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The importance of extreme shock : examining the effect of investor sentiment on the crude oil futures market

Wang, Lu; Ma, Feng; Niu, Tianjiao; Liang, Chao - In: Energy economics 99 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012939414

Estimation of high-dimensional factor models with multiple structural changes

Wang, Lu; Wu, Jianhong - In: Economic modelling 108 (2022), pp. 1-11

Persistent link: https://www.econbiz.de/10013347719

Forecasting renewable energy stock volatility using short and long-term Markov switching GARCH-MIDAS models : either, neither or both?

Wang, Lu; Wu, Jiangbin; Cao, Yang; Hong, Yanran - In: Energy economics 111 (2022), pp. 1-12

Persistent link: https://www.econbiz.de/10013349997

More attention and better volatility forecast accuracy : how does war attention affect stock volatility predictability?

Liang, Chao; Wang, Lu; Duy Duong - In: Journal of economic behavior & organization 218 (2024), pp. 1-19

Persistent link: https://www.econbiz.de/10014552793

A semiparametric alternative to the Heckman correction : application with left-censored data on parental transfers

Wang, Lu; Jiang, Yixiao; He, Zhaochen - In: Empirical economics : a quarterly journal of the … 66 (2024) 4, pp. 1847-1866

Persistent link: https://www.econbiz.de/10014520057

Estimation and testing of the factor-augmented panel regression models with missing data

Xiao, Difa; Wang, Lu; Wu, Jianhong - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 28 (2024) 4, pp. 583-604

Persistent link: https://www.econbiz.de/10015123069

The relationship between renewable energy attention and volatility : a HAR model with markov time-varying transition probability

Duan, Huayou; Zhao, Chenchen; Wang, Lu; Liu, Guangqiang - In: Research in international business and finance 71 (2024), pp. 1-17

Persistent link: https://www.econbiz.de/10015062160

Do extreme shocks help forecast oil price volatility? : the augmented GARCH-MIDAS approach

Wang, Lu; Ma, Feng; Liu, Guoshan; Lang, Qiaoqi - In: International journal of finance & economics : IJFE 28 (2023) 2, pp. 2056-2073

Persistent link: https://www.econbiz.de/10014253654

A New Measure of Monetary Policy Shocks

Zhang, Xu - 2018

This paper constructs a new measure of monetary policy shocks that is orthogonal to fundamentals by combining the high-frequency approach of Gurkaynak et al. (2005) and Romer and Romer (2004)'s narrative approach. The empirical features of the new measure are: (i) contractionary monetary policy...

Persistent link: https://www.econbiz.de/10012907026

A regime-switching approach to estimating the nonlinear quantity-based monetary policy rule in China

Zhang, Xu; Liu, Xiaoxing; Hang, Jianqin; Yao, Dengbao - In: Applied economics letters 24 (2017) 1/3, pp. 132-135

Persistent link: https://www.econbiz.de/10011703973