Li Yang

UNSW Australia Business School, School of Banking and Finance

Sydney, NSW 2052

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

  • UNSW Australia Business School, School of Banking and Finance

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    • Tel: +610293855857
SCHOLARLY PAPERS

20

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Top 25,949

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4,260

TOTAL CITATIONS
Rank 16,719

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Top 16,719

in Total Papers Citations

49

Scholarly Papers (20)

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1.

Spot-Futures Spread, Time-Varying Correlation, and Hedging with Currency Futures

Journal of Futures Markets, Forthcoming
Number of pages: 30 Posted: 22 Feb 2006
Donald D. Lien and Li Yang
University of Texas at San Antonio - College of Business - Department of Economics and UNSW Australia Business School, School of Banking and Finance
Downloads 727 (76,634)

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Asymmetric effects of spot-futures spread, Dynamic conditional correlation, Currency futures hedging, GARCH specification

2.

Oil Price Shocks and Stock Market Returns: Evidence from Oil-Importing and Oil-Exporting Countries

Number of pages: 48 Posted: 15 Dec 2012
Li Yang, Chongfeng Wu and Yudong Wang
UNSW Australia Business School, School of Banking and Finance, Shanghai Jiao Tong University (SJTU) - Aetna School of Management and Shanghai Jiao Tong University (SJTU)
Downloads 519 (117,532)
Citation 19

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Oil prices, Stock markets, Oil-importing and oil-exporting countries, Oil demand and supply shocks

3.

Hedging with Futures: Does Anything Beat the Naïve Hedging Strategy?

Management Science, Forthcoming
Number of pages: 41 Posted: 10 Feb 2015 Last Revised: 22 Feb 2015
Yudong Wang, Chongfeng Wu and Li Yang
Shanghai Jiao Tong University (SJTU), Shanghai Jiao Tong University (SJTU) - Aetna School of Management and UNSW Australia Business School, School of Banking and Finance
Downloads 447 (140,816)
Citation 2

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Futures hedging; naïve strategy; minimum variance hedge ratios; estimation error; mode misspecification

4.

Hedging with Chinese Metal Futures

Number of pages: 32 Posted: 13 Mar 2007
Donald D. Lien and Li Yang
University of Texas at San Antonio - College of Business - Department of Economics and UNSW Australia Business School, School of Banking and Finance
Downloads 435 (144,850)
Citation 1

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Time-varying Variance and Correlation, Long Memory in Volatility, Dynamic Hedging, and Chinese Metal Futures Markets

5.

Asymmetric Effect of Basis on Dynamic Futures Hedging: Empirical Evidence from Commodity Markets

Number of pages: 27 Posted: 18 Feb 2007
Donald D. Lien and Li Yang
University of Texas at San Antonio - College of Business - Department of Economics and UNSW Australia Business School, School of Banking and Finance
Downloads 422 (150,059)
Citation 15

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Dynamic hedging strategy, Asymmetric basis effect, Time-varying volatility and correlation of spot and futures returns

6.

Forecasting the Real Prices of Crude Oil: A Dynamic Model Averaging Approach

Number of pages: 47 Posted: 06 Apr 2015
Yudong Wang, Chongfeng Wu and Li Yang
Shanghai Jiao Tong University (SJTU), Shanghai Jiao Tong University (SJTU) - Aetna School of Management and UNSW Australia Business School, School of Banking and Finance
Downloads 303 (216,186)
Citation 2

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Forecast; Dynamic model averaging; Time-varying parameter model; Oil prices

7.

Weather, Inventory and Common Jump Dynamics in Natural Gas Futures and Spot Markets

Number of pages: 31 Posted: 18 Jan 2010
Wing H. Chan, George H. K. Wang and Li Yang
Wilfrid Laurier University - School of Business & Economics, George Mason University - Department of Finance and UNSW Australia Business School, School of Banking and Finance
Downloads 255 (258,376)
Citation 1

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Weather, Inventory, Volatility Jump Dynamics, Natural Gas Futures, Spot Markets

8.

Cutting the Gordian Knot of Carry and Imbalances

Number of pages: 49 Posted: 27 Aug 2018 Last Revised: 08 Jun 2021
Pedro Barroso, Frickson Kho, Florent Rouxelin and Li Yang
CATÓLICA-LISBON School of Business & Economics, UNSW Business School, Florida International University and UNSW Australia Business School, School of Banking and Finance
Downloads 206 (317,817)
Citation 5

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Carry trades; Global imbalances; Net foreign assets; Currency risk premiums.

9.

Entropic Least-Squares Valuation of American Options Subject to Moment Constraints

North American Journal of Economics and Finance 31 (2015) 155–173 24th Australasian Finance and Banking Conference 2011 Paper FMA2011 paper
Number of pages: 62 Posted: 22 Aug 2011 Last Revised: 14 Mar 2020
Xisheng Yu and Li Yang
Southwestern University of Finance and Economics (SWUFE) and UNSW Australia Business School, School of Banking and Finance
Downloads 202 (323,690)

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Risk neutral moments; Maximum entropy; Risk neutral measure; least-squares Monte Carlo; American option pricing

10.

Volatility Spillovers Among the U.S. and Asian Stock Markets: A Comparison between the Periods of Asian Currency Crisis and Subprime Credit Crisis

26th Australasian Finance and Banking Conference 2013
Number of pages: 36 Posted: 22 Nov 2013
Li Yang
UNSW Australia Business School, School of Banking and Finance
Downloads 174 (370,743)

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11.

The Effect of Structural Breaks and Long Memory on Currency Hedging

Journal of Futures Markets, Forthcoming
Number of pages: 34 Posted: 18 Jan 2010
Donald D. Lien and Li Yang
University of Texas at San Antonio - College of Business - Department of Economics and UNSW Australia Business School, School of Banking and Finance
Downloads 143 (437,760)
Citation 1

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Structural breaks, Short and long memory GARCH models, Dynamic hedging strategy, Currency futures

12.

A Portfolio-Based Measure of Economic Uncertainty

Number of pages: 54 Posted: 10 Jan 2019
Bao Huy Doan, F. Douglas Foster and Li Yang
University of New South Wales, The University of Sydney - Discipline of Finance and UNSW Australia Business School, School of Banking and Finance
Downloads 112 (530,068)
Citation 1

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Economic Uncertainty, Broad Market Portfolio, Correlation Between Individual Markets, Market Specific and Economy-wide Shocks

13.

Extreme Weather, Economic Implications, and Energy Consumption

UNSW Business School Research Paper Forthcoming
Number of pages: 32 Posted: 08 Nov 2023
Ravipa Rojasavachai, Florent Rouxelin and Li Yang
UNSW Australia Business School, School of Banking and Finance, Florida International University and UNSW Australia Business School, School of Banking and Finance
Downloads 96 (591,695)

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Extreme Weather Shocks, Macroeconomic Effects, Energy Consumption

14.

Financial Illiteracy as a Systemic Risk: Implications for Household Resilience and Portfolio Vulnerability

UNSW Business School Research Paper Forthcoming
Number of pages: 20 Posted: 03 Mar 2025
Yumeng Gao, Ravipa Rojasavachai, Florent Rouxelin and Li Yang
Yale University, UNSW Australia Business School, School of Banking and Finance, Florida International University and UNSW Australia Business School, School of Banking and Finance
Downloads 68 (729,837)
Citation 1

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JEL classification: D14, G53, I32, Q40, Q41, G11 Financial Literacy, Emerging Systematic Risk, Energy Market Exposure, Household Investment Resilience, Wealth Sustainability, Risk Management Strategies

15.

Domain stabilization for model-free option implied moment estimation

UNSW Business School Research Paper Forthcoming
Number of pages: 43 Posted: 19 Dec 2024 Last Revised: 07 Feb 2025
Geul Lee, Doojin Ryu and Li Yang
Sungkyunkwan University - Department of Economics, Sungkyunkwan University and UNSW Australia Business School, School of Banking and Finance
Downloads 65 (741,506)
Citation 1

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Deep-out-of-the-money options, Domain stabilization, Option-implied moments, S&P 500 options JEL Classification: C14, C58, G13

16.

Demand Shocks and Exchange-rate Uncertainty: Financial Hedging and Operational Flexibility

UNSW Business School Research Paper Forthcoming
Number of pages: 17 Posted: 08 Dec 2023
Chung-Li Tseng and Li Yang
University of New South Wales (UNSW) - Information Systems & Technology Management and UNSW Australia Business School, School of Banking and Finance
Downloads 44 (894,776)

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Risk management, Financial hedging, Operational flexibility, Production decisions

17.

Weathering the Storm: Financial Shocks and Inflationary Pressures from Climate Extremes

UNSW Business School Research Paper Forthcoming
Number of pages: 53 Posted: 16 Dec 2024
Ravipa Rojasavachai, Florent Rouxelin, Li Yang and Yumeng Gao
UNSW Australia Business School, School of Banking and Finance, Florida International University, UNSW Australia Business School, School of Banking and Finance and Yale University
Downloads 42 (912,631)

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Climate Finance, Extreme Weather Events, Australian Actuaries Climate Index, Inflationary Pressures, Economic Stability, Principal Component Analysis, Vector Autoregression, Energy Consumption, Core CPI Volatility, GDP Growth, Unemployment Rates, Financial Market Disruptions, Sustainable Finance, Climate Change Economics, Food and Energy Prices

18.

Dynamic and Asymmetric Dependences between Chinese Yuan and Other Asia-Pacific Currencies

Journal of Futures Markets, March 2013, FIRN Research Paper
Posted: 11 May 2013
Donald D. Lien, Chongfeng Wu, Li Yang and Chunyang Zhou
University of Texas at San Antonio - College of Business - Department of Economics, Shanghai Jiao Tong University (SJTU) - Aetna School of Management, UNSW Australia Business School, School of Banking and Finance and Shanghai Jiao Tong University (SJTU)

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Dynamic dependences, Currencies in Asian Pacific

19.

Optimal Hedging Strategy in Stock Index Futures Markets

21st Australasian Finance and Banking Conference 2008 Paper
Posted: 01 Sep 2008 Last Revised: 11 Jan 2009
Weijun Xu and Li Yang
affiliation not provided to SSRN and UNSW Australia Business School, School of Banking and Finance

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Minimum variance hedge ratio, MGARCH models, Markov regime switching models, Bayesian Gibbs-sampling, Index futures contracts

20.

Availability and Settlement of Individual Stock Futures and Options Expiration Effects: Evidence from High-Frequency Data

Quarterly Review of Economics and Finance, Forthcoming
Posted: 24 Jan 2005
Donald D. Lien and Li Yang
University of Texas at San Antonio - College of Business - Department of Economics and UNSW Australia Business School, School of Banking and Finance

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Individual stock futures, settlement method of futures contract, expiration effects