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

SCHOLARLY PAPERS

17

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Top 26,169

in Total Papers Downloads

3,699

SSRN CITATIONS
Rank 16,482

SSRN RANKINGS

Top 16,482

in Total Papers Citations

74

CROSSREF CITATIONS

13

Scholarly Papers (17)

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 688 (71,639)

Abstract:

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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 453 (120,102)
Citation 19

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

3.

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 423 (130,108)
Citation 1

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

4.

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 414 (133,393)
Citation 15

Abstract:

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

5.

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 364 (154,191)
Citation 2

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

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 288 (197,836)
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
Wilfrid Laurier University - School of Business & Economics, George Mason University - Department of Finance and UNSW Australia Business School, School of Banking and Finance
Downloads 237 (240,318)
Citation 1

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

8.

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 189 (296,320)

Abstract:

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

9.

Cutting the Gordian Knot of Carry and Imbalances

Number of pages: 49 Posted: 27 Aug 2018 Last Revised: 08 Jun 2021
CATÓLICA-LISBON School of Business & Economics, UNSW Business School, Florida International University and UNSW Australia Business School, School of Banking and Finance
Downloads 187 (299,094)
Citation 5

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

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 156 (350,098)

Abstract:

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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 134 (395,307)
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
University of New South Wales, The University of Sydney - Discipline of Finance and UNSW Australia Business School, School of Banking and Finance
Downloads 95 (507,426)
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
UNSW Australia Business School, School of Banking and Finance, Florida International University and UNSW Australia Business School, School of Banking and Finance
Downloads 47 (734,953)

Abstract:

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Extreme Weather Shocks, Macroeconomic Effects, Energy Consumption

14.

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 24 (917,634)

Abstract:

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Risk management, Financial hedging, Operational flexibility, Production decisions

15.

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
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

16.

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

Abstract:

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

17.

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

Abstract:

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