← All authors Zhenya Liu Renmin University of China (from arXiv:2002.04101, 2020) · ORCID · OpenAlex
35 papers in scope · 34 published · 1 on the econ.EM arXiv · 502 citations · h-index 14 (over the papers listed here)
Papers (1 of 35)
Extreme fund performance and investor divergence in beliefs about manager skill
published 2025 · Journal of Financial Markets
with Yaosong Zhan, Wenwen Zhang
Sequential Monitoring for Changes in Dynamic Semiparametric Risk Models
published 2025 · Journal of Business and Economic Statistics · first circulated 2024
Modeling bimodal stock price dynamics by a parsimonious diffusion process
published 2025 · International Review of Financial Analysis
Understanding the complexity of futures markets investing in China: evidence from deep learning techniques
published 2024 · Annals of Operations Research · 1 citations
with Nawazish Mirza, Rongyu You, Yaosong Zhan
Time series momentum and reversal: Intraday information from realized semivariance
published 2023 · Journal of Empirical Finance · 11 citations · first circulated 2020
Breaks in term structures: Evidence from the oil futures markets
published 2023 · International Journal of Finance & Economics · 3 citations
Optimal Stopping Methods for Investment Decisions: A Literature Review
published 2022 · International Journal of Financial Studies · 4 citations
with Yuhao Mu
Forecasting oil commodity spot price in a data-rich environment
published 2022 · Annals of Operations Research · 23 citations
with Sabri Boubaker, Yifan Zhang
Testing Stability in Functional Event Observations with an Application to IPO Performance
published 2022 · Journal of Business and Economic Statistics · 3 citations
Smart money in China's A-share market: Evidence from big data
published 2022 · Research in International Business and Finance · 5 citations
with Zhenhua Chen, Hanen Teka, Yifan Zhang
Investor behavior and filter rule revisiting
published 2022 · Journal of Behavioral and Experimental Finance · 4 citations
with Yaosong Zhan
Risk‐neutral skewness and commodity futures pricing
published 2022 · Journal of Futures Markets · 10 citations
with Ana-María Fuertes, Weiqing Tang
Asymmetry, tail risk and time series momentum
published 2021 · International Review of Financial Analysis · 9 citations · first circulated 2020
Detecting common breaks in the means of high dimensional cross-dependent panels
published 2021 · Econometrics Journal · 12 citations
How to identify the different phases of stock market bubbles statistically?
published 2021 · Finance research letters · 13 citations
An R-vine copula analysis of non-ferrous metal futures with application in Value-at-Risk forecasting
published 2021 · Journal of commodity markets · 22 citations · first circulated 2020
SEQUENTIAL MONITORING OF CHANGES IN DYNAMIC LINEAR MODELS, APPLIED TO THE U.S. HOUSING MARKET
published 2021 · Econometric Theory · 16 citations
Trading signal, functional data analysis and time series momentum
published 2021 · Finance research letters · 5 citations
Time-varying beta in functional factor models: Evidence from China
published 2020 · The North American Journal of Economics and Finance · 11 citations
working paper 2020 · arXiv
A functional time series analysis of forward curves derived from commodity futures
published 2019 · International Journal of Forecasting · 16 citations · first circulated 2018
Sequential monitoring for changes from stationarity to mild non-stationarity
published 2019 · Journal of Econometrics · 15 citations
A study of data-driven momentum and disposition effects in the Chinese stock market by functional data analysis
published 2019 · Review of Quantitative Finance and Accounting · 21 citations
Novel multifunctional cheese-like 3D carbon-BN as a highly efficient adsorbent for water purification
published 2018 · Scientific Reports · 56 citations
with Yi Fang, Huichao Jia, Chong Wang, Qianqian Song, Lanlan Li, Jing Lin, Yang Huang, Chao Yu, Chengchun Tang
Understanding the Chinese stock market: international comparison and policy implications
published 2017 · Economic and Political Studies · 6 citations
Self-sacrificed template synthesis of ribbon-like hexagonal boron nitride nano-architectures and their improvement on mechanical and thermal properties of PHA polymer
published 2017 · Scientific Reports · 16 citations
with Yan Zhao, Chaochao Cao, Chong Wang, Yi Fang, Yang Huang, Chao Yu, Jun Zhang, Lanlan Li, Long Hu, Chengchun Tang
Decoding Chinese stock market returns: Three-state hidden semi-Markov model
published 2017 · Pacific-Basin Finance Journal · 4 citations
Desulfurization of Model Oil by Selective Adsorption over Porous Boron Nitride Fibers with Tailored Microstructures
published 2017 · Scientific Reports · 45 citations
with Zhiyi Yan, Jing Lin, Xiaohai Yuan, Tao Song, Chao Yu, Xin He, Jianli Liang, Chengchun Tang, Yang Huang
Multivariate Volatility Regulated Kelly Strategy: A Superior Choice in Low Correlated Portfolios
published 2017 · Theoretical Economics Letters · 2 citations
Europium (III) Organic Complexes in Porous Boron Nitride Microfibers: Efficient Hybrid Luminescent Material
published 2016 · Scientific Reports · 25 citations
with Jing Lin, Congcong Feng, Xin He, Weijia Wang, Yi Fang, Jie Li, Chengchun Tang, Yang Huang
Organic Fluorescent Dyes Supported on Activated Boron Nitride: A Promising Blue Light Excited Phosphors for High-Performance White Light-Emitting Diodes
published 2015 · Scientific Reports · 23 citations
with Jie Li, Jing Lin, Yang Huang, Xuewen Xu, Yanming Xue, Xiaoxia Ding, Han Luo, Peng Jin, Jun Zhang, Jin Zou, Chengchun Tang
Asymptotic Marginal Tax Rate of Individual Income Tax in China
published 2014 · Economic and Political Studies
with Wu Yang, David Dickinson
The financial integration of China: New evidence on temporally aggregated data for the A-share market
published 2007 · China Economic Review · 59 citations
with Éric Girardin
Bank credit and seasonal anomalies in China's stock markets
published 2005 · China Economic Review · 27 citations
with Éric Girardin
The Chinese Stock Market: A Casino with 'Buffer Zones'?
published 2003 · Journal of Chinese Economic and Business Studies · 35 citations
with Éric Girardin
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