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Last hour momentum in the Chinese stock market

Yang, Lu - In: China finance review international 12 (2021) 1, pp. 69-100

Persistent link: https://www.econbiz.de/10012880142

Dependence structure among international stock markets : a GARCH–copula analysis

Yang, Lu; Hamori, Shigeyuki - In: Applied financial economics 23 (2013) 22/24, pp. 1805-1817

Persistent link: https://www.econbiz.de/10010337261

Spillover effect of US monetary policy to ASEAN stock markets : evidence from Indonesia, Singapore, and Thailand

Yang, Lu; Hamori, Shigeyuki - In: Pacific-Basin finance journal 26 (2014), pp. 145-155

Persistent link: https://www.econbiz.de/10010498752

Modeling dependence structures among international stock markets : evidence from hierarchical Archimedean copulas

Yang, Lu; Cai, Xiao Jing; Mengling Li; Hamori, Shigeyuki - In: Economic modelling 51 (2015), pp. 308-314

Persistent link: https://www.econbiz.de/10011476020

Can crude oil drive the co-movement in the international stock market? : evidence from partial wavelet coherence analysis

Wu, Kai; Zhu, Jingran; Xu, Mingli; Yang, Lu - In: The North American journal of economics and finance : a … 53 (2020), pp. 1-17

Persistent link: https://www.econbiz.de/10012632221

Dependence structures between Chinese stock markets and the international financial market : evidence from a wavelet-based quantile regression approach

Yang, Lu; Tian, Shuairu; Yang, Wei; Xu, Mingli; Hamori, … - In: The North American journal of economics and finance : a … 45 (2018), pp. 116-137

Persistent link: https://www.econbiz.de/10012117763

Spatial spillover effects and risk contagion around G20 stock markets based on volatility network

Zhang, Weiping; Zhuang, Xintian; Lu, Yang - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-14

Persistent link: https://www.econbiz.de/10012659562

Spatial linkage of volatility spillovers and its explanation across G20 stock markets : a network framework

Zhang, Weiping; Zhuang, Xintian; Lu, Yang; Wang, Jian - In: International review of financial analysis 71 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012435765

Herding in Chinese stock markets : evidence from the dual-investor-group

Liu, Tengdong; Zheng, Dazhi; Zheng, Suyan; Lu, Yang - In: Pacific-Basin finance journal 79 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014463141

Dynamic Extremal Connectedness of Chinese Stock Market Sectors : Difference between Volatility and Uncertainty

Yang, Lu - 2022

We employ multivariate extreme value regression techniques to investigate the dynamic extremal connectedness of sectors within the Chinese stock market conditional on exogenous extreme risk. To proxy the exogenous extreme risk, we independently consider market volatility-based measures and...

Persistent link: https://www.econbiz.de/10014076408