Faculty
 
 


Yudong Wang, PhD, Professor




mail: wangyudongnj@126.com

 

Research

  • Big      data in Finance

  • Energy      Finance

  • Financial      Econometrics

 

Teaching

  • Behavioral      Finance

 

Publications

Referred Journals

Wang, Y., Pan, Z., Liu, L., & Wu, C. (2019). Oil price increases and the predictability of equity premium. Journal of Banking & Finance.

Pan, Z., Wang, Y., Liu, L., & Wang, Q. (2019). Improving volatility prediction and option valuation using VIX information: A volatility spillover GARCH model. Journal of Futures Markets, 39(6), 744-776.

Wang, Y., Wei, Y., Wu, C., & Yin, L. (2018). Oil and the short-term predictability of stock return volatility. Journal of Empirical Finance, 47, 90-104.

Wang, Y., Pan, Z., & Wu, C. (2017). Timevarying parameter realized volatility models. Journal of Forecasting, 36(5), 566-580.

Wang, Y., Liu, L., Ma, F., & Diao, X. (2018). Momentum of return predictability. Journal of Empirical Finance, 45, 141-156.

Wang, Y., Pan, Z., & Wu, C. (2018). Volatility spillover from the US to international stock markets: A heterogeneous volatility spillover GARCH model. Journal of Forecasting, 37(3), 385-400.

Wang, Y., Wu, C., & Yang, L. (2016). Forecasting crude oil market volatility: A Markov switching multifractal volatility approach. International Journal of Forecasting, 32(1), 1-9.

Wang, Y., Wu, C., & Yang, L. (2015). Hedging with futures: Does anything beat the naïve hedging strategy?. Management Science, 61(12), 2870-2889.

Wang, Y., Ma, F., Wei, Y., & Wu, C. (2016). Forecasting realized volatility in a changing world: A dynamic model averaging approach. Journal of Banking & Finance, 64, 136-149.

Wang, Y., Wu, C., & Yang, L. (2013). Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries. Journal of Comparative Economics, 41(4), 1220-1239.

 

Grants

 

2016-2018 National Natural Science Foundation in China (NSFC)

Oil price forecasting based on mixed-frequency techniques and model combination (¥ 185,000)

 

2018-2020 National Natural Science Foundation in China (NSFC)

Modelling and Forecasting Oil Prices (¥ 1,300,000)

 

Administration and Service

Associate Editor, China Finance Review International, 2017.01-

 

 

Invited Paper Reviewer for more than 40 international journals including:Journal of Financial Economics, Management Science, Journal of Banking and Finance, Journal of Empirical Finance, International Journal of Forecasting, Energy Economics…