Shan Wu

Shan Wu
Nanjing University of Finance and Economics | NJUE · Department of Finance

Doctor of Psychology
Financial risk management; Energy economics; Financial physics

About

11
Publications
1,287
Reads
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184
Citations
Citations since 2016
11 Research Items
182 Citations
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20162017201820192020202120220102030405060
20162017201820192020202120220102030405060
20162017201820192020202120220102030405060
Introduction
Shan Wu currently works at the School of Finance, Nanjing University of Finance & Economics. Shan does research in Financial Economics, Financial markets, Econometrics & Business Economics.

Publications

Publications (11)
Article
Carbon market attracts much attention due to its unique statue of promoting the transformation and development of low-carbon economy. In this paper, we investigate the multidimensional risk spillover effects among carbon, energy and nonferrous metals markets, and also examine the portfolio diversification. The quantile VAR network framework and GAR...
Article
The role of economic policy uncertainty in the risk transmission between crude oil and stock market cannot be ignored. However, it is unclear whether economic policy uncertainty always amplifies the impact of oil price shocks on stock market over time. This study employs the time-varying parameter structural vector autoregression with stochastic vo...
Article
Full-text available
Combining the spillover index approach and LASSO-VAR method, we construct the spillover network of 19 specific countries’ economic policy uncertainty (EPU). Then we deconstruct the constructed network into four blocks by the block models, the impacts of COVID-19 on EPU spillover effects between each country and blocks is analyzed gradually. The res...
Article
This study investigates the tail risk spillovers between the crude oil market and the stock markets of twelve major oil-importing and seven oil-exporting countries. We employ a novel quantile spillover index approach that allows measuring the dynamics and network of risk connectedness in the oil-stock nexus under different market conditions. Our re...
Article
Full-text available
To analyze the asset attribute and hedge effect of Bitcoin, we investigate the relationship between Bitcoin and several kinds of traditional financial assets by the univariate GARCH and multivariate GARCH models. We find that Bitcoin has a unique risk-return characteristic and volatility clustering performance, its high volatility persistence simil...
Article
Full-text available
In the context of the increasing global economic policy uncertainty (EPU) and the gradual reduction of US Treasuries holdings in many countries, based on the ADCC-GARCH model and sensitivity analysis, we find that the relative increase of instability in the global economic system will affect foreign investors' decision-making of investing in the US...
Article
From the perspective of interconnectedness, we construct a systemic risk spillover network of China’s financial institutions. After deconstructing the constructed network and combine with the analysis of the influencing factors, we find that: (i) All industries and institutions within the financial system are highly interconnected, and each sector...
Article
Full-text available
We extend the heterogeneous autoregressive- (HAR-) type models by explicitly considering the time variation of coefficients in a Bayesian framework and comprehensively comparing the performances of these time-varying coefficient models and constant coefficient models in forecasting the volatility of the Shanghai Stock Exchange Composite Index (SSEC...
Article
Full-text available
Using the payment settlement network as an example and constructing the liquidity circulation model in a complex network, the systemic risk and liquidity rescue under different network topologies and different risk scenarios are studied. The results are as follows:1) The network topology has a significant impact on the stability of the system, and...
Article
Using the payment settlement network as an example and constructing the liquidity circulation model in a complex network, the intrinsic mechanism of liquidity circulation is analyzed, and the function of different network nodes in liquidity circulation is studied by distinguishing between the spillover node and leaking node and the liquidity pit ho...
Article
Calculating the hedge and safe-haven properties of gold and Bitcoin via GARCH model and quantile regression with dummy variables. We find that: (1) Neither gold nor Bitcoin can serve as a strong hedge or safe-haven for economic policy uncertainty (EPU) at the average condition. (2) Bitcoin is more responsive to EPU shocks, while gold maintains stab...

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