Ke Tang : Citation Profile


Are you Ke Tang?

Tsinghua University

10

H index

11

i10 index

427

Citations

RESEARCH PRODUCTION:

25

Articles

10

Papers

RESEARCH ACTIVITY:

   13 years (2008 - 2021). See details.
   Cites by year: 32
   Journals where Ke Tang has often published
   Relations with other researchers
   Recent citing documents: 75.    Total self citations: 8 (1.84 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pta430
   Updated: 2022-07-02    RAS profile: 2021-10-21    
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Relations with other researchers


Works with:

Cong, Lin (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Ke Tang.

Is cited by:

Prokopczuk, Marcel (11)

Nikitopoulos-Sklibosios, Christina (8)

Vacha, Lukas (7)

Kočenda, Evžen (7)

Baruník, Jozef (7)

Kearney, Fearghal (6)

Irwin, Scott (6)

Chevallier, Julien (6)

Schlogl, Erik (5)

Sévi, Benoît (5)

Vayanos, Dimitri (4)

Cites to:

Casassus, Jaime (10)

Singleton, Kenneth (9)

Duffie, Darrell (9)

Rouwenhorst, K. (8)

pan, jun (8)

Hayashi, Fumio (7)

Bessembinder, Hendrik (7)

Fama, Eugene (6)

Deaton, Angus (6)

Gallant, A. (5)

Routledge, Bryan (5)

Main data


Where Ke Tang has published?


Journals with more than one article published# docs
Quantitative Finance6
Journal of Banking & Finance4
Emerging Markets Finance and Trade3
International Review of Financial Analysis2
Review of Financial Studies2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org5
Documentos de Trabajo / Instituto de Economia. Pontificia Universidad Catlica de Chile.2

Recent works citing Ke Tang (2021 and 2020)


YearTitle of citing document
2020Corporate Governance, Noise Trading and Liquidity of Stocks. (2020). Su, Jianhao. In: Papers. RePEc:arx:papers:2001.06275.

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2022Cryptocurrency Valuation: An Explainable AI Approach. (2022). Zhang, Luyao ; Liu, Yulin. In: Papers. RePEc:arx:papers:2201.12893.

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2021The impact of trading behavioral biases on market liquidity under different volatility levels: Evidence from the Chinese commodity futures market. (2021). Zheng, Kaixin ; Tse, Yiuman ; Liu, Qingfu. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:4:p:671-692.

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2021FINANCIALIZATION OF COMMODITIES BEFORE AND AFTER THE GREAT FINANCIAL CRISIS. (2021). Natoli, Filippo. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:35:y:2021:i:2:p:488-511.

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2020Carry trade in developing and developed countries: A Granger causality analysis with the Toda-Yamamoto appr. (2020). Tomio, Bruno. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00720.

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2020Closed-form analytical solutions for options on agricultural futures with seasonality and stochastic convenience yield. (2020). Wu, Zhijian ; Ma, Chaoqun. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:137:y:2020:i:c:s0960077920302496.

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2022Dynamic asset pricing in delegated investment: An investigation from the perspective of heterogeneous beliefs of institutional and retail investors. (2022). Yang, Jun ; Bian, Yun ; Xu, SI ; Sheng, Jiliang. In: Economic Modelling. RePEc:eee:ecmode:v:107:y:2022:i:c:s0264999321003059.

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2020The devil in the style: Mutual fund style drift, performance and common risk factors. (2020). Sha, Yezhou. In: Economic Modelling. RePEc:eee:ecmode:v:86:y:2020:i:c:p:264-273.

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2020Financial frictions and the futures pricing puzzle. (2020). Taamouti, Abderrahim ; ap Gwilym, Rhys ; Rahman, Hamid ; el Alaoui, Abdelkader O ; Ebrahim, Shahid M. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:358-371.

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2020The heterogeneous behaviour of the inflation hedging property of cocoa. (2020). Salisu, Afees ; Oloko, Tirimisiyu ; Adediran, Idris ; Ohemeng, William. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819303535.

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2020Valuing spread options with counterparty risk and jump risk. (2020). Wang, Xingchun ; Li, Zelei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301650.

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2022Price impact, strategic interaction and portfolio choice. (2022). Curatola, Giuliano. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001959.

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2020Local Gaussian correlations in financial and commodity markets. (2020). Chevallier, Julien ; Nguyen, Quynh Nga ; Zhu, Bangzhu ; Zhang, Lyuyuan ; Aboura, Sofiane. In: European Journal of Operational Research. RePEc:eee:ejores:v:285:y:2020:i:1:p:306-323.

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2022Is normal backwardation normal? Valuing financial futures with a local index-rate covariance. (2022). ZIMMERMANN, Paul ; Raimbourg, Philippe. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:1:p:351-367.

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2020The Chinese equity index options market. (2020). , Eric ; Zhang, Jin E ; Yue, Tian. In: Emerging Markets Review. RePEc:eee:ememar:v:45:y:2020:i:c:s1566014119302341.

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2020Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios?. (2020). faff, robert ; Miffre, Joelle ; Yew, Rand Kwong ; Rad, Hossein. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:164-180.

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2022The impact of liquidity risk in the Chinese banking system on the global commodity markets. (2022). Santos, Francisco ; Kim, Jihee ; Jo, Yonghwan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:66:y:2022:i:c:p:23-50.

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2021Forecasting WTI crude oil futures returns: Does the term structure help?. (2021). O'Sullivan, Conall ; Bredin, Don ; Spencer, Simon. In: Energy Economics. RePEc:eee:eneeco:v:100:y:2021:i:c:s0140988321002565.

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2021The risk premia of energy futures. (2021). Miffre, Joelle ; Fuertes, Ana-Maria ; Fernandez-Perez, Adrian. In: Energy Economics. RePEc:eee:eneeco:v:102:y:2021:i:c:s0140988321003467.

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2020Which risk factors drive oil futures price curves?. (2020). Shevchenko, Pavel V ; Peters, Gareth W ; Matsui, Tomoko ; Bagnarosa, Guillaume ; Ames, Matthew. In: Energy Economics. RePEc:eee:eneeco:v:87:y:2020:i:c:s0140988320300153.

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2020Economic determinants of oil futures volatility: A term structure perspective. (2020). Prokopczuk, Marcel ; Nikitopoulos-Sklibosios, Christina ; Kang, Boda. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320300827.

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2020Interpreting the oil risk premium: Do oil price shocks matter?. (2020). Manera, Matteo ; Valenti, Daniele ; Sbuelz, Alessandro. In: Energy Economics. RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320302462.

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2020Oil shocks and financial systemic stress: International evidence. (2020). Qin, Xiao. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320302851.

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2020Theyre back! Post-financialization diversification benefits of commodities. (2020). Manseau, Guillaume ; Gagnon, Marie-Helene ; Power, Gabriel J. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301599.

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2021The impact of Say-on-Pay votes on firms strategic policies: Insights from the Anglo-Saxon economy. (2021). Ullah, Subhan ; Xiao, Qin ; Joura, Essam. In: International Review of Financial Analysis. RePEc:eee:finana:v:73:y:2021:i:c:s1057521920302490.

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2021The impact of geopolitical uncertainty on energy volatility. (2021). Xu, Yang ; Han, Liyan ; Liu, Yang. In: International Review of Financial Analysis. RePEc:eee:finana:v:75:y:2021:i:c:s1057521921000855.

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2021Dividend or growth funds: What drives individual investors choices?. (2021). Liu, Pei ; Wu, Yanran ; Han, Liyan. In: International Review of Financial Analysis. RePEc:eee:finana:v:77:y:2021:i:c:s1057521921001939.

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2021International review of financial analysis: A retrospective evaluation between 1992 and 2020. (2021). Sharma, Anuj ; Goyal, Kirti ; Kumar, Satish ; Baker, Kent H. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002672.

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2021Basis-momentum strategies and ranking periods. (2021). Yun, Jaesun ; Kang, Jangkoo ; Kwon, Kyung Yoon. In: Finance Research Letters. RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321000787.

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2021Economic policy uncertainty and earnings management: Evidence from Japan. (2021). Yasuda, Yukihiro ; Kim, Hyonok. In: Journal of Financial Stability. RePEc:eee:finsta:v:56:y:2021:i:c:s1572308921000851.

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2022A novel text-based framework for forecasting agricultural futures using massive online news headlines. (2022). Li, Guowen ; Wenli, Guo ; Wei, LU ; Zhu, Xiaoqian ; Liu, Mingxi. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:1:p:35-50.

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2021Speculation and informational efficiency in commodity futures markets. (2021). Bonnier, Jean-Baptiste. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:117:y:2021:i:c:s026156062100108x.

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2021Does stock market listing impact investment in Japan?. (2021). French, Joseph ; Yasuda, Yukihiro ; Fujitani, Ryosuke. In: Journal of the Japanese and International Economies. RePEc:eee:jjieco:v:59:y:2021:i:c:s0889158320300307.

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2020Comovement in the commodity futures markets: An analysis of the energy, grains, and livestock sectors. (2020). Putnam, Kyle J ; Adhikari, Ramesh. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:18:y:2020:i:c:s2405851318300680.

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2021The first commodity futures index of 1933. (2021). Rouwenhorst, K. ; Janardanan, Rajkumar ; Bhardwaj, Geetesh. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:23:y:2021:i:c:s2405851320300349.

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2021Speculation and the informational efficiency of commodity futures markets. (2021). Sulewski, Christoph ; Putz, Alexander ; Bohl, Martin T. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:23:y:2021:i:c:s2405851320300362.

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2022Rational destabilization in commodity markets. (2022). Borocco, Etienne ; Soares, David Batista. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:25:y:2022:i:c:s2405851321000246.

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2020Testing for multiple bubbles in the copper price: Periodically collapsing behavior. (2020). Wang, Xiao-Qing ; Su, Chi-Wei ; Lobon, Oana-Ramona ; Moldovan, Nicoleta-Claudia ; Tao, Ran ; Zhu, Haotian. In: Resources Policy. RePEc:eee:jrpoli:v:65:y:2020:i:c:s0301420719301825.

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2021Price overreactions in the commodity futures market: An intraday analysis of the Covid-19 pandemic impact. (2021). Czudaj, Robert ; van Hoang, Thi Hong ; Borgards, Oliver. In: Resources Policy. RePEc:eee:jrpoli:v:71:y:2021:i:c:s0301420720309946.

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2021Clustering commodity markets in space and time: Clarifying returns, volatility, and trading regimes through unsupervised machine learning. (2021). Vo, Xuan Vinh ; Ur, Mobeen ; Chen, James Ming. In: Resources Policy. RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721001768.

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2021Time-varying effect of international iron ore price on China’s inflation: A complete price chain with TVP-SVAR-SV model. (2021). Yang, Shuo ; Chen, Yufeng. In: Resources Policy. RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721002142.

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2021Information transmission and entropy-based network between Chinese stock market and commodity futures market. (2021). Hu, Ziang ; Niu, Hongli. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721003044.

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2022Spillovers and interdependency across base metals: Evidence from Chinas futures and spot markets. (2022). Tongurai, Jittima ; Chen, Xiangyu. In: Resources Policy. RePEc:eee:jrpoli:v:75:y:2022:i:c:s0301420721004876.

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2021Deriving managerial skills by dissecting holding changes of mutual funds: Evidence from China. (2021). Sun, Ping-Wen ; Ren, HE ; Jun, Xiao. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:68:y:2021:i:c:s0927538x21001190.

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2021When and why do stock and bond markets predict US economic growth?. (2021). McMillan, David G. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:331-343.

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2022Dependence between renewable energy related critical metal futures and producer equity markets across varying market conditions. (2022). Junttila, Juha ; Uddin, Gazi Salah ; Kits, Ilya ; Borg, Elin. In: Renewable Energy. RePEc:eee:renene:v:190:y:2022:i:c:p:879-892.

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2021Hedging and temporal permit issuances in cap-and-trade programs: The Market Stability Reserve under risk aversion. (2021). Pahle, Michael ; Lessmann, Kai ; Tietjen, Oliver. In: Resource and Energy Economics. RePEc:eee:resene:v:63:y:2021:i:c:s0928765520304231.

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2021Are mutual fund manager skills transferable to private funds?. (2021). Wu, Kai ; Liang, Bing ; Huang, Ying Sophie. In: International Review of Economics & Finance. RePEc:eee:reveco:v:76:y:2021:i:c:p:614-638.

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2022Traders’ motivation and hedging pressure in commodity futures markets. (2022). Smimou, K ; Bosch, David. In: Research in International Business and Finance. RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001501.

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2021Estimating the Competitive Storage Model with Stochastic Trends in Commodity Prices. (2021). Osmundsen, Kjartan Kloster ; Oglend, Atle ; Liesenfeld, Roman ; Kleppe, Tore Selland. In: Econometrics. RePEc:gam:jecnmx:v:9:y:2021:i:4:p:40-:d:672866.

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2022Switching Coefficients or Automatic Variable Selection: An Application in Forecasting Commodity Returns. (2022). Guidolin, Massimo ; Pedio, Manuela. In: Forecasting. RePEc:gam:jforec:v:4:y:2022:i:1:p:16-306:d:752601.

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2022.

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2021Timely Loss Recognition Helps Nothing. (2021). Chen, Shu-Heng ; Huang, Jing-Bo ; Lin, Kun-Ben. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:14:p:7815-:d:593339.

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2020Carry trade in developing and developed countries : a Granger causality analysis with the Toda-Yamamoto approach. (2020). Tomio, Bruno. In: Post-Print. RePEc:hal:journl:halshs-02968822.

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2021The Financialization of Storable Commodities. (2021). Baker, Steven D. In: Management Science. RePEc:inm:ormnsc:v:67:y:2021:i:1:p:471-499.

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2022Equilibrium pricing of commodity spot and forward under incomplete markets with implications on convenience yield. (2022). Nakajima, Katsushi. In: Annals of Finance. RePEc:kap:annfin:v:18:y:2022:i:1:d:10.1007_s10436-021-00402-7.

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2020Commodity Spot and Futures Prices Under Supply, Demand, and Financial Trading: Single Input–Output Model. (2020). Nakajima, Katsushi. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:27:y:2020:i:1:d:10.1007_s10690-019-09280-6.

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2020Equilibrium Working Curves with Heterogeneous Agents. (2020). Oglend, Atle ; Soini, Vesa-Heikki. In: Computational Economics. RePEc:kap:compec:v:56:y:2020:i:2:d:10.1007_s10614-019-09931-w.

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2020The Exclusive Role of Centralized Fund Family Management. (2020). Benson, Karen ; Sun, Zhen ; Hunter, David. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:58:y:2020:i:2:d:10.1007_s10693-019-00328-2.

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2021Interaction effects of corporate hedging activities for a multi-risk exposure: evidence from a quasi-natural experiment. (2021). Rathgeber, Andreas W ; Wichmann, Lena ; Geyer-Klingeberg, Jerome ; Alasseur, Clemence ; Hang, Markus. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:56:y:2021:i:2:d:10.1007_s11156-020-00909-6.

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2021Do economic statistics contain information to predict stock indexes futures prices and returns? Evidence from Asian equity futures markets. (2021). Yi, Ham ; Phooi, Jacinta Chan. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:57:y:2021:i:3:d:10.1007_s11156-021-00969-2.

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2022Risk premia in the term structure of crude oil futures: long-run and short-run volatility components. (2022). Liu, Rui ; Boyd, Naomi. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:58:y:2022:i:4:d:10.1007_s11156-021-01032-w.

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2020A Sticky-Price View of Hoarding. (2020). Hong, Harrison ; de Paula, Aureo ; Singh, Vishal ; Hansman, Christopher. In: NBER Working Papers. RePEc:nbr:nberwo:27051.

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2020Dynamic jump intensities and news arrival in oil futures markets. (2020). Turnbull, Stuart M ; Ostdiek, Barbara ; Han, YU ; Ensor, Katherine B. In: Journal of Asset Management. RePEc:pal:assmgt:v:21:y:2020:i:4:d:10.1057_s41260-020-00168-z.

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2021Measuring bulk shipping prices risk. (2021). Serna, Gregorio ; Poblacion, Javier. In: Maritime Economics & Logistics. RePEc:pal:marecl:v:23:y:2021:i:2:d:10.1057_s41278-019-00129-3.

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2020Arbitrage, speculation and futures price fluctuations with boundedly rational and heterogeneous agents. (2020). Yang, Zhe ; Gong, Qingbin. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:15:y:2020:i:4:d:10.1007_s11403-019-00262-5.

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2020Do mutual funds have consistency in their performance?. (2020). Zia-ur-Rehman Rao, ; Umar, Muhammad ; Ahsan, Tanveer ; Tauni, Muhammad Zubair. In: Portuguese Economic Journal. RePEc:spr:portec:v:19:y:2020:i:2:d:10.1007_s10258-019-00163-2.

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2020The impact of US macroeconomic news announcements on Chinese commodity futures. (2020). Liu, Xiaoquan ; Jiang, Ying ; Ahmed, Shamim ; Cai, Haidong. In: Quantitative Finance. RePEc:taf:quantf:v:20:y:2020:i:12:p:1927-1966.

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2020Estimating the Impact of Financial Investments on Agricultural Futures Prices using Changes in Volatility. (2020). Hachula, Michael ; Rieth, Malte. In: American Journal of Agricultural Economics. RePEc:wly:ajagec:v:102:y:2020:i:3:p:759-785.

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2020Night trading and market quality: Evidence from Chinese and US precious metal futures markets. (2020). Liu, Xiaoquan ; Kellard, Neil ; Jiang, Ying. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:10:p:1486-1507.

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2021How trading in commodity futures option markets impacts commodity futures prices. (2021). He, Feng ; Yu, Xiaoli ; Lin, Yu Ting ; Luo, Xingguo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:8:p:1333-1347.

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2022A trend factor in commodity futures markets: Any economic gains from using information over investment horizons?. (2022). Kong, Lingfei ; Han, Yufeng. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:5:p:803-822.

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2022Effects of the Covid?19 pandemic on derivatives markets: Evidence from global futures and options exchanges. (2022). Ren, Honglin ; Ma, Han ; Gay, Gerald D ; Emm, Ekaterina E. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:5:p:823-851.

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2020Evaluating the performance drivers of French ski resorts: A hierarchical approach. (2020). Peypoch, Nicolas ; Corne, Aurelie ; Goncalves, Olga. In: Managerial and Decision Economics. RePEc:wly:mgtdec:v:41:y:2020:i:3:p:389-405.

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2020Empirical analysis of the cross?interdependence between crude oil and agricultural commodity markets. (2020). Mokni, Khaled ; Youssef, Manel. In: Review of Financial Economics. RePEc:wly:revfec:v:38:y:2020:i:4:p:635-654.

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Works by Ke Tang:


YearTitleTypeCited
2012Commodity Investing In: Annual Review of Financial Economics.
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article22
2019Decision Making with Machine Learning and ROC Curves In: Papers.
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paper0
2019AlphaStock: A Buying-Winners-and-Selling-Losers Investment Strategy using Interpretable Deep Reinforcement Attention Networks In: Papers.
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paper0
2021Deep Sequence Modeling: Development and Applications in Asset Pricing In: Papers.
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paper1
2021Crypto Wash Trading In: Papers.
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paper0
2021An AI-assisted Economic Model of Endogenous Mobility and Infectious Diseases: The Case of COVID-19 in the United States In: Papers.
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paper0
2020A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets In: Journal of Finance.
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article15
2017Political Uncertainty and Commodity Prices In: Working Paper Series.
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paper7
2011The stochastic behavior of commodity prices with heteroskedasticity in the convenience yield In: Journal of Empirical Finance.
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article34
2020Commodity prices and GDP growth In: International Review of Financial Analysis.
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article4
2021Do corporate managers believe in luck? Evidence of the Chinese zodiac effect In: International Review of Financial Analysis.
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article0
2008Long term spread option valuation and hedging In: Journal of Banking & Finance.
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article24
2010No-arbitrage conditions for storable commodities and the modeling of futures term structures In: Journal of Banking & Finance.
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article9
2011Estimating exponential affine models with correlated measurement errors: Applications to fixed income and commodities In: Journal of Banking & Finance.
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article9
2013Asset pricing with heterogeneous beliefs and relative performance In: Journal of Banking & Finance.
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article7
2012The determinants of homebuilder stock price exposure to lumber: Production cost versus housing demand In: Journal of Housing Economics.
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article2
2018Latent jump diffusion factor estimation for commodity futures In: Journal of Commodity Markets.
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article0
2012Size and performance of Chinese mutual funds: The role of economy of scale and liquidity In: Pacific-Basin Finance Journal.
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article24
2011Relative Scarcity of Commodities with a Long-Term Economic Relationship and the Correlation of Futures Returns In: Documentos de Trabajo.
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paper1
2014Maximal Gaussian Affine Models for Multiple Commodities: A Note In: Documentos de Trabajo.
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paper0
2015Maximal Gaussian Affine Models for Multiple Commodities: A Note.(2015) In: Journal of Futures Markets.
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2011Corporate Governance and Firm Liquidity: Evidence from the Chinese Stock Market In: Emerging Markets Finance and Trade.
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