11
H index
12
i10 index
408
Citations
University of York (92% share) | 11 H index 12 i10 index 408 Citations RESEARCH PRODUCTION: 11 Articles 35 Papers RESEARCH ACTIVITY: 13 years (2010 - 2023). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pwa606 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Weining Wang. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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The Journal of Financial Econometrics | 2 |
Journal of Business & Economic Statistics | 2 |
Journal of Econometrics | 2 |
Year | Title of citing document |
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2023 | The connectedness of Energy Transition Metals. (2023). Galeotti, Marzio ; Casoli, Chiara ; Bastianin, Andrea. In: FEEM Working Papers. RePEc:ags:feemwp:336984. Full description at Econpapers || Download paper |
2023 | Policy Targeting under Network Interference. (2019). Viviano, Davide. In: Papers. RePEc:arx:papers:1906.10258. Full description at Econpapers || Download paper |
2023 | Learning Financial Network with Focally Sparse Structure. (2021). Chernozhukov, Victor ; Wang, Weining ; Huang, Chen. In: Papers. RePEc:arx:papers:2105.07424. Full description at Econpapers || Download paper |
2023 | Tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets. (2023). Zhou, Wei-Xing ; Dai, Peng-Fei. In: Papers. RePEc:arx:papers:2303.11030. Full description at Econpapers || Download paper |
2023 | Statistical Estimation for Covariance Structures with Tail Estimates using Nodewise Quantile Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2305.11282. Full description at Econpapers || Download paper |
2023 | Quantile Time Series Regression Models Revisited. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.06617. Full description at Econpapers || Download paper |
2023 | Systemic risk in financial networks: the effects of asymptotic independence. (2023). Fasen-Hartmann, Vicky ; Das, Bikramjit. In: Papers. RePEc:arx:papers:2309.15511. Full description at Econpapers || Download paper |
2023 | Estimating Systemic Risk within Financial Networks: A Two-Step Nonparametric Method. (2023). Huang, Weihuan. In: Papers. RePEc:arx:papers:2310.18658. Full description at Econpapers || Download paper |
2023 | Estimating Conditional Value-at-Risk with Nonstationary Quantile Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2311.08218. Full description at Econpapers || Download paper |
2023 | A systematic literature review of investor behavior in the cryptocurrency markets. (2023). Gonçalves, Tiago ; Gonalves, Tiago Cruz ; Almeida, Jose. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:37:y:2023:i:c:s2214635022001071. Full description at Econpapers || Download paper |
2023 | A distributed community detection algorithm for large scale networks under stochastic block models. (2023). Zhu, Xuening ; Li, Zhe ; Wu, Shihao. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:187:y:2023:i:c:s0167947323001056. Full description at Econpapers || Download paper |
2023 | Good and bad self-excitation: Asymmetric self-exciting jumps in Bitcoin returns. (2023). Peng, Zhe ; Xu, Mengyu ; Zhang, Zhengjun. In: Economic Modelling. RePEc:eee:ecmode:v:119:y:2023:i:c:s0264999322003613. Full description at Econpapers || Download paper |
2023 | Interconnectedness and extreme risk: Evidence from dual banking systems. (2023). bouoiyour, jamal ; Addi, Abdelhamid. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s026499932200387x. Full description at Econpapers || Download paper |
2023 | Frequency heterogeneity of tail connectedness: Evidence from global stock markets. (2023). Xu, Huiling ; Zhu, Zhican ; Lu, Haisong ; Jian, Zhihong. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001669. Full description at Econpapers || Download paper |
2023 | A consistent nonparametric test for the structure change in quantile regression. (2023). Liu, Weiqiang. In: Economics Letters. RePEc:eee:ecolet:v:228:y:2023:i:c:s0165176523001866. Full description at Econpapers || Download paper |
2023 | Community network auto-regression for high-dimensional time series. (2023). Zhu, Xuening ; Fan, Jianqing ; Chen, Elynn Y. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1239-1256. Full description at Econpapers || Download paper |
2023 | Data-driven dynamic treatment planning for chronic diseases. (2023). Nielsen, Anne Molgaard ; Feuerriegel, Stefan ; Naumzik, Christof. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:2:p:853-867. Full description at Econpapers || Download paper |
2023 | Tail-event driven NETwork dependence in emerging markets. (2023). Yousaf, Imran ; Ali, Shoaib ; Yarovaya, Larisa ; Karim, Sitara ; Naeem, Muhammad Abubakr. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014122000887. Full description at Econpapers || Download paper |
2023 | Systemic risk spillovers and the determinants in the stock markets of the Belt and Road countries. (2023). Xie, Chi ; Zhu, You ; Wang, Gang-Jin ; Feng, Yusen. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000250. Full description at Econpapers || Download paper |
2023 | A financial risk meter for China. (2023). Hardle, Wolfgang Karl ; Althof, Michael ; Wang, Ruting. In: Emerging Markets Review. RePEc:eee:ememar:v:56:y:2023:i:c:s1566014123000572. Full description at Econpapers || Download paper |
2023 | Multilayer network analysis for measuring the inter-connectedness between the oil market and G20 stock markets. (2023). Zhang, Xinhua ; Tang, Rui ; Dai, Zhifeng. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001378. Full description at Econpapers || Download paper |
2023 | Effect of weather and environmental attentions on financial system risks: Evidence from Chinese high- and low-carbon assets. (2023). Yoon, Seong-Min ; Dong, Xiyong. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s0140988323001780. Full description at Econpapers || Download paper |
2023 | A new multilayer network for measuring interconnectedness among the energy firms. (2023). Zhang, Xiaotong ; Tang, Rui ; Dai, Zhifeng. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s014098832300378x. Full description at Econpapers || Download paper |
2023 | Risk spillovers from Chinas and the US stock markets during high-volatility periods: Evidence from East Asianstock markets. (2023). Xiao, Yang ; Wang, BO. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000546. Full description at Econpapers || Download paper |
2023 | Temperature shocks and bank systemic risk: Evidence from China. (2023). Fang, Tong ; Song, Xiaoni. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006249. Full description at Econpapers || Download paper |
2023 | Network effects on risk co-movements: A network quantile autoregression-based analysis. (2023). Zhu, Xiaonan ; Shu, Lei ; Gao, YU ; Chen, YU. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004427. Full description at Econpapers || Download paper |
2023 | Breakup and default risks in the great lockdown. (2023). Consiglio, Andrea ; Borri, Nicola ; Bonaccolto, Giovanni. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:147:y:2023:i:c:s0378426621002600. Full description at Econpapers || Download paper |
2023 | Study on international energy market and geopolitical risk contagion based on complex network. (2023). Feng, Yong-Kang ; Gong, Xiao-Li ; Xiong, Xiong ; Liu, Jian-Min. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723002039. Full description at Econpapers || Download paper |
2023 | Oil tail risks and the realized variance of consumer prices in advanced economies. (2023). Salisu, Afees ; Ogbonna, Ahamuefula ; Vo, Xuan Vinh. In: Resources Policy. RePEc:eee:jrpoli:v:83:y:2023:i:c:s030142072300466x. Full description at Econpapers || Download paper |
2023 | Futures trading activity and the jump risk of spot market: Evidence from the bitcoin market. (2023). Liao, Xiaosai ; Ma, Huan ; Zhang, Chuanhai. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:78:y:2023:i:c:s0927538x23000161. Full description at Econpapers || Download paper |
2023 | Identification of systemically important financial institutions in a multiplex financial network: A multi-attribute decision-based approach. (2023). Wang, Qing Yun ; Ye, Tanglin ; Sun, Qian ; Jiang, Cheng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:611:y:2023:i:c:s0378437123000018. Full description at Econpapers || Download paper |
2023 | Extreme risk spillovers among traditional financial and FinTech institutions: A complex network perspective. (2023). Zhu, Xiaoqian ; Huang, Chuangxia ; Li, Jianping ; Wen, Shigang. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:88:y:2023:i:c:p:190-202. Full description at Econpapers || Download paper |
2023 | Frequency domain quantile dependence and connectedness between crude oil and exchange rates: Evidence from oil-importing and exporting countries. (2023). Huang, Zishan ; Li, Shuang ; Zhu, Huiming. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:90:y:2023:i:c:p:1-30. Full description at Econpapers || Download paper |
2023 | Dynamic risk spillover among crude oil, economic policy uncertainty and Chinese financial sectors. (2023). Zhu, Haoyang ; Dai, Zhifeng. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:421-450. Full description at Econpapers || Download paper |
2023 | Multilayer networks in the frequency domain: Measuring extreme risk connectedness of Chinese financial institutions. (2023). Zhou, Xuewei ; Ouyang, Zisheng. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000703. Full description at Econpapers || Download paper |
2023 | Financial networks and systemic risk vulnerabilities: A tale of Indian banks. (2023). Bekiros, Stelios ; Khan, Mohammad Azeem ; Wadhwani, Akshay ; Tiwari, Shiv Ratan ; Ahmad, Wasim. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000880. Full description at Econpapers || Download paper |
2023 | Huber estimation for the network autoregressive model. (2023). Zhong, Wei ; Xu, Xingbai ; Xiao, Xuan. In: Statistics & Probability Letters. RePEc:eee:stapro:v:203:y:2023:i:c:s0167715223001414. Full description at Econpapers || Download paper |
2023 | The connectedness of Energy Transition Metals. (2023). Galeotti, Marzio ; Casoli, Chiara ; Bastianin, Andrea. In: Working Papers. RePEc:fem:femwpa:2023.11. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Hedging cryptocurrency options. (2023). Hardle, Wolfgang Karl ; Packham, Natalie ; Matic, Jovanka Lili. In: Review of Derivatives Research. RePEc:kap:revdev:v:26:y:2023:i:1:d:10.1007_s11147-023-09194-6. Full description at Econpapers || Download paper |
2023 | Financial Risk Meter for The Romanian Stock Market. (2023). Strat, Vasile Alecsandru ; Mazurencu-Marinescu, Miruna ; Bag, Raul Cristian ; Conda, Alexandra Ioana ; Pele, Daniel Traian. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2023:i:1:p:5-24. Full description at Econpapers || Download paper |
2023 | A copula-based multivariate hidden Markov model for modelling momentum in football. (2023). Maruotti, Antonello ; Langrock, Roland ; Otting, Marius. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:107:y:2023:i:1:d:10.1007_s10182-021-00395-8. Full description at Econpapers || Download paper |
2023 | Football tracking data: a copula-based hidden Markov model for classification of tactics in football. (2023). Karlis, Dimitris ; Otting, Marius. In: Annals of Operations Research. RePEc:spr:annopr:v:325:y:2023:i:1:d:10.1007_s10479-022-04660-0. Full description at Econpapers || Download paper |
2023 | Dynamic portfolio choice with uncertain rare-events risk in stock and cryptocurrency markets. (2023). Yan, Jingzhou ; Xia, Xiaobao ; Pang, Tao ; Lv, Wujun. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00472-8. Full description at Econpapers || Download paper |
2023 | A Semi-nonparametric Copula Model for Earnings Mobility. (2023). Gagliardini, Patrick ; Naguib, Costanza. In: Diskussionsschriften. RePEc:ube:dpvwib:dp2302. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2017 | Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
2018 | Using generalized estimating equations to estimate nonlinear models with spatial data In: Papers. [Full Text][Citation analysis] | paper | 1 |
2020 | Using generalized estimating equations to estimate nonlinear models with spatial data.(2020) In: IRTG 1792 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2018 | A supreme test for periodic explosive GARCH In: Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | A supreme test for periodic explosive GARCH.(2020) In: IRTG 1792 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2020 | Pricing Cryptocurrency Options In: Papers. [Full Text][Citation analysis] | paper | 22 |
2020 | Pricing Cryptocurrency Options*.(2020) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | article | |
2015 | HIDDEN MARKOV STRUCTURES FOR DYNAMIC COPULAE In: Econometric Theory. [Full Text][Citation analysis] | article | 11 |
2020 | Novel operational matrices-based method for solving fractional-order delay differential equations via shifted Gegenbauer polynomials In: Applied Mathematics and Computation. [Full Text][Citation analysis] | article | 6 |
2016 | TENET: Tail-Event driven NETwork risk In: Journal of Econometrics. [Full Text][Citation analysis] | article | 136 |
2014 | TENET: Tail-Event driven NETwork risk.(2014) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 136 | paper | |
2019 | Network quantile autoregression In: Journal of Econometrics. [Full Text][Citation analysis] | article | 22 |
2016 | Network Quantile Autoregression.(2016) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | paper | |
2015 | Tie the straps: Uniform bootstrap confidence bands for semiparametric additive models In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 2 |
2023 | Beta-Sorted Portfolios In: Staff Reports. [Full Text][Citation analysis] | paper | 0 |
2010 | Uniform confidence bands for pricing kernels In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 24 |
2015 | Uniform Confidence Bands for Pricing Kernels.(2015) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 24 | article | |
2010 | Prognose mit nichtparametrischen Verfahren In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 10 |
2011 | Local Quantile Regression In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 42 |
2012 | HMM in dynamic HAC models In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2012 | Quantile Regression in Risk Calibration In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 17 |
2013 | Composite Quantile Regression for the Single-Index Model In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 6 |
2013 | Tie the straps: uniform bootstrap confidence bands for bounded influence curve estimators In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2014 | Nonparametric Estimates for Conditional Quantiles of Time Series In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
2015 | Nonparametric estimates for conditional quantiles of time series.(2015) In: AStA Advances in Statistical Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
2015 | Estimation of NAIRU with Inflation Expectation Data In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
2015 | Inflation Co-movement across Countries in Multi-maturity Term Structure: An Arbitrage-Free Approach In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2016 | Time Varying Quantile Lasso In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2017 | Dynamic Semiparametric Factor Model with a Common Break In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2019 | LASSO-Driven Inference in Time and Space In: CeMMAP working papers. [Full Text][Citation analysis] | paper | 32 |
2018 | LASSO-driven inference in time and space.(2018) In: CeMMAP working papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 32 | paper | |
2018 | LASSO-Driven Inference in Time and Space.(2018) In: IRTG 1792 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 32 | paper | |
2016 | Localizing Temperature Risk In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 43 |
2014 | Comment In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
2018 | Single-Index-Based CoVaR With Very High-Dimensional Covariates In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 12 |
2018 | Pricing Cryptocurrency options: the case of CRIX and Bitcoin In: IRTG 1792 Discussion Papers. [Full Text][Citation analysis] | paper | 12 |
2019 | Inference of Break-Points in High-Dimensional Time Series In: IRTG 1792 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | Inference of breakpoints in high-dimensional time series.(2020) In: IRTG 1792 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2019 | Modelling Systemic Risk Using Neural Network Quantile Regression In: IRTG 1792 Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2019 | Combining Penalization and Adaption in High Dimension with Application in Bond Risk Premia Forecasting In: IRTG 1792 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | Long- and Short-Run Components of Factor Betas: Implications for Stock Pricing In: IRTG 1792 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | Improved Estimation of Dynamic Models of Conditional Means and Variances In: IRTG 1792 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | Tail Event Driven Factor Augmented Dynamic Model In: IRTG 1792 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | The common and speci fic components of inflation expectation across European countries In: IRTG 1792 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | Dynamic Spatial Network Quantile Autoregression In: IRTG 1792 Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2020 | Non-Parametric Estimation of Spot Covariance Matrix with High-Frequency Data In: IRTG 1792 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
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