A5036377212- Risk Management in Financial Firms
- Monetary Policy and Economic Impact
- Fiscal Policy and Economic Growth
- Global Financial Crisis and Policies
- Spacecraft Dynamics and Control
- Market Dynamics and Volatility
- Financial Risk and Volatility Modeling
- Unemployment and Economic Growth
- Astro and Planetary Science
- Planetary Science and Exploration
- Economic Theory and Policy
- Global trade and economics
- Corporate Finance and Governance
- Forest Management and Policy
- Capital Investment and Risk Analysis
- Financial Markets and Investment Strategies
- Housing Market and Economics
- demographic modeling and climate adaptation
- Climate Change Policy and Economics
- Financial Literacy, Pension, Retirement Analysis
- Aerospace Engineering and Energy Systems
- Evaluation and Optimization Models
- Air Quality and Health Impacts
- Evaluation Methods in Various Fields
- Social Acceptance of Renewable Energy
Harbin Institute of Technology
2015-2024
University of Sheffield
2014-2020
Weichai Power (China)
2017-2018
London School of Economics and Political Science
2016
Northwest A&F University
2010-2014
Beijing Wuzi University
2009
Abstract This study explores the asymmetric exchange rate exposure of stock returns building upon capital asset pricing model (CAPM) framework, using monthly Chinese industry indices. We are interested in estimating long run and short relationships as well effects. In order to do so, we estimate nonlinear autoregressive distributed lags models (1) obtain or cointegrated effects dynamics, (2) be able mix I(1) I(0) variables (3) split effect positive negative changes variables, i.e....
Purpose This study investigates the spillover effects between exchange rate changes and stock returns in China. The authors find that no significant interconnections exist rates changes. Design/methodology/approach Although conventional structural VAR (SVAR) approach fails to examine contemporaneous effects, Markov switching SVAR model captures volatile structure of Chinese financial market. regime-switching estimates indicate tends be during two crisis periods. Findings Notwithstanding fact...
Abstract This study investigates the exchange rate exposure of C hinese firms at industry and firm level based on conventional capital asset pricing model ( CAPM ) framework. At level, dynamic conditional correlation MGARCH (DCC MGARCH) estimates demonstrate that market three‐factor are appropriate for measurements, returns more likely to be exposed unanticipated changes in real trade‐weighted effective rate, particularly manufacturing industries. although seemingly unrelated regression...
Abstract In this study, Chinese Academy of Sciences land cover dataset (CAS_LC) and soil texture (CAS_ST) as well Tsinghua University (TU_LC) were incorporated into the Weather Research Forecasting (WRF) model to evaluate impacts changes on surface wind air temperature compared with outdated default datasets. Six modeling scenarios including single updating for three new datasets, combined datasets (CAS_LC + CAS_ST, TU_LC CAS_ST), are designed. WRF simulations conducted resolutions (9, 3, 1...
Following Bali (2008) we estimate conditional market beta of 10 momentum and 25 size book-to-market portfolios using a multivariate GARCH model. Conditional determine expected returns covariances assets. Therefore, shocks to are the investment opportunity set, priced state variables in ICAPM. We find that carry significant risk premia. further document striking relationship between Fama-French-Carhart (FFC) size, factors. Our findings provide an economic interpretation for FFC factors as...
This study examines the symmetric and asymmetric exchange rate exposures of Chinese automobile firms at different time horizons. Empirical findings reveal that firm returns are less likely to be affected by currency movements short-term (daily) horizons due restrictions on daily trading band, but (a)symmetric appear significant relatively longer after launch RMB internationalisation, particularly for monthly The evidence also show ordinary auto underperform those Fortune 500 B-share in...
This study investigates the asymmetric unemployment-output tradeoff in Eurozone. Building upon framework of an augmented Okun’s law, nonlinear autoregressive distributed lag (NARDL) modelling reveals that nature law is asymmetric. For Eurozone economies, empirical evidence demonstrates labour markets quickly respond to cyclical outputs a short period, while adjustments towards new equilibrium become weak long run. In addition, cross-sectional analysis run asymmetries indicates government...