Yang Zhao

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

39 South College Road

Beijing

China

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

SCHOLARLY PAPERS

9

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1,621

SSRN CITATIONS

7

CROSSREF CITATIONS

1

Scholarly Papers (9)

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1.

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 529 (91,720)

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

2.

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
Yang Zhao, Charalampos Stasinakis, Georgios Sermpinis and Yukun Shi
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 430 (117,284)
Citation 2

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Copulas, Neural Networks, Portfolio Optimization, ETF

3.

Modeling Dependence Structure and Forecasting Market Risk with Dynamic Asymmetric Copula

Number of pages: 51 Posted: 30 Jun 2014 Last Revised: 20 Jun 2015
Mario Cerrato, John Crosby, Minjoo Kim and Yang Zhao
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 288 (181,804)
Citation 1

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

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
Mario Cerrato, John Crosby, Minjoo Kim and Yang Zhao
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 103 (439,830)
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
Ali M. Kutan, Yukun Shi, Sheffield Hallam University and Yang Zhao
Southern Illinois University at Edwardsville, University of Glasgow, Sheffield Hallam University and Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development
Downloads 100 (452,060)

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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
Mario Cerrato, John Crosby, Minjoo Kim and Yang Zhao
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 75 (535,849)
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 62 (592,724)

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

8.

Heterogeneously Informed Trading and the Stock Market Efficiency During the COVID-19 Pandemic

Number of pages: 40 Posted: 28 Sep 2022
Liao Xu, Mingqi Xue, Xuan Zhang and Yang Zhao
Zhejiang Gongshang University (ZJGSU), The University of Melbourne, Nanjing Audit University and Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development
Downloads 29 (799,796)

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Asymmetric Information, COVID-19, Informed Trading, Market Efficiency

9.

High-Speed Rail, Information Asymmetry, and Corporate Loan: Evidence from China

Number of pages: 50 Posted: 19 Oct 2023
zhongbo Jing, Qin Li, Zhidong Liu and Yang Zhao
Central University of Finance and Economics, Central University of Finance and Economics, Central University of Finance and Economics and Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development
Downloads 5 (1,018,226)

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High-speed rail opening, Information asymmetry, Credit structure, High-quality development