Jingzhen Liu

University of Aberdeen - Business School

PhD

Edward Wright Building

Dunbar Street

Aberdeen, Scotland AB24 3QY

United Kingdom

SCHOLARLY PAPERS

4

DOWNLOADS

409

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

Oil Price Systemic Risk for the Oil and Gas Industry: A Copula-CoVaR Approach

Number of pages: 48 Posted: 13 Jul 2017 Last Revised: 16 Aug 2017
Jingzhen Liu and Marc Gronwald
University of Aberdeen - Business School and University of Aberdeen
Downloads 173 (211,827)

Abstract:

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Stock prices, Copula, Spillover, Systemic risk, Oil and gas

2.

Impact of Oil Price Changes on Stock Returns of UK Oil and Gas Companies: A Wavelet-Based Analysis

Number of pages: 43 Posted: 14 Jul 2017
Jingzhen Liu
University of Aberdeen - Business School
Downloads 132 (264,334)
Citation 2

Abstract:

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Oil prices; Oil and gas; Granger causality; Multiscale; Wavelet coherence

3.

The Use of Copulas in Hedging Oil and Market Price Risk for US Oil and Gas Investors: Empirical Investigation

Number of pages: 57 Posted: 24 Jul 2017 Last Revised: 19 Nov 2017
Jingzhen Liu and Olga Klinkowska
University of Aberdeen - Business School and University of Aberdeen - Business School
Downloads 72 (392,161)

Abstract:

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U.S. oil and gas; Copula; Risk management; Hedging; Portfolio; Performance evaluation

4.

Minimum-Variance Hedging Oil Price Risk for US Energy ETF Investors: Out-of-Sample Investigation

Number of pages: 52 Posted: 11 Dec 2018
Jingzhen Liu
University of Aberdeen - Business School
Downloads 32 (552,023)

Abstract:

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US Oil and Gas Industry; Dynamic Hedging; Minimum-Variance Hedge; Oil Price Risk; Out-of-Sample