/fut.21855
Number of pages: 51 Posted: 28 Oct 2015 Last Revised: 05 Mar 2019
London Metropolitan University - Department of Economics, Finance and International Business (EFIB), University of Maryland - Robert H. Smith School of Business, University of Liverpool - Accounting and Finance Division and Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development
Downloads 91 (385,121)
Citation 1

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Joint credit risk; time-varying and asymmetric dependence structure; market factors; GAS based GHST copula

5.

Does the Introduction of Index Futures Stabilize Stock Markets? Further Evidence from Emerging Markets

International Review of Economics & Finance, Forthcoming
Number of pages: 37 Posted: 15 Jun 2017 Last Revised: 07 Jan 2018
Southern Illinois University at Edwardsville, University of Glasgow, University of glasgow and Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development
Downloads 69 (451,141)

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emerging markets, feedback trading, stabilization, stock index futures

6.

Higher Order Comoments and Dependence Structure of Equity Portfolio

Number of pages: 43 Posted: 30 Jun 2014
London Metropolitan University - Department of Economics, Finance and International Business (EFIB), University of Maryland - Robert H. Smith School of Business, University of Liverpool - Accounting and Finance Division and Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development
Downloads 58 (491,475)
Citation 3

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Higher Order Comoments, Dependence Structure, Hyperbolic Generalized Skewed t Copula, Generalized Autoregressive Score, Risk Management

7.

Risk Spillovers in Global Financial Markets: Evidence from the Covid-19 Crisis

Number of pages: 40 Posted: 28 Apr 2022
Yi Fang, Zhiquan Shao and Yang Zhao
Central University of Finance and Economics (CUFE) - School of Finance, Central University of Finance and Economics and Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development
Downloads 42 (562,848)

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Risk spillovers, COVID-19 crisis, medium- and long-term spillovers, spillover networks

8.

Policy Uncertainty and Bank Systemic Risk: A Perspective of Risk Decomposition

Number of pages: 39 Posted: 04 Aug 2022
Yi Fang, Yanru Wang, Qi Wang and Yang Zhao
Central University of Finance and Economics (CUFE) - School of Finance, Central University of Finance and Economics (CUFE) - School of Finance, Central University of Finance and Economics (CUFE) - School of Finance and Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development
Downloads 19 (718,671)

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Economic policy uncertainty, Bank systemic risk, Systemic linkage, Bank tail risk, National culture

9.

Economic Policy Uncertainty and Bank Systemic Risk: A Perspective of Risk Decomposition

Number of pages: 49 Posted: 20 Jul 2022
Yi Fang, Yanru Wang, Qi Wang and Yang Zhao
Central University of Finance and Economics (CUFE) - School of Finance, Central University of Finance and Economics (CUFE) - School of Finance, Central University of Finance and Economics (CUFE) - School of Finance and Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development
Downloads 15 (753,173)

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Economic policy uncertainty, Bank systemic risk, Systemic linkage, Bank tail risk, National culture