← All authors Shixuan Wang University of Reading (from arXiv:2404.17885, 2024) · ORCID · OpenAlex
49 papers in scope · 48 published · 1 on the econ.EM arXiv · 1,020 citations · h-index 15 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Eduardo Rossi Fabrizio Ghezzi Lorenzo Trapani Lajos Horváth Alessandro Casini Anton Skrobotov Pierre Perrón Glenn D. Rudebusch Taosong Deng Eiji Kurozumi Rustam Ibragimov Ji-Hyun Kim Francis X. Diebold B. Cooper Boniece Leopoldo Catania Federico Belotti Xuanling Yang Ting Zhang Rasmus Hundsbæk Pedersen Maximilian Göbel Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (1 of 49)
Change Point Detection in the Distribution of the Errors in Dynamic Linear Models
published 2026 · Journal of Time Series Analysis
with Lajos Horváth, Z Liu, Yaosong Zhan
Do professionals’ inflation forecasts incorporate the beliefs of others? A functional data approach
published 2026 · International Journal of Forecasting
with Michael P. Clements, Mike Clements
DETECTING CHANGES IN GARCH(1,1) PROCESSES WITHOUT ASSUMING STATIONARITY
published 2025 · Econometric Theory · 1 citations · first circulated 2024
Investor sentiment from images: a few-shot learning investigation
published 2025 · Journal of Accounting Literature
with Xiaohang Ren, Wenting Jiang, Xianming Sun
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
Noncausal AR ‐ ARCH Model and Its Applications to Financial Time Series
published 2025 · International Journal of Finance & Economics · 1 citations
with Yaosong Zhan, Shiqing Ling, Zhenya Liu
Sequential Monitoring for Changes in GARCH(1,1) Models Without Assuming Stationarity
published 2025 · Journal of Time Series Analysis · 2 citations
Functional diffusion driven stochastic volatility model
published 2025 · Bernoulli · 3 citations · first circulated 2023
with Piotr Kokoszka, Neda Mohammadi, Haonan Wang
Environmental performance and credit ratings: A transatlantic study
published 2024 · International Review of Financial Analysis · 6 citations
Detection of a structural break in intraday volatility pattern
published 2024 · Stochastic Processes and their Applications · 3 citations
with Piotr Kokoszka, Tim Kutta, Neda Mohammadi, Haonan Wang
working paper 2024 · arXiv
Local media sentiment towards pollution and its effect on corporate green innovation
published 2024 · International Review of Financial Analysis · 47 citations
On the estimation of Value-at-Risk and Expected Shortfall at extreme levels
published 2024 · Journal of commodity markets · 6 citations · first circulated 2023
The Effects of Conventional and Unconventional Monetary Policy Shocks on US REITs Moments: Evidence from VARs with Functional Shocks
published 2024 · The Journal of Real Estate Finance and Economics · 5 citations
with Rangan Gupta, Matteo Bonato, Oğuzhan Çepni
Nonparametric predictive model for sparse and irregular longitudinal data
published 2024 · Biometrics · 1 citations
with Seonjin Kim, Hyunkeun Ryan Cho, Won Chang
Loss function-based change point detection in risk measures
published 2023 · European Journal of Operational Research · 9 citations
Modelling Australian electricity prices using indicator saturation
published 2023 · Energy Economics · 8 citations · first circulated 2022
with Nicholas Apergis, Wei-Fong Pan, J. James Reade
Time series momentum and reversal: Intraday information from realized semivariance
published 2023 · Journal of Empirical Finance · 11 citations · first circulated 2020
The evolvement of momentum effects in China: Evidence from functional data analysis
published 2023 · Research in International Business and Finance · 3 citations · first circulated 2022
with Bo Li, Zhenya Liu, Hanen Teka
Forecasting for lead-time period by temporal aggregation: Whether to combine and how
published 2022 · Computers in Industry · 10 citations
with Bahman Rostami-Tabar, Thanos E. Goltsos
Testing Stability in Functional Event Observations with an Application to IPO Performance
published 2022 · Journal of Business and Economic Statistics · 3 citations
Improving automotive garage operations by categorical forecasts using a large number of variables
published 2022 · European Journal of Operational Research · 2 citations
with Aris Syntetos, Ying Liu, Carla Di Cairano-Gilfedder, Mohamed Mohamed Naim
Measuring US regional economic uncertainty
published 2022 · Journal of Regional Science · 1 citations
with Wei-Fong Pan, J. James Reade
Inference in functional factor models with applications to yield curves
published 2022 · Journal of Time Series Analysis · 6 citations
Asymmetry, tail risk and time series momentum
published 2021 · International Review of Financial Analysis · 9 citations · first circulated 2020
Monitoring for a change point in a sequence of distributions
published 2021 · The Annals of Statistics · 28 citations
On the intraday return curves of Bitcoin: Predictability and trading opportunities
published 2021 · International Review of Financial Analysis · 37 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
with Xuyuan Han, Zhenya Liu
Bear, Bull, Sidewalk, and Crash: The Evolution of the US Stock Market Using Over a Century of Daily Data
published 2021 · Finance research letters · 1 citations
with Rangan Gupta, Yue-Jun Zhang
Measuring Economic Uncertainty in China †
published 2021 · Emerging Markets Finance and Trade · 10 citations · first circulated 2019
with Wei-Fong Pan, Xinjie Wang
Vines climbing higher: Risk management for commodity futures markets using a regular vine copula approach
published 2020 · International Journal of Finance & Economics · 14 citations
with Hemei Li, Zhenya Liu
Nonlinear contagion between stock and real estate markets: International evidence from a local Gaussian correlation approach
published 2020 · International Journal of Finance & Economics · 42 citations · first circulated 2019
with Elie Bouri, Rangan Gupta
Dependence structure in the Australian electricity markets: New evidence from regular vine copulae
published 2020 · Energy Economics · 32 citations
with Nicholas Apergis, Giray Gözgör, Chi Keung Marco Lau
Moments-based spillovers across gold and oil markets
published 2020 · Energy Economics · 63 citations · first circulated 2019
with Matteo Bonato, Rangan Gupta, Chi Keung Marco Lau
Testing normality of data on a multivariate grid
published 2020 · Journal of Multivariate Analysis · 9 citations
Oil price uncertainty and movements in the US government bond risk premia
published 2020 · The North American Journal of Economics and Finance · 53 citations · first circulated 2019
with Mehmet Balcılar, Rangan Gupta, Mark E. Wohar
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
Market Integration between Turkey and Eurozone Countries
published 2019 · Emerging Markets Finance and Trade · 2 citations
with Nicholas Apergis, Chi Keung Marco Lau, Fatma Öğücü Şen
Decoding the Australian electricity market: New evidence from three-regime hidden semi-Markov model
published 2018 · Energy Economics · 27 citations
with Nicholas Apergis, Giray Gözgör, Chi Keung Marco Lau
The boomerang returns? Accounting for the impact of uncertainties on the dynamics of remanufacturing systems
published 2018 · International Journal of Production Research · 104 citations
with Thanos E. Goltsos, Borja Ponte, Ying Liu, Mohamed Mohamed Naim, Aris Syntetos
Structural breaks in panel data: Large number of panels and short length time series
published 2018 · Econometric Reviews · 73 citations · first circulated 2017
Bitcoin and global financial stress: A copula-based approach to dependence and causality in the quantiles
published 2018 · The Quarterly Review of Economics and Finance · 197 citations · first circulated 2017
with Elie Bouri, Rangan Gupta, Chi Keung Marco Lau, David Roubaud
Understanding the Chinese stock market: international comparison and policy implications
published 2017 · Economic and Political Studies · 6 citations
Decoding Chinese stock market returns: Three-state hidden semi-Markov model
published 2017 · Pacific-Basin Finance Journal · 4 citations
Return spillovers between white precious metal ETFs: The role of oil, gold, and global equity
published 2017 · International Review of Financial Analysis · 112 citations
with Chi Keung Marco Lau, Samuel A. Vigne, Larisa Yarovaya
Multivariate Volatility Regulated Kelly Strategy: A Superior Choice in Low Correlated Portfolios
published 2017 · Theoretical Economics Letters · 2 citations
Detecting at‐Most‐m Changes in Linear Regression Models
published 2016 · Journal of Time Series Analysis · 14 citations
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