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Directed graphs, information structure and forecast combinations : an empirical examination of US unemployment rates

Wang, Zijun - In: Journal of forecasting 29 (2010) 4, pp. 353-366

Persistent link: https://www.econbiz.de/10003989756

Estimation of market information shares : a comparison

Lien, Da-hsiang Donald; Wang, Zijun - In: The journal of futures markets 36 (2016) 11, pp. 1108-1124

Persistent link: https://www.econbiz.de/10011569017

Dynamic trading volume and stock return relation : does it hold out of sample?

Wang, Zijun; Qian, Yan; Wang, Shiwen - In: International review of financial analysis 58 (2018), pp. 195-210

Persistent link: https://www.econbiz.de/10012006446

Market states and the risk-return tradeoff

Wang, Zijun; Khan, M. M. Moosa - In: The quarterly review of economics and finance : journal … 65 (2017), pp. 314-327

Persistent link: https://www.econbiz.de/10011792498

Time-varying risk-returm trade-off in the stock market

Guo, Hui; Wang, Zijun; Yang, Jian - In: Journal of money, credit and banking : JMCB 45 (2013) 4, pp. 623-650

Persistent link: https://www.econbiz.de/10009759991

Not Just the News : Higher Moments of Macroeconomic Variables and Sovereign Bond Returns

Li, Yulin; Wald, John K.; Wang, Zijun - 2023

Using sovereign debt data from 47 countries, we document that the third moment (skewness) of unemployment changes has a positive and significant relation with sovereign bond returns. Thus, while investors require risk premia for exposure to macroeconomic shocks (Campbell, 1996), we find that the...

Persistent link: https://www.econbiz.de/10014257366