Yaojie Zhang
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Yaojie |
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Zhang |
Identifer
Contact
Affiliations
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Nanjing University of Science and Technology
/ School of Economics and Management
Research profile
author of:
- Predicting stock realized variance based on an asymmetric robust regression approach (RePEc:bla:buecrs:v:75:y:2023:i:4:p:1022-1047)
by Yaojie Zhang & Mengxi He & Yuqi Zhao & Xianfeng Hao - Realized skewness and the short-term predictability for aggregate stock market volatility (RePEc:eee:ecmode:v:103:y:2021:i:c:s0264999321002030)
by Zhang, Zhikai & He, Mengxi & Zhang, Yaojie & Wang, Yudong - Hedging pressure momentum and the predictability of oil futures returns (RePEc:eee:ecmode:v:121:y:2023:i:c:s0264999323000263)
by Yu, Dan & Chen, Chuang & Wang, Yudong & Zhang, Yaojie - Forecasting the aggregate oil price volatility in a data-rich environment (RePEc:eee:ecmode:v:72:y:2018:i:c:p:320-332)
by Ma, Feng & Liu, Jing & Wahab, M.I.M. & Zhang, Yaojie - Forecasting the prices of crude oil using the predictor, economic and combined constraints (RePEc:eee:ecmode:v:75:y:2018:i:c:p:237-245)
by Yi, Yongsheng & Ma, Feng & Zhang, Yaojie & Huang, Dengshi - Intraday momentum and stock return predictability: Evidence from China (RePEc:eee:ecmode:v:76:y:2019:i:c:p:319-329)
by Zhang, Yaojie & Ma, Feng & Zhu, Bo - Forecasting stock returns: Do less powerful predictors help? (RePEc:eee:ecmode:v:78:y:2019:i:c:p:32-39)
by Zhang, Yaojie & Zeng, Qing & Ma, Feng & Shi, Benshan - Economic policy uncertainty and the Chinese stock market volatility: Novel evidence (RePEc:eee:ecmode:v:87:y:2020:i:c:p:24-33)
by Li, Tao & Ma, Feng & Zhang, Xuehua & Zhang, Yaojie - Intraday return predictability in China’s crude oil futures market: New evidence from a unique trading mechanism (RePEc:eee:ecmode:v:96:y:2021:i:c:p:209-219)
by Wen, Danyan & Wang, Yudong & Zhang, Yaojie - Are low-frequency data really uninformative? A forecasting combination perspective (RePEc:eee:ecofin:v:44:y:2018:i:c:p:92-108)
by Ma, Feng & Li, Yu & Liu, Li & Zhang, Yaojie - Forecasting the Chinese stock market volatility with international market volatilities: The role of regime switching (RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819302293)
by Zhang, Yaojie & Lei, Likun & Wei, Yu - Out-of-sample prediction of Bitcoin realized volatility: Do other cryptocurrencies help? (RePEc:eee:ecofin:v:62:y:2022:i:c:s106294082200081x)
by Yi, Yongsheng & He, Mengxi & Zhang, Yaojie - Harnessing jump component for crude oil volatility forecasting in the presence of extreme shocks (RePEc:eee:empfin:v:52:y:2019:i:c:p:40-55)
by Ma, Feng & Liao, Yin & Zhang, Yaojie & Cao, Yang - Forecasting crude oil prices with a large set of predictors: Can LASSO select powerful predictors? (RePEc:eee:empfin:v:54:y:2019:i:c:p:97-117)
by Zhang, Yaojie & Ma, Feng & Wang, Yudong - Forecasting carbon prices under diversified attention: A dynamic model averaging approach with common factors (RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324002457)
by Zhang, Zhikai & Wang, Yudong & Zhang, Yaojie & Wang, Qunwei - Forecasting the prices of crude oil: An iterated combination approach (RePEc:eee:eneeco:v:70:y:2018:i:c:p:472-483)
by Zhang, Yaojie & Ma, Feng & Shi, Benshan & Huang, Dengshi - Forecasting the oil futures price volatility: Large jumps and small jumps (RePEc:eee:eneeco:v:72:y:2018:i:c:p:321-330)
by Liu, Jing & Ma, Feng & Yang, Ke & Zhang, Yaojie - Forecasting oil futures price volatility: New evidence from realized range-based volatility (RePEc:eee:eneeco:v:75:y:2018:i:c:p:400-409)
by Ma, Feng & Zhang, Yaojie & Huang, Dengshi & Lai, Xiaodong - Forecasting oil price volatility: Forecast combination versus shrinkage method (RePEc:eee:eneeco:v:80:y:2019:i:c:p:423-433)
by Zhang, Yaojie & Wei, Yu & Zhang, Yi & Jin, Daxiang - Out-of-sample prediction of the oil futures market volatility: A comparison of new and traditional combination approaches (RePEc:eee:eneeco:v:81:y:2019:i:c:p:1109-1120)
by Zhang, Yaojie & Ma, Feng & Wei, Yu - Good, bad cojumps and volatility forecasting: New evidence from crude oil and the U.S. stock markets (RePEc:eee:eneeco:v:81:y:2019:i:c:p:52-62)
by Chen, Yixiang & Ma, Feng & Zhang, Yaojie - Geopolitical risk and oil volatility: A new insight (RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319303433)
by Liu, Jing & Ma, Feng & Tang, Yingkai & Zhang, Yaojie - Forecasting crude oil prices: A scaled PCA approach (RePEc:eee:eneeco:v:97:y:2021:i:c:s0140988321000943)
by He, Mengxi & Zhang, Yaojie & Wen, Danyan & Wang, Yudong - Geopolitical risk trends and crude oil price predictability (RePEc:eee:energy:v:258:y:2022:i:c:s0360544222017273)
by Zhang, Zhikai & He, Mengxi & Zhang, Yaojie & Wang, Yudong - Forecasting crude oil price returns: Can nonlinearity help? (RePEc:eee:energy:v:262:y:2023:i:pb:s0360544222024756)
by Zhang, Yaojie & He, Mengxi & Wen, Danyan & Wang, Yudong - Economic constraints and stock return predictability: A new approach (RePEc:eee:finana:v:63:y:2019:i:c:p:1-9)
by Zhang, Yaojie & Wei, Yu & Ma, Feng & Yi, Yongsheng - Forecasting stock returns with cycle-decomposed predictors (RePEc:eee:finana:v:64:y:2019:i:c:p:250-261)
by Yi, Yongsheng & Ma, Feng & Zhang, Yaojie & Huang, Dengshi - Information connectedness of international crude oil futures: Evidence from SC, WTI, and Brent (RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000709)
by Wei, Yu & Zhang, Yaojie & Wang, Yudong - Detection of fraud statement based on word vector: Evidence from financial companies in China (RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321004578)
by Zhang, Yi & Hu, Ailing & Wang, Jiahua & Zhang, Yaojie - Geopolitical risk and stock market volatility: A global perspective (RePEc:eee:finlet:v:53:y:2023:i:c:s1544612322007966)
by Zhang, Yaojie & He, Jiaxin & He, Mengxi & Li, Shaofang - Forecasting stock market volatility: The sum of the parts is more than the whole (RePEc:eee:finlet:v:55:y:2023:i:pa:s1544612323002210)
by Gao, Shang & Zhang, Zhikai & Wang, Yudong & Zhang, Yaojie - Climate risk exposure and the cross-section of Chinese stock returns (RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003598)
by Zhang, Yaojie & He, Mengxi & Liao, Cunfei & Wang, Yudong - Predicting cryptocurrency returns for real-world investments: A daily updated and accessible predictor (RePEc:eee:finlet:v:58:y:2023:i:pa:s154461232300778x)
by He, Mengxi & Shen, Lihua & Zhang, Yaojie & Zhang, Yi - Climate policy uncertainty and the stock return predictability of the oil industry (RePEc:eee:intfin:v:81:y:2022:i:c:s1042443122001470)
by He, Mengxi & Zhang, Yaojie - Forecasting global equity market volatilities (RePEc:eee:intfor:v:36:y:2020:i:4:p:1454-1475)
by Zhang, Yaojie & Ma, Feng & Liao, Yin - Forecasting crude oil market volatility using variable selection and common factor (RePEc:eee:intfor:v:39:y:2023:i:1:p:486-502)
by Zhang, Yaojie & Wahab, M.I.M. & Wang, Yudong - Forecasting crude oil futures market returns: A principal component analysis combination approach (RePEc:eee:intfor:v:39:y:2023:i:2:p:659-673)
by Zhang, Yaojie & Wang, Yudong - Global economic policy uncertainty aligned: An informative predictor for crude oil market volatility (RePEc:eee:intfor:v:39:y:2023:i:3:p:1318-1332)
by Zhang, Yaojie & He, Mengxi & Wang, Yudong & Liang, Chao - Information transmission between gold and financial assets: Mean, volatility, or risk spillovers? (RePEc:eee:jrpoli:v:69:y:2020:i:c:s0301420720309028)
by Wen, Danyan & Wang, Yudong & Ma, Chaoqun & Zhang, Yaojie - Forecasting crude oil market returns: Enhanced moving average technical indicators (RePEc:eee:jrpoli:v:76:y:2022:i:c:s0301420722000216)
by Wen, Danyan & Liu, Li & Wang, Yudong & Zhang, Yaojie - How macro-variables drive crude oil volatility? Perspective from the STL-based iterated combination method (RePEc:eee:jrpoli:v:77:y:2022:i:c:s0301420722001052)
by Zhang, Li & Wang, Lu & Wang, Xunxiao & Zhang, Yaojie & Pan, Zhigang - Forecasting China's crude oil futures volatility: How to dig out the information of other energy futures volatilities? (RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722002987)
by Jin, Daxiang & He, Mengxi & Xing, Lu & Zhang, Yaojie - Forecasting crude oil market volatility: A newspaper-based predictor regarding petroleum market volatility (RePEc:eee:jrpoli:v:79:y:2022:i:c:s0301420722005360)
by Song, Yixuan & He, Mengxi & Wang, Yudong & Zhang, Yaojie - Not all geopolitical shocks are alike: Identifying price dynamics in the crude oil market under tensions (RePEc:eee:jrpoli:v:80:y:2023:i:c:s030142072200681x)
by Zhang, Zhikai & Wang, Yudong & Xiao, Jihong & Zhang, Yaojie - Forecasting the U.S. stock volatility: An aligned jump index from G7 stock markets (RePEc:eee:pacfin:v:54:y:2019:i:c:p:132-146)
by Ma, Feng & Wahab, M.I.M. & Zhang, Yaojie - Policy uncertainty, investor sentiment, and good and bad volatilities in the stock market: Evidence from China (RePEc:eee:pacfin:v:84:y:2024:i:c:s0927538x24000544)
by Xiao, Jihong & Jiang, Jiajie & Zhang, Yaojie - Does US Economic Policy Uncertainty matter for European stock markets volatility? (RePEc:eee:phsmap:v:512:y:2018:i:c:p:215-221)
by Mei, Dexiang & Zeng, Qing & Zhang, Yaojie & Hou, Wenjing - Forecasting the Chinese stock volatility across global stock markets (RePEc:eee:phsmap:v:525:y:2019:i:c:p:466-477)
by Liu, Jing & Ma, Feng & Zhang, Yaojie - Dynamic asymmetric impact of equity market uncertainty on energy markets: A time-varying causality analysis (RePEc:eee:renene:v:196:y:2022:i:c:p:535-546)
by Hong, Yanran & Wang, Lu & Ye, Xiaoqing & Zhang, Yaojie - Forecasting crude oil prices: A reduced-rank approach (RePEc:eee:reveco:v:88:y:2023:i:c:p:698-711)
by Song, Yixuan & He, Mengxi & Wang, Yudong & Zhang, Yaojie - New evidence of extreme risk transmission between financial stress and international crude oil markets (RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002392)
by Hong, Yanran & Li, Pan & Wang, Lu & Zhang, Yaojie - Forecasting aggregate stock market volatility with industry volatilities: The role of spillover index (RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923001095)
by He, Mengxi & Wang, Yudong & Zeng, Qing & Zhang, Yaojie - The pricing of loan insurance based on the Gram-Charlier option model (RePEc:eme:cfripp:cfri-10-2017-0210)
by Yaojie Zhang & Yu Wei & Benshan Shi - Systematic risk and deposit insurance pricing (RePEc:eme:cfripp:cfri-12-2016-0133)
by Yaojie Zhang & Benshan Shi - Forecasting the Chinese Stock Market Volatility with G7 Stock Market Volatilities: A Scaled PCA Approach (RePEc:mes:emfitr:v:58:y:2022:i:13:p:3639-3650)
by Yongsheng Yi & Yaojie Zhang & Jihong Xiao & Xunxiao Wang - Market Skewness and Stock Return Predictability: New Evidence from China (RePEc:mes:emfitr:v:60:y:2024:i:2:p:233-244)
by Yuqing Feng & Mengxi He & Yaojie Zhang - Forecasting the equity premium using weighted regressions: Does the jump variation help? (RePEc:spr:empeco:v:66:y:2024:i:5:d:10.1007_s00181-023-02521-8)
by Zhikai Zhang & Yaojie Zhang & Yudong Wang - To jump or not to jump: momentum of jumps in crude oil price volatility prediction (RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-022-00360-7)
by Yaojie Zhang & Yudong Wang & Feng Ma & Yu Wei - Does default point vary with firm size? (RePEc:taf:apeclt:v:25:y:2018:i:15:p:1078-1082)
by Yaojie Zhang & Benshan Shi - Volatility forecasting: long memory, regime switching and heteroscedasticity (RePEc:taf:applec:v:51:y:2019:i:38:p:4151-4163)
by Feng Ma & Xinjie Lu & Ke Yang & Yaojie Zhang - Economic policy uncertainty and the Chinese stock market volatility: new evidence (RePEc:taf:applec:v:51:y:2019:i:49:p:5398-5410)
by Yu Li & Feng Ma & Yaojie Zhang & Zuoping Xiao - Forecasting the aggregate stock market volatility in a data-rich world (RePEc:taf:applec:v:52:y:2020:i:32:p:3448-3463)
by Li Liu & Feng Ma & Qing Zeng & Yaojie Zhang - Forecasting the Chinese stock market volatility: A regression approach with a t-distributed error (RePEc:taf:applec:v:54:y:2022:i:50:p:5811-5826)
by Mengxi He & Yaojie Zhang & Danyan Wen & Yudong Wang - Forecasting the volatility of the German stock market: New evidence (RePEc:taf:applec:v:54:y:2022:i:9:p:1055-1070)
by Chao Liang & Yi Zhang & Yaojie Zhang - Forecasting stock market realized volatility: the role of global terrorist attacks (RePEc:taf:applec:v:55:y:2023:i:22:p:2551-2566)
by Danyan Wen & Mengxi He & Yudong Wang & Yaojie Zhang - Improving forecasting performance of realized covariance with extensions of HAR-RCOV model: statistical significance and economic value (RePEc:taf:quantf:v:19:y:2019:i:9:p:1425-1438)
by Yaojie Zhang & Yu Wei & Li Liu - Forecasting crude oil prices: do technical indicators need economic constraints? (RePEc:taf:quantf:v:22:y:2022:i:8:p:1545-1559)
by Danyan Wen & Mengxi He & Li Liu & Yaojie Zhang - Forecasting the volatility of Chinese stock market: An international volatility index (RePEc:wly:ijfiec:v:26:y:2021:i:1:p:1336-1350)
by Likun Lei & Yaojie Zhang & Yu Wei & Yi Zhang - Good variance, bad variance, and stock return predictability (RePEc:wly:ijfiec:v:26:y:2021:i:3:p:4410-4423)
by Yaojie Zhang & Feng Ma & Chao Liang & Yi Zhang - Which predictor is more predictive for Bitcoin volatility? And why? (RePEc:wly:ijfiec:v:27:y:2022:i:2:p:1947-1961)
by Chao Liang & Yaojie Zhang & Xiafei Li & Feng Ma - Forecasting the oil price realized volatility: A multivariate heterogeneous autoregressive model (RePEc:wly:ijfiec:v:27:y:2022:i:4:p:4770-4783)
by Yusui Tang & Feng Ma & Yaojie Zhang & Yu Wei - Out‐of‐sample volatility prediction: A new mixed‐frequency approach (RePEc:wly:jforec:v:38:y:2019:i:7:p:669-680)
by Yaojie Zhang & Feng Ma & Tianyi Wang & Li Liu - Is implied volatility more informative for forecasting realized volatility: An international perspective (RePEc:wly:jforec:v:39:y:2020:i:8:p:1253-1276)
by Chao Liang & Yu Wei & Yaojie Zhang - Forecasting US stock market volatility: How to use international volatility information (RePEc:wly:jforec:v:40:y:2021:i:5:p:733-768)
by Yaojie Zhang & Yudong Wang & Feng Ma - Forecasting stock return volatility using a robust regression model (RePEc:wly:jforec:v:40:y:2021:i:8:p:1463-1478)
by Mengxi He & Xianfeng Hao & Yaojie Zhang & Fanyi Meng - Forecasting realized volatility of Chinese stock market: A simple but efficient truncated approach (RePEc:wly:jforec:v:41:y:2022:i:2:p:230-251)
by Danyan Wen & Mengxi He & Yaojie Zhang & Yudong Wang - Forecasting Bitcoin volatility: A new insight from the threshold regression model (RePEc:wly:jforec:v:41:y:2022:i:3:p:633-652)
by Yaojie Zhang & Mengxi He & Danyan Wen & Yudong Wang - Forecasting international equity market volatility: A new approach (RePEc:wly:jforec:v:41:y:2022:i:7:p:1433-1457)
by Chao Liang & Yan Li & Feng Ma & Yaojie Zhang - Default return spread: A powerful predictor of crude oil price returns (RePEc:wly:jforec:v:42:y:2023:i:7:p:1786-1804)
by Qingxiang Han & Mengxi He & Yaojie Zhang & Muhammad Umar - Out‐of‐sample volatility prediction: Rolling window, expanding window, or both? (RePEc:wly:jforec:v:43:y:2024:i:3:p:567-582)
by Yuqing Feng & Yaojie Zhang & Yudong Wang - The predictability of iron ore futures prices: A product‐material lead–lag effect (RePEc:wly:jfutmk:v:43:y:2023:i:9:p:1289-1304)
by Mengxi He & Yudong Wang & Yaojie Zhang - The predictability of carbon futures volatility: New evidence from the spillovers of fossil energy futures returns (RePEc:wly:jfutmk:v:44:y:2024:i:4:p:557-584)
by Zhikai Zhang & Yaojie Zhang & Yudong Wang & Qunwei Wang - Interest rate level and stock return predictability (RePEc:wly:revfec:v:37:y:2019:i:4:p:506-522)
by Yongsheng Yi & Feng Ma & Dengshi Huang & Yaojie Zhang