Shixuan Wang

University of Reading - Department of Economics

Associate Professor

Reading, RG6 6EL

United Kingdom

  • University of Reading - Department of Economics

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 38,250

SSRN RANKINGS

Top 38,250

in Total Papers Downloads

2,274

SSRN CITATIONS
Rank 47,533

SSRN RANKINGS

Top 47,533

in Total Papers Citations

15

CROSSREF CITATIONS

1

Scholarly Papers (12)

Actions:
Email selected abstracts
1.

Time Series Momentum and Reversal: Intraday Information From Realized Semivariance

Number of pages: 54 Posted: 22 May 2020 Last Revised: 10 Oct 2022
Zhenya Liu, Shanglin Lu, Bo Li and Shixuan Wang
Renmin University of China, University of International Business and Economics - School of Banking and Finance, Beijing International Studies University and University of Reading - Department of Economics
Downloads 649 (71,181)
Citation 10

Abstract:

Loading...

Commodity Futures Pricing, Time Series Momentum, Momentum Reversal, Realized Semivariance, High-frequency Data

2.

Multivariate Volatility Regulated Kelly Strategy: A Superior Choice in Low Correlated Portfolios

Number of pages: 37 Posted: 23 Mar 2017 Last Revised: 03 Jun 2017
Zhenya Liu, Weifeng Zhou, Shixuan Wang and Ruanmin Cao
Renmin University of China, University of Birmingham, University of Reading - Department of Economics and University of Birmingham - Department of Economics
Downloads 302 (173,622)

Abstract:

Loading...

Kelly, low correlation, portfolio.

3.

Asymmetry, Tail Risk and Time Series Momentum

Number of pages: 37 Posted: 07 May 2020 Last Revised: 14 Sep 2021
Zhenya Liu, Shanglin Lu and Shixuan Wang
Renmin University of China, University of International Business and Economics - School of Banking and Finance and University of Reading - Department of Economics
Downloads 276 (190,588)

Abstract:

Loading...

Commodity futures, Time series momentum, Momentum reversal, Partial moments

4.

Decoding Chinese Stock Market Returns: Three-State Hidden Semi-Markov Model

Number of pages: 38 Posted: 26 Aug 2016 Last Revised: 16 Jun 2017
Zhenya Liu and Shixuan Wang
Renmin University of China and University of Reading - Department of Economics
Downloads 261 (202,325)
Citation 2

Abstract:

Loading...

Chinese Stock Market, Asset Return, Hidden Semi-Markov Model

5.

Modeling Intraday Momentum and Reversal by a Parsimonious Diffusion Process

Number of pages: 37 Posted: 17 Jun 2019
Shiqing Ling, Zhenya Liu and Shixuan Wang
Hong Kong University of Science & Technology (HKUST), Renmin University of China and University of Reading - Department of Economics
Downloads 209 (249,598)

Abstract:

Loading...

Double-well Potential; Fokker-Planck Equation; Intraday Price Dynamics; In-fill Asymptotics; Overreaction

6.

A Functional Time Series Analysis of Forward Curves Derived from Commodity Futures

Number of pages: 38 Posted: 27 Aug 2018 Last Revised: 29 Jul 2019
Lajos Horváth, Zhenya Liu, Gregory Rice and Shixuan Wang
University of Utah - Department of Mathematics, Renmin University of China, University of Waterloo - Department of Statistics and Actuarial Science and University of Reading - Department of Economics
Downloads 204 (255,192)

Abstract:

Loading...

Forward curves, S&P GSCI, Commodity Futures, Functional Data Analysis, Functional Autoregressive Models, Functional Principal Component Analysis

7.

Measuring Economic Uncertainty in China

Emerging Markets Finance and Trade, forthcoming
Number of pages: 61 Posted: 29 Aug 2019 Last Revised: 06 Jan 2021
Wei-Fong Pan, Xinjie Wang and Shixuan Wang
Sun Yat-sen University (SYSU) - School of Business, Southern University of Science and Technology and University of Reading - Department of Economics
Downloads 151 (331,296)

Abstract:

Loading...

economic uncertainty, China, newspaper, Granger causality, nonlinear causality

8.

Sequential Monitoring for Changes from Stationarity to Mild Non-stationarity

Number of pages: 55 Posted: 16 Oct 2018 Last Revised: 10 Jun 2019
Lajos Horváth, Zhenya Liu, Gregory Rice and Shixuan Wang
University of Utah - Department of Mathematics, Renmin University of China, University of Waterloo - Department of Statistics and Actuarial Science and University of Reading - Department of Economics
Downloads 87 (492,965)
Citation 1

Abstract:

Loading...

change point detection, stationarity testing, normal approximation, non-stationary ARMA time series, non-stationary GARCH time series

9.

Noncausal AR-GARCH Model and Its Applications in Asset Pricing

Number of pages: 32 Posted: 07 Aug 2023
Shiqing Ling, Zhenya Liu, Shixuan Wang and Yaosong Zhan
Hong Kong University of Science & Technology (HKUST), Renmin University of China, University of Reading - Department of Economics and Business School, Sun Yat-sen University
Downloads 59 (610,348)

Abstract:

Loading...

Noncausal, GARCH Model, Asset Pricing

10.

Do Professional Forecasters' Phillips Curves Incorporate the Beliefs of Others?

Number of pages: 39 Posted: 15 Feb 2023
Michael Clements and Shixuan Wang
University of Reading and University of Reading - Department of Economics
Downloads 39 (728,068)

Abstract:

Loading...

Inflation Forecasting, Functional Data Analysis, Survey of Professional Forecasters, Forecast Disagreement

11.

On the Estimation of Value-At-Risk and Expected Shortfall at Extreme Levels

Number of pages: 29 Posted: 13 Apr 2023
Emese Lazar, Jingqi Pan and Shixuan Wang
University of Reading - ICMA Centre, University of Reading and University of Reading - Department of Economics
Downloads 34 (764,039)

Abstract:

Loading...

Risk models, Value-at-Risk, Expected Shortfall, Semiparametric model, Oil futures

12.

Structural Breaks in Panel Data: Large Number of Panels and Short Length Time Series

CEPR Discussion Paper No. DP11891
Number of pages: 32 Posted: 16 Mar 2017
Jaromir Antoch, Jan Hanousek, Lajos Horváth, Marie Huaková and Shixuan Wang
Charles University in Prague - Faculty of Mathematics and Physics, Faculty of Business and Economics, Mendel University in Brno, University of Utah - Department of Mathematics, Charles University in Prague and University of Reading - Department of Economics
Downloads 3 (1,034,825)
Citation 2
  • Add to Cart

Abstract:

Loading...

Change point problem, stationarity, panel data, bootstrap, four factor CAPM model, US mutual funds