Li Yang : Citation Profile


Are you Li Yang?

UNSW (Australia)

6

H index

5

i10 index

217

Citations

RESEARCH PRODUCTION:

18

Articles

RESEARCH ACTIVITY:

   17 years (1997 - 2014). See details.
   Cites by year: 12
   Journals where Li Yang has often published
   Relations with other researchers
   Recent citing documents: 83.    Total self citations: 5 (2.25 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pya242
   Updated: 2017-11-18    RAS profile: 2015-04-07    
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Relations with other researchers


Works with:

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

Is cited by:

Irwin, Scott (10)

Bilgin, Mehmet (6)

Lau, Chi Keung (6)

Basher, Syed (5)

Filis, George (5)

Salisu, Afees (5)

Guesmi, Khaled (4)

Prokopczuk, Marcel (4)

Carpantier, Jean-François (4)

GUESMI, Khaled (4)

Manera, Matteo (4)

Cites to:

Kilian, Lutz (21)

McAleer, Michael (18)

Engle, Robert (13)

Hamilton, James (11)

Bollerslev, Tim (8)

Caporin, Massimiliano (7)

Tansuchat, Roengchai (6)

Chang, Chia-Lin (6)

Patton, Andrew (5)

Apergis, Nicholas (4)

Nazlioglu, Saban (4)

Main data


Where Li Yang has published?


Journals with more than one article published# docs
Journal of Futures Markets5
Energy Economics2

Recent works citing Li Yang (2017 and 2016)


YearTitle of citing document
2016Shocks and Stocks: A Bottom-up Assessment of the Relationship Between Oil Prices, Gasoline Prices and the Returns of Chinese Firms. (2016). Zhang, Dayong ; Broadstock, David ; David, Ying Fan . In: The Energy Journal. RePEc:aen:journl:ej37-si1-broadstock.

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2016Market Reaction to Inefficiencies in USDA Crop Production Forecasts. (2016). Karali, Berna ; Irwin, Scott. In: 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts. RePEc:ags:aaea16:235507.

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2016Changes in Informational Value and the Market Reaction to USDA Reports in the Big Data Era. (2016). Karali, Berna ; Irwin, Scott ; Adjemian, Michael. In: 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts. RePEc:ags:aaea16:235580.

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2016Intraday Market Effects in Electronic Soybean Futures Market during Non-Trading and Trading Hour Announcements. (2016). Joseph, Kishore ; Garcia, Philip . In: 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts. RePEc:ags:aaea16:235772.

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2016The Value of Government Information in an Era of Declining Budgets. (2016). Johansson, Robert ; Adjemian, Michael ; Thomsen, Michael ; McKenzie, Andrew . In: 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts. RePEc:ags:aaea16:235811.

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2016A Model of the Dynamics of the Effect of World Crude Oil Price and World Rice Price on Indonesia’s Inflation Rate. (2016). Adam, Pasrun ; Harafah, A M ; Rafiy, M ; Cahyono, E ; Rianse, U. In: AGRIS on-line Papers in Economics and Informatics. RePEc:ags:aolpei:233915.

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2016Oil Prices, Exchange Rate and Prices for Agricultural Commodities: Empirical Evidence from Russia. (2016). Burakov, Dmitry. In: AGRIS on-line Papers in Economics and Informatics. RePEc:ags:aolpei:241368.

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2016An empirical analysis of the relationships between crude oil, gold and stock markets. (2016). Rojas, Omar ; Coronado, Semei ; Jim, Rebeca . In: Papers. RePEc:arx:papers:1510.07599.

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2017Uncovering the time-varying nature of causality between oil prices and stock market returns: A multi-country study. (2017). Hirs-Garzon, Jorge ; Gomez-Gonzalez, Jose. In: Borradores de Economia. RePEc:bdr:borrec:1009.

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2016Impacts of OPECs political risk on the international crude oil prices: An empirical analysis based on the SVAR models. (2016). Wei, Yi-Ming ; Chen, Hao ; Tang, Bao-Jun ; Liao, Hua . In: CEEP-BIT Working Papers. RePEc:biw:wpaper:96.

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2016Is Standard Deviation a Good Measure of Volatility? the Case of African Markets with Price Limits. (2016). Errais, Eymen ; Bahri, Dhikra . In: Annals of Economics and Finance. RePEc:cuf:journl:y:2016:v:17:i:1:errais.

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2017Modelling oil price-inflation nexus: The role of asymmetries and structural breaks. (2017). Salisu, Afees ; Olofin, Sam. In: Working Papers. RePEc:cui:wpaper:0020.

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2017The impact of crude oil prices on stock prices of oil firms: Should upstream-downstream dichotomy in supply chain be ignored?. (2017). Salisu, Afees ; Swaray, Raymond . In: Working Papers. RePEc:cui:wpaper:0021.

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2017Identifying Speculative Demand Shocks in Commodity Futures Markets through Changes in Volatility. (2017). Rieth, Malte ; Hachula, Michael . In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1646.

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2016THE MACROECONOMIC AND FINANCIAL IMPACTS OF EUROPEAN CRISIS ON SAUDI ARABIA. (2016). Mseddi, Slim ; Benlagha, Noureddine . In: Applied Econometrics and International Development. RePEc:eaa:aeinde:v:16:y:2016:i:1_12.

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2017A Model of the Dynamic of the Relationship between Exchange Rate and Indonesia’s Export. (2017). Adam, Pasrun ; Rosnawintang, Rosnawintang ; Muthalib, Abd Aziz ; Nusantara, Ambo Wonua . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-01-33.

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2016Indexing Oil from a Financial Point of View: A Comparison between Brent and West Texas Intermediate. (2016). Berk, Cem . In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2016-02-2.

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2016Elasticity of Agricultural Prices in Russia: An Empirical Study of Energy and Monetary Channels. (2016). Burakov, Dmitry. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2016-03-21.

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2017The Dynamics of Financial and Macroeconomic Determinants in Natural Gas and Crude Oil Markets: Evidence from Organization for Economic Cooperation and Development/Gulf Cooperation Council/Organization. (2017). Karacaer-Ulusoy, Merve ; Kapusuzoglu, Ayhan . In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2017-03-21.

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2016Impact of fuel price fluctuations on airline stock returns. (2016). Concha, Diego ; Kristjanpoller, Werner D. In: Applied Energy. RePEc:eee:appene:v:178:y:2016:i:c:p:496-504.

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2017How does investor attention affect international crude oil prices?. (2017). Ma, Chao-Qun ; Yao, Ting ; Zhang, Yue-Jun . In: Applied Energy. RePEc:eee:appene:v:205:y:2017:i:c:p:336-344.

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2017Revisiting the oil price and stock market nexus: A nonlinear Panel ARDL approach. (2017). Salisu, Afees ; Isah, Kazeem. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:258-271.

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2016Co-movements between crude oil and food prices: A post-commodity boom perspective. (2016). Lucotte, Yannick. In: Economics Letters. RePEc:eee:ecolet:v:147:y:2016:i:c:p:142-147.

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2016Optimal conditional hedge ratio: A simple shrinkage estimation approach. (2016). Park, Sung Y. ; Kim, Myeong Jun . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:139-156.

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2016Recent hikes in oil-equity market correlations: Transitory or permanent?. (2016). Li, Xiao-Ming ; Zhang, Bing . In: Energy Economics. RePEc:eee:eneeco:v:53:y:2016:i:c:p:305-315.

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2016Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH. (2016). Basher, Syed ; Sadorsky, Perry. In: Energy Economics. RePEc:eee:eneeco:v:54:y:2016:i:c:p:235-247.

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2016Disentangling the determinants of real oil prices. (2016). Wu, Wenfeng ; Liu, LI ; Wang, Yudong. In: Energy Economics. RePEc:eee:eneeco:v:56:y:2016:i:c:p:363-373.

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2016The relationships between petroleum and stock returns: An asymmetric dynamic equi-correlation approach. (2016). Liu, LI ; Pan, Zhiyuan ; Wang, Yudong. In: Energy Economics. RePEc:eee:eneeco:v:56:y:2016:i:c:p:453-463.

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2016What the investors need to know about forecasting oil futures return volatility. (2016). Wang, Yudong ; Wu, Chongfeng ; Ma, Feng ; Liu, LI. In: Energy Economics. RePEc:eee:eneeco:v:57:y:2016:i:c:p:128-139.

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2016Information spillover dynamics of the energy futures market sector: A novel common factor approach. (2016). Kuruppuarachchi, Duminda ; Premachandra, I M. In: Energy Economics. RePEc:eee:eneeco:v:57:y:2016:i:c:p:277-294.

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2016Impacts of OPECs political risk on the international crude oil prices: An empirical analysis based on the SVAR models. (2016). Wei, Yi-Ming ; Tang, Bao-Jun ; Chen, Hao ; Liao, Hua . In: Energy Economics. RePEc:eee:eneeco:v:57:y:2016:i:c:p:42-49.

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2016The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes. (2016). Bouri, Elie ; Awartani, Basel ; Maghyereh, Aktham I. In: Energy Economics. RePEc:eee:eneeco:v:57:y:2016:i:c:p:78-93.

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2016Oil price volatility forecast with mixture memory GARCH. (2016). Walther, Thomas ; Klein, Tony . In: Energy Economics. RePEc:eee:eneeco:v:58:y:2016:i:c:p:46-58.

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2016How is volatility in commodity markets linked to oil price shocks?. (2016). Manera, Matteo ; Behmiri, Niaz Bashiri ; Ahmadi, Maryam . In: Energy Economics. RePEc:eee:eneeco:v:59:y:2016:i:c:p:11-23.

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2017Oil shocks and stock markets revisited: Measuring connectedness from a global perspective. (2017). Zhang, Dayong. In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:323-333.

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2017Pure martingale and joint normality tests for energy futures contracts. (2017). Shrestha, Keshab ; Rassiah, Puspavathy ; Subramaniam, Ravichandran . In: Energy Economics. RePEc:eee:eneeco:v:63:y:2017:i:c:p:174-184.

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2017Noncausality and the commodity currency hypothesis. (2017). Nyberg, Henri ; Lof, Matthijs. In: Energy Economics. RePEc:eee:eneeco:v:65:y:2017:i:c:p:424-433.

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2017A micro-based model for world oil market. (2017). Guerra, Sergio ; Rigobon, Roberto ; Molina, German ; Manzano, Osmel ; Reyes, Sergio Guerra ; Horst, Enrique Ter ; Espinasa, Ramon. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:431-449.

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2017Dynamic relationship of oil price shocks and country risks. (2017). Lee, Chien-Chiang ; Ning, Shao-Lin. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:571-581.

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2017Nonparametric panel data model for crude oil and stock market prices in net oil importing countries. (2017). Zhang, Xibin ; Silvapulle, Param ; Fenech, Jean-Pierre ; Smyth, Russell. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:255-267.

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2017What determines Chinas crude oil importing trade patterns? Empirical evidences from 55 countries between 1992 and 2015. (2017). Shao, Yanmin ; Wang, Shouyang ; Qiao, Han . In: Energy Policy. RePEc:eee:enepol:v:109:y:2017:i:c:p:854-862.

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2016Oil price shocks and U.S. dollar exchange rates. (2016). Chen, Hongtao ; Zhu, Yingming ; Wang, Yudong ; Liu, LI. In: Energy. RePEc:eee:energy:v:112:y:2016:i:c:p:1036-1048.

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2016Global oil market and the U.S. stock returns. (2016). Manera, Matteo ; Sadeghzadeh, Mehdi ; Ahmadi, Maryam . In: Energy. RePEc:eee:energy:v:114:y:2016:i:c:p:1277-1287.

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2017The influence of global benchmark oil prices on the regional oil spot market in multi-period evolution. (2017). Sun, Xiaoqi ; Jiang, Meihui . In: Energy. RePEc:eee:energy:v:118:y:2017:i:c:p:742-752.

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2017The effects of oil shocks on export duration of China. (2017). Wang, Qizhen ; Zhu, Yingming . In: Energy. RePEc:eee:energy:v:125:y:2017:i:c:p:55-61.

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2017Modelling oil price-inflation nexus: The role of asymmetries. (2017). Salisu, Afees ; Oyewole, Oluwatomisin ; Isah, Kazeem ; Akanni, Lateef. In: Energy. RePEc:eee:energy:v:125:y:2017:i:c:p:97-106.

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2017Oil price shocks and Chinas stock market. (2017). Wei, Yanfeng ; Guo, Xiaoying . In: Energy. RePEc:eee:energy:v:140:y:2017:i:p1:p:185-197.

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2016Dynamic conditional copula correlation and optimal hedge ratios with currency futures. (2016). Kotkatvuori-ornberg, Juha . In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:60-69.

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2016Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries. (2016). Filis, George ; Degiannakis, Stavros ; Boldanov, Rustam . In: International Review of Financial Analysis. RePEc:eee:finana:v:48:y:2016:i:c:p:209-220.

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2017Oil shocks and stock markets: Dynamic connectedness under the prism of recent geopolitical and economic unrest. (2017). Filis, George ; Antonakakis, Nikolaos ; Chatziantoniou, Ioannis . In: International Review of Financial Analysis. RePEc:eee:finana:v:50:y:2017:i:c:p:1-26.

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2017A new weighting-scheme for equity indexes. (2017). Chevallier, Julien ; Aboura, Sofiane . In: International Review of Financial Analysis. RePEc:eee:finana:v:54:y:2017:i:c:p:159-175.

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2017Hedging and speculative pressures and the transition of the spot-futures relationship in energy and metal markets. (2017). Shi, Yukun ; Park, Jin Suk . In: International Review of Financial Analysis. RePEc:eee:finana:v:54:y:2017:i:c:p:176-191.

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2016Modelling oil and gas stock returns using multi factor asset pricing model including oil price exposure. (2016). Sanusi, Muhammad Surajo ; Ahmad, Farooq . In: Finance Research Letters. RePEc:eee:finlet:v:18:y:2016:i:c:p:89-99.

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2017Return distribution, leverage effect and spot-futures spread on the hedging effectiveness. (2017). Kao, Wei-Shun ; Wu, Chien-Hui ; Changchien, Chang-Cheng ; Lin, Chu-Hsiung . In: Finance Research Letters. RePEc:eee:finlet:v:22:y:2017:i:c:p:158-162.

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2017On the relation between liquidity and the futures-cash basis: Evidence from a natural experiment. (2017). Han, Jianlei ; Pan, Zheyao . In: Journal of Financial Markets. RePEc:eee:finmar:v:36:y:2017:i:c:p:115-131.

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2016Optimal hedging in carbon emission markets using Markov regime switching models. (2016). Shi, Yukun ; Philip, Dennis . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:43:y:2016:i:c:p:1-15.

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2017The impact of oil shocks on the housing market: Evidence from Canada and U.S. (2017). Escobari, Diego ; Egly, Peter V ; Killins, Robert N. In: Journal of Economics and Business. RePEc:eee:jebusi:v:93:y:2017:i:c:p:15-28.

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2017The effects of oil price shocks on U.S. stock order flow imbalances and stock returns. (2017). Tsouknidis, Dimitris ; Savva, Christos ; Lambertides, Neophytos . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:74:y:2017:i:c:p:137-146.

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2016Dynamics between strategic commodities and financial variables: Evidence from Japan. (2016). LE, Thai-Ha ; Chang, Youngho. In: Resources Policy. RePEc:eee:jrpoli:v:50:y:2016:i:c:p:1-9.

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2016Returns and volatility linkages between international crude oil price, metal and other stock indices in India: Evidence from VAR-DCC-GARCH models. (2016). Singhal, Shelly ; Ghosh, Sajal . In: Resources Policy. RePEc:eee:jrpoli:v:50:y:2016:i:c:p:276-288.

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2017Does oil predict gold? A nonparametric causality-in-quantiles approach. (2017). Shahbaz, Muhammad ; Balcilar, Mehmet ; Ozdemir, Zeynel Abidin. In: Resources Policy. RePEc:eee:jrpoli:v:52:y:2017:i:c:p:257-265.

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2016A time-varying copula approach for modelling dependency: New evidence from commodity and stock markets. (2016). Charfeddine, Lanouar ; Benlagha, Noureddine . In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:37-38:y:2016:i::p:168-189.

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2016Asymmetrical long-run dependence between oil price and US dollar exchange rate—Based on structural oil shocks. (2016). Gu, Rongbao ; Jiang, Jiaqi . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:456:y:2016:i:c:p:75-89.

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2016The source of stock return fluctuation in Taiwan. (2016). Liu, De-Chih . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:61:y:2016:i:c:p:77-88.

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2016Derivative markets in emerging economies: A survey. (2016). Atilgan, Yigit ; Simsek, Koray D ; Demirtas, Ozgur K. In: International Review of Economics & Finance. RePEc:eee:reveco:v:42:y:2016:i:c:p:88-102.

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2017Stock index hedging using a trend and volatility regime-switching model involving hedging cost. (2017). Su, Ender . In: International Review of Economics & Finance. RePEc:eee:reveco:v:47:y:2017:i:c:p:233-254.

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2016Dynamic correlations and hedging effectiveness between gold and stock markets: Evidence for BRICS countries. (2016). Chkili, Walid. In: Research in International Business and Finance. RePEc:eee:riibaf:v:38:y:2016:i:c:p:22-34.

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2017Oil price shocks and American depositary receipt stock returns. (2017). Sharma, Shahil. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:1040-1056.

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2017Cointegration test of oil price and us dollar exchange rates for some oil dependent economies. (2017). Obi, Pat ; Bokpin, Godfred ; Mensah, Lord . In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:304-311.

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2016Oil price fluctuations and oil consuming sectors: An empirical analysis of Japan. (2016). Taghizadeh-Hesary, Farhad ; Kobayashi, Yoshikazu ; Rasoulinezhad, Ehsan . In: ECONOMICS AND POLICY OF ENERGY AND THE ENVIRONMENT. RePEc:fan:efeefe:v:html10.3280/efe2016-002003.

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2017The Diversification Benefits of Including Carbon Assets in Financial Portfolios. (2017). Zhang, Yinpeng ; Yu, Xueying ; Liu, Zhixin . In: Sustainability. RePEc:gam:jsusta:v:9:y:2017:i:3:p:437-:d:93470.

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2016A comparative analysis of monetary responses to global oil price changes: net oil producing vs. net oil consuming countries. (2016). Sotoudeh, M-Ali ; Worthington, Andrew C. In: International Economics and Economic Policy. RePEc:kap:iecepo:v:13:y:2016:i:4:d:10.1007_s10368-015-0315-1.

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2016Mutual Fund Portfolio Hedging Using Index Futures: An Empirical Analysis. (2016). Sivakumar, N. In: Journal of Applied Management and Investments. RePEc:ods:journl:v:5:y:2016:i:3:p:203-210.

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2017The impact of oil-market shocks on stock returns in major oil-exporting countries: A Markov-switching approach. (2017). Haug, Alfred ; Basher, Syed ; Sadorsky, Perry. In: Working Papers. RePEc:otg:wpaper:1710.

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2016Oil Price Shocks and Stock Market Performance in Emerging Economies: Some Evidence using FAVAR Models. (2016). Naser, Hanan ; Ahmed, Abdul Rashid . In: MPRA Paper. RePEc:pra:mprapa:77868.

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2017The links between crude palm oil, conventional and Islamic stock markets: evidence from Malaysia based on continuous and discrete wavelet analysis. (2017). Masih, Abul ; Razak, Razman . In: MPRA Paper. RePEc:pra:mprapa:79717.

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2016How Do Different Oil Price Shocks Affect the Relationship Between Oil and Stock Markets?. (2016). Babaei Balderlou, Saharnaz ; Torki, Mahyar Ebrahimi ; Heidari, Hassan . In: MPRA Paper. RePEc:pra:mprapa:80273.

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2017Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries. (2017). Filis, George ; Degiannakis, Stavros ; Boldanov, Rustam . In: MPRA Paper. RePEc:pra:mprapa:80435.

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2017The Impact of Oil Shocks on the Housing Market: Evidence from Canada and U.S.. (2017). Escobari, Diego ; Egly, Peter V ; Killins, Robert N. In: MPRA Paper. RePEc:pra:mprapa:80529.

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2017The impact of oil-market shocks on stock returns in major oil-exporting countries: A Markov-switching approach. (2017). Haug, Alfred ; Basher, Syed ; Sadorsky, Perry. In: MPRA Paper. RePEc:pra:mprapa:81638.

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2017A Volatility Analysis of Agricultural Commodity and Crude Oil Global Markets. (2017). Jelassi, Mohamed ; Trabelsi, Jamel ; del Lo, Gaye. In: Applied Economics and Finance. RePEc:rfa:aefjnl:v:4:y:2017:i:2:p:129-140.

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2016Crude oil and world stock markets: volatility spillovers, dynamic correlations, and hedging. (2016). Wang, Yudong ; Liu, LI. In: Empirical Economics. RePEc:spr:empeco:v:50:y:2016:i:4:d:10.1007_s00181-015-0983-2.

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2016On the volatility transmission between oil and stock markets: a comparison of emerging importers and exporters. (2016). Demirer, Riza ; Bouri, Elie. In: Economia Politica: Journal of Analytical and Institutional Economics. RePEc:spr:epolit:v:33:y:2016:i:1:d:10.1007_s40888-016-0022-6.

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Works by Li Yang:


YearTitleTypeCited
2014Co-movement between RMB and New Taiwan Dollars: Evidences from NDF markets In: The North American Journal of Economics and Finance.
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article3
2011Optimal production strategy under demand fluctuations: Technology versus capacity In: European Journal of Operational Research.
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article4
2014Oil price shocks and agricultural commodity prices In: Energy Economics.
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article25
2014Hedging crude oil using refined product: A regime switching asymmetric DCC approach In: Energy Economics.
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article6
2008Hedging with Chinese metal futures In: Global Finance Journal.
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article4
2004Alternative settlement methods and Australian individual share futures contracts In: Journal of International Financial Markets, Institutions and Money.
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article1
2008Asymmetric effect of basis on dynamic futures hedging: Empirical evidence from commodity markets In: Journal of Banking & Finance.
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article31
2013Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries In: Journal of Comparative Economics.
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article77
1997The value of public information in commodity futures markets In: Journal of Economic Behavior & Organization.
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article24
2005Availability and settlement of individual stock futures and options expiration-day effects: evidence from high-frequency data In: The Quarterly Review of Economics and Finance.
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article2
2003Contract settlement specification and price discovery: Empirical evidence in Australia individual share futures market In: International Review of Economics & Finance.
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article1
2009Intraday return and volatility spill-over across international copper futures markets In: International Journal of Managerial Finance.
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article4
2011The Informational Role of Stock and Warrant Trades: Empirical Evidence from China In: Emerging Markets Finance and Trade.
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article2
2003Options expiration effects and the role of individual share futures contracts In: Journal of Futures Markets.
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article2
2006Spot‐futures spread, time‐varying correlation, and hedging with currency futures In: Journal of Futures Markets.
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2010The effects of structural breaks and long memory on currency hedging In: Journal of Futures Markets.
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2013Dynamic Dependence Between Liquidity and the S&P 500 Index Futures‐Cash Basis In: Journal of Futures Markets.
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2013Dynamic and Asymmetric Dependences Between Chinese Yuan and Other Asia‐Pacific Currencies In: Journal of Futures Markets.
[Citation analysis]
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