Yukun Shi

University of Glasgow

Adam Smith Business School

Glasgow, Scotland G12 8LE

United Kingdom

  • University of Glasgow

SCHOLARLY PAPERS

15

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Scholarly Papers (15)

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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
Yang Zhao, Charalampos Stasinakis, Georgios Sermpinis and Yukun Shi
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 288 (118,487)
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 127 (248,835)

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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 102 (291,193)
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Carbon allowance submission, Carbon emission markets, EU ETS, Mispricing, Price discovery, Volatility spillovers

4.

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 100 (295,085)
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Feedback trading; Arbitrage opportunities; Emissions and energy markets; Conditional volatility

5.

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 99 (296,969)

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

6.

Bankruptcy Prediction with Financial Systemic Risk

The European Journal of Finance, 26:7-8, 666-690
Number of pages: 50 Posted: 23 Jul 2019 Last Revised: 01 Jun 2020
Zhehao Jia, Yukun Shi, Cheng Yan and Meryem Duygun
University of Glasgow, University of Glasgow, University of Essex - Essex Business School and Nottingham University Business School
Downloads 67 (377,316)

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Bankruptcy prediction; Systemic risk; Hazard model

7.

Social Media Coverage and Post-Earnings Announcement Drift: Evidence from Seeking Alpha

Number of pages: 40 Posted: 17 Jun 2020
Rong Ding, Hang ZHOU and Yukun Shi
University of Warwick - Warwick Business School, University of Edinburgh and University of Glasgow
Downloads 62 (392,726)

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Seeking Alpha, post-earnings announcement drift, institutional ownership, news coverage.

8.

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
Ali M. Kutan, Yukun Shi, Mingzhe Wei and Yang Zhao
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 60 (395,893)

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emerging markets, feedback trading, stabilization, stock index futures

9.

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

Number of pages: 35 Posted: 22 Aug 2019
Kun Duan, Xiaohang Ren, Yukun Shi, Tapas Mishra and Cheng Yan
University of Southampton - Southampton Business School, University of Southampton, University of Glasgow, Southampton Business School, University of Southampton and Durham Business School
Downloads 54 (416,313)

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

10.

Carbon Price Forecasting: Which Driven Factors Can Help

Number of pages: 40 Posted: 30 Jul 2019
Xiaohang Ren, Kun Duan, Lizhu Tao, Yukun Shi and Cheng Yan
University of Southampton, University of Southampton - Southampton Business School, University of Warwick - Department of Statistics, University of Glasgow and Durham Business School
Downloads 37 (488,697)

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

11.

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 24 (553,231)

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

12.

Firm-Level Media Coverage, Bank Loans, and the Role of Institutional Environments

Number of pages: 70 Posted: 24 Jun 2020
Zhehao Jia, Donghui Li, Yukun Shi and Lu Xing
University of Glasgow, UNSW Australia Business School, School of Banking and Finance, University of Glasgow and University of Glasgow
Downloads 17 (598,481)

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Loan Pricing, Media Coverage, Media Sentiment, Institutional Environment

13.

Online Appendix to Accompany 'Parameter Calibration and Rediscovery in the Bates Model'

Number of pages: 9 Posted: 23 Sep 2019
Ruixian Huang, ChengHao Li, Yaofei Xu and Yukun Shi
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 11 (640,110)

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14.

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

Number of pages: 10 Posted: 22 Jul 2019
Zhehao Jia, Yukun Shi, Cheng Yan and Meryem Duygun
University of Glasgow, University of Glasgow, University of Essex - Essex Business School and Nottingham University Business School
Downloads 9 (654,399)

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15.

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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