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

    • Email
    • Tel: +610293855857
SCHOLARLY PAPERS

16

DOWNLOADS
Rank 17,368

SSRN RANKINGS

Top 17,368

in Total Papers Downloads

2,915

SSRN CITATIONS
Rank 21,845

SSRN RANKINGS

Top 21,845

in Total Papers Citations

25

CROSSREF CITATIONS

12

Scholarly Papers (16)

Actions:
Email selected abstracts
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 631 (43,527)

Abstract:

Loading...

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 379 (81,783)
Citation 13

Abstract:

Loading...

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

3.

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 378 (82,039)
Citation 10

Abstract:

Loading...

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

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 376 (82,535)

Abstract:

Loading...

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

5.

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 233 (138,190)
Citation 2

Abstract:

Loading...

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

6.

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 213 (150,537)
Citation 1

Abstract:

Loading...

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

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 160 (194,717)
Citation 1

Abstract:

Loading...

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 153 (202,213)

Abstract:

Loading...

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

9.

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 122 (241,802)

Abstract:

Loading...

10.

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 111 (258,931)

Abstract:

Loading...

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

11.

Impact of Truncation on Model-Free Implied Moment Estimator

2015 Financial Markets & Corporate Governance Conference, Asian Finance Association (AsianFA) 2015 Conference Paper
Number of pages: 45 Posted: 25 Aug 2014 Last Revised: 01 Sep 2015
Geul Lee and Li Yang
Coinplug, Inc. and UNSW Australia Business School, School of Banking and Finance
Downloads 76 (329,991)
Citation 1

Abstract:

Loading...

Truncation error; Model-free implied moment estimators; Domain stabilization

12.

Do External Imbalances Matter in Explaining the Cross-Section of Currency Excess Returns?

Number of pages: 64 Posted: 27 Aug 2018 Last Revised: 31 Dec 2018
Pedro Barroso, Frickson Kho, Florent Rouxelin and Li Yang
UNSW Australia Business School, School of Banking and Finance, UNSW Business School, University of New South Wales (UNSW) and UNSW Australia Business School, School of Banking and Finance
Downloads 47 (417,937)
Citation 3

Abstract:

Loading...

External Imbalances, Financial Variables, Cross-Section of Currency Excess Returns, Portfolios Versus Individual Assets

13.

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 36 (462,140)

Abstract:

Loading...

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

14.

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)

Abstract:

Loading...

Dynamic dependences, Currencies in Asian Pacific

15.

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:

Loading...

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

16.

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:

Loading...

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