Yukun Shi

University of Glasgow

Adam Smith Business School

Glasgow, Scotland G12 8LE

United Kingdom

University of Leicester

Assistant Professor in Finance

University Road

Leicester, LE1 7RH

United Kingdom

SCHOLARLY PAPERS

13

DOWNLOADS

775

SSRN CITATIONS

2

CROSSREF CITATIONS

1

Scholarly Papers (13)

1.

Neural Network Copula Portfolio Optimization for Exchange Traded Funds

Quantitative Finance, forthcoming
Number of pages: 26 Posted: 01 Dec 2016 Last Revised: 05 Jan 2018
Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development, University of Glasgow, Department of Economics, University of Glasgow and University of Glasgow
Downloads 248 (123,169)
Citation 1

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Copulas, Neural Networks, Portfolio Optimization, ETF

2.

Hedging and Speculative Pressures and the Transition of the Spot-Futures Relationship in Energy and Metal Markets

International Review of Financial Analysis, Forthcoming
Number of pages: 39 Posted: 28 May 2015 Last Revised: 17 Dec 2016
Jin Suk Park and Yukun Shi
Coventry University and University of Glasgow
Downloads 120 (232,905)

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Energy markets; Metal markets; Hedging pressure; Speculative pressure; Hedging performances

3.

Impact of Allowance Submissions in European Carbon Emission Markets

International Review of Financial Analysis, Forthcoming
Number of pages: 30 Posted: 17 Aug 2014 Last Revised: 14 May 2015
Dennis Philip and Yukun Shi
Durham University - Department of Economics and Finance and University of Glasgow
Downloads 101 (263,197)
Citation 1

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Carbon allowance submission, Carbon emission markets, EU ETS, Mispricing, Price discovery, Volatility spillovers

4.

Optimal Hedging in Carbon Emission Markets Using Markov Regime Switching Models

Journal of International Financial Markets, Institutions and Money, Forthcoming
Number of pages: 32 Posted: 22 Apr 2015 Last Revised: 13 Apr 2016
Dennis Philip and Yukun Shi
Durham University - Department of Economics and Finance and University of Glasgow
Downloads 98 (268,550)

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Carbon emission markets, Dynamic hedging, Markov switching models, Dynamic conditional correlation

5.

Arbitrage Opportunities and Feedback Trading in Emissions and Energy Markets

Journal of International Financial Markets, Institutions and Money, Forthcoming
Number of pages: 48 Posted: 25 Oct 2014 Last Revised: 20 Feb 2015
Frankie Chau, Jing-Ming Kuo and Yukun Shi
Durham University Business School, University of Birmingham - Birmingham Business School and University of Glasgow
Downloads 95 (274,020)
Citation 1

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Feedback trading; Arbitrage opportunities; Emissions and energy markets; Conditional volatility

6.

Does the Introduction of Index Futures Stabilize Stock Markets? Further Evidence from Emerging Markets

International Review of Economics & Finance, Forthcoming
Number of pages: 37 Posted: 15 Jun 2017 Last Revised: 07 Jan 2018
Southern Illinois University at Edwardsville, University of Glasgow, University of glasgow and Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development
Downloads 50 (388,185)

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emerging markets, feedback trading, stabilization, stock index futures

7.

Bankruptcy Prediction with Financial Systemic Risk

Number of pages: 26 Posted: 23 Jul 2019
University of Glasgow, University of Glasgow, University of Essex - Essex Business School and Nottingham University Business School
Downloads 28 (477,173)

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Bankruptcy prediction; Systemic risk; Hazard model

8.

the Determinants of Retail Fuel Prices in the EU Evidence from the Spatial Panel Quantile Regression

Number of pages: 37 Posted: 25 Jan 2019
Xiaohang Ren, Zudi Lu, Yukun Shi and Cheng Yan
University of Southampton, University of Southampton, University of Glasgow and Durham Business School
Downloads 13 (563,410)

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spatial panel quantile model, retail fuel price, carbon futures price, oil market, cross-market integration

9.

Carbon Price Forecasting: Which Driven Factors Can Help

Number of pages: 40 Posted: 30 Jul 2019
University of Southampton, University of Southampton - Southampton Business School, University of Warwick - Department of Statistics, University of Glasgow and Durham Business School
Downloads 11 (575,958)

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Carbon futures price prediction; Quantile group Lasso; Quantile group SCAD; Variable selection

10.

How Interdependent are Energy and Carbon Markets? Evidence from a Quantile-on-Quantile Regression Approach

Number of pages: 35 Posted: 22 Aug 2019
University of Southampton - Southampton Business School, University of Southampton, University of Glasgow, Southampton Business School, University of Southampton and Durham Business School
Downloads 6 (608,246)

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Carbon futures price; Energy futures prices; EU ETS; Quantile-on-Quantile; Causality-in-quantiles

11.

Internet Appendix to Accompany 'Bankruptcy Prediction with Financial Systemic Risk'

Number of pages: 10 Posted: 22 Jul 2019
University of Glasgow, University of Glasgow, University of Essex - Essex Business School and Nottingham University Business School
Downloads 4 (621,928)

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12.

Online appendix to accompany 'Parameter Calibration and Rediscovery in the Bates Model'

Number of pages: 9
Business School, East China University of Political Science and Law, Xi’an Jiaotong-liverpool University, Adam Smith Business School, University of Glasgow and University of Glasgow
Downloads 1

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13.

Energy Efficiency Analysis of China’s Resource-based Cities under Different Scenarios — Based on the Super-SBM Model

Abstract Proceedings of 2019 International Conference on Resource Sustainability - Cities (icRS Cities)
Posted: 15 Jul 2019
Dan Yan, Ying Kong, Yukun Shi and Zinyang Zeng
Tsinghua University, Tsinghua University, University of Glasgow and Tsinghua University

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