32 citations · 155 across the 17 of their papers we have counts for
16 papers · 1 filter
The impact of the Russia-Ukraine conflict on the extreme risk spillovers between agricultural futures and spots
Wei-Xing Zhou, Yun-Shi Dai, Kiet Tuan Duong +1
The ongoing Russia-Ukraine conflict between two major agricultural powers has posed significant threats and challenges to the global food system and world food security. Focusing o…
Correlation structure analysis of the global agricultural futures market
Yun-Shi Dai, Ngoc Quang Anh Huynh, Qing-Huan Zheng +1
This paper adopts the random matrix theory (RMT) to analyze the correlation structure of the global agricultural futures market from 2000 to 2020. It is found that the distribution…
The role of global economic policy uncertainty in predicting crude oil futures volatility: Evidence from a two-factor GARCH-MIDAS model
Peng-Fei Dai, Xiong Xiong, Wei-Xing Zhou
This paper aims to examine whether the global economic policy uncertainty (GEPU) and uncertainty changes have different impacts on crude oil futures volatility. We establish single…
Evolving efficiency and robustness of global oil trade networks
Wen-Jie Xie, Na Wei, Wei-Xing Zhou
As a vital strategic resource, oil has an essential influence on the world economy, diplomacy and military development. Using oil trade data to dynamically monitor and warn about i…
Horse race of weekly idiosyncratic momentum strategies with respect to various risk metrics: Evidence from the Chinese stock market
Huai-Long Shi, Wei-Xing Zhou
This paper focuses on the horse race of weekly idiosyncratic momentum (IMOM) with respect to various idiosyncratic risk metrics. Using the A-share individual stocks in the Chinese…
Comparative analysis of layered structures in empirical investor networks and cellphone communication networks
Peng Wang, Jun-Chao Ma, Zhi-Qiang Jiang +2
Empirical investor networks (EIN) proposed by \cite{Ozsoylev-Walden-Yavuz-Bildik-2014-RFS} are assumed to capture the information spreading path among investors. Here, we perform a…