Yu Wei

Economics and Econometrics · Finance Research Letters · 2008–2021

A researcher in the Science corpus: 29 papers; trusts 110 researchers and is trusted by 27 researchers here, as inferred from the citation graph.

Subfields

• Economics and Econometrics — 592 citations into it; #3,175 of 23,481 by trust here, #1,235 by citations
• Finance — 344 citations into it; #2,326 of 10,518 by trust here, #975 by citations
• Renewable Energy, Sustainability and the Environment — 108 citations into it; #4,977 of 5,212 by trust here, #2,599 by citations
• Management Science and Operations Research — 104 citations into it
• Statistical and Nonlinear Physics — 79 citations into it; #7,442 of 10,127 by trust here, #2,928 by citations
• Statistics and Probability — 35 citations into it
• Molecular Biology — 34 citations into it
• Condensed Matter Physics — 25 citations into it; #1,358 of 1,948 by trust here, #863 by citations

Whom Yu Wei trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. P. R. Hansen
2. Tim Bollerslev
3. Torben G. Andersen
4. Robert F. Engle
5. Halbert White
6. Yudong Wang
7. Fulvio Corsi
8. Lutz Kilian
9. Ole E. Barndorff-Nielsen
10. Perry Sadorsky

Who trusts Yu Wei overall

1. Feng Ma
2. Yue‐Jun Zhang
3. Chao Liang
4. Jing Liu
5. Stavros Degiannakis *
6. Guangxi Cao
7. Erik Haugom
8. M. Wahab
9. Ladislav Kristoufek
10. Jinliang Zhang

Papers from Yu Wei's perspective

Ordered by how strongly the researchers Yu Wei trusts endorse each paper. Same corpus, a different order for every researcher.

1. Generalized autoregressive conditional heteroskedasticity
2. Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (Review of Economics and Statistics)
3. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
4. Dynamic Conditional Correlation
5. Econometric analysis of realized volatility and its use in estimating stochastic volatility models
6. A Reality Check for Data Snooping
7. Dynamic Conditional Correlation a Simple Class of Multivariate GARCH Models
8. A Simple Long Memory Model of Realized Volatility
9. The distribution of realized stock return volatility
10. Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics

Their papers

• Forecasting crude oil market volatility: Further evidence using GARCH-class models (2010) — 383 citations
• Measuring contagion between energy market and stock market during financial crisis: A copula approach (2012) — 267 citations
• Detrended fluctuation analysis on spot and futures markets of West Texas Intermediate crude oil (2011) — 130 citations
• Cross-correlations between Chinese A-share and B-share markets (2010) — 170 citations
• Some q‐rung orthopair fuzzy Heronian mean operators in multiple attribute decision making (2018) — 416 citations
• Forecasting volatility of SSEC in Chinese stock market using multifractal analysis (2008) — 69 citations
• The dependence and risk spillover between crude oil market and China stock market: New evidence from a variational mode decomposition-based copula method (2018) — 144 citations
• Forecasting realized volatility in a changing world: A dynamic model averaging approach (2016) — 276 citations
• How do the stock prices of new energy and fossil fuel companies correlate? Evidence from China (2014) — 179 citations
• Which determinant is the most informative in forecasting crude oil market volatility: Fundamental, speculation, or uncertainty? (2017) — 238 citations
• Analysis of the efficiency and multifractality of gold markets based on multifractal detrended fluctuation analysis (2011) — 137 citations
• Forecasting VaR and ES of stock index portfolio: A Vine copula method (2014) — 56 citations
• Forecasting oil price volatility: Forecast combination versus shrinkage method (2019) — 151 citations
• Oil and the short-term predictability of stock return volatility (2018) — 199 citations
• Uncertainty and crude oil market volatility: new evidence (2020) — 147 citations
• Time-varying effects of global economic policy uncertainty shocks on crude oil price volatility：New evidence (2021) — 119 citations
• Geopolitical risk and renewable energy stock markets: An insight from multiscale dynamic risk spillover (2021) — 148 citations
• Infectious disease pandemic and permanent volatility of international stock markets: A long-term perspective (2020) — 212 citations
• Which sentiment index is more informative to forecast stock market volatility? Evidence from China (2020) — 145 citations
• Is implied volatility more informative for forecasting realized volatility: An international perspective (2020) — 110 citations