Xinyu Wang

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Verified

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• Doctor of Philosophy
• Professor at China University of Mining and Technology

Carbon allowances are a new class of financial instrument which aim to assist in limiting the extent and impact of global warming and climate change. The feedback mechanism in the “Carbon-Energy-Finance” system makes the information connectedness dynamics more complex since we add equity, bond and non-energy commodity assets into the system. Using...

Using a broad selection of 53 carbon (EUA) related, commodity and financial predictors, we provide a comprehensive assessment of the out-of-sample (OOS) predictability of weekly European carbon futures return. We assess forecast performance using both statistical and economic value metrics over an OOS period spanning from January 2013 to May 2018....

The effect of low-frequency fundamentals on high-frequency volatility is assumed to be constant over a low-frequency period in the GARCH-MIDAS model, but this is unrealistic, especially for datasets with large differences in sampling frequencies. We propose a new GARCHMIDAS model, which innovatively employs a time-distance weighted (TDW) function t...

Green bonds attract increasing attention as a new eco-friendly investment product. We explore the heterogeneous impact of low-frequency economic and political uncertainty across high or low uncertainty states on green bond volatility in order to accurately analyze the green bond market risk. To this end, we propose a new Markov regime switching GAR...

In the context of clean energy and green cryptocurrency development, the relationship between energy and cryptocurrency markets deserves further exploration. This study employs a quantile time-frequency connectedness approach to measure the dynamic connectedness and volatility propagation mechanisms between oil, clean energy, green cryptocurrency (...

The Russia-Ukraine conflict (RUC) has triggered a serious natural gas (hereafter referred to as gas) and oil supply crisis in Europe. We propose a quantile regression neural network model to capture the non-linear evolution of systemic risk in the European gas and oil markets. We find that the RUC significantly increased systemic risk in both the E...

The public–private partnership (PPP) mode entails a variety of risks because the government, private enterprises, financial institutions, and other participants have different interests. To prevent private enterprise violations, dynamic government regulation of PPP risk-sharing is necessary. Game theory is used here to examine the game behavior of...

Modeling futures market risk simultaneously influenced by macro low-frequency information and daily risk factors is a valuable challenge. We propose a new general framework for it based on the flexible GARCH-MIDAS model. It uses a skewed t distribution to describe the asymmetry of long and short trading positions, allows for a different number of t...

Green IPOs raise funds for companies with environmental governance consciousness to promote sustainable development. This paper aims at investigating the pricing behavior of green IPOs and revealing the heterogeneity in pricing efficiency in the primary market and initial returns in the secondary market among green IPOs and non-green IPOs in China....

Increasing concern about the challenges of climate change has triggered rapid growth of private investment into clean energy sectors. Currently, the uncertain global economic environment makes the risk spillovers in the “Oil-Clean energy stocks” system a vital topic to explore. Using a systematic framework involving both Spillover index and Multiva...

The Smog Free Tower (SFT) in the city of Xi’an, China, is the world’s first outdoor architecture that uses solar energy and filtration technology to purify polluted air. It provides a unique opportunity to explore residents’ willingness to pay for air quality and their related behaviors. Drawing on data collected after the establishment of the SFT,...

This study proposes a novel Markov regime‐switching negative binomial generalized autoregressive conditional heteroskedasticity model for analyzing count data time series. We develop a likelihood‐based method for parameter estimation and give the one‐step‐ahead forecasting algorithms for the mean, variance, and quantiles. An empirical analysis of b...

Utilizing mixed-frequency data to predict value-at-risk of portfolio returns is promising. Inspired by the GARCH-MIDAS model (Engle et al., 2013), we propose a novel quantile-based GARCH-MIDAS model to explain how low-frequency covariates affect the quantile of high-frequency variables, being also an extension of CAViaR (Engle and Manganelli, 2004)...

This article takes into account the form of mixed data as well as the peak and thick tail characteristics contained in the data characteristics, expands the GARCH-MIDAS (Generalized Autoregressive Conditional Heteroskedasticity-Mixed Data Sampling) model, establishes a new GARCH-MIDAS model with the residual term of the skewed-t distribution, and a...

Previous studies measure the pricing efficiency of initial public offerings (IPOs) using stochastic frontier analysis, but it is conventionally assumed that all IPOs have the same stochastic frontier function. We study how to measure IPO pricing efficiency under successional issuance policy reforms such as China's Growth Enterprise Market (GEM), wh...

We modify the GARCH-MIDAS model by introducing a skewed T-distribution and employ it to study the impact of economic policy uncertainties on the volatility of China’s financial stocks between 2000–2019. The modified model improves the fit to the data compared to the standard model with a Gaussian distribution. We find that economic policy uncertain...

We consider a dynamic hybrid supply chain model involving a service factor where two manufacturers and a retailer provide consumers with two alternative products. In this model, one manufacturer sells its product using a dual-channel supply chain but the other through the direct channel. The two manufacturers and the retailer simultaneously determi...

The public-private partnership (PPP) has been adopted globally to meet intensifying demands for public facilities and services. However, PPP projects contain a variety of risks which may lead to project failure. Many researchers have explored risk factors associated with PPP projects in developing countries. However, these investigations have limit...

This paper proposes a novel approach to the directional forecasting problem of short-term oil price changes. In this approach, the short-term oil price series is associated with incomplete fuzzy information, and a new fused genetic-fuzzy information distribution method is developed to process such a fuzzy incomplete information set; then a feasible...

The US-China trade dispute or Trump War started between the United States of America and Peoples Republic of China during 2018 after the administration of US administration imposed heavy tariff on Chinese imports. US President Trump reiterated US has no intentions of starting a trade war with China, however, this initiative has been taken to counte...

The Panama Papers, or as they are commonly called the Panama Leaks, are around 12 million documents that contain vastly discrete financial and attorney–client information, dating back to early 1970s, of about 215,000 offshore corporations created by Mossack Fonseca, a Panama-based corporate law firm, for their various clients worldwide. The said do...

Studies of the factors that influence housing prices have focused on housing characteristics, governmental policies, environmental goods, macroeconomic and social fundamentals, and so on. However, the effect of industrial structural adjustment on housing prices is worthy of further investigation. In China, it would be helpful to measure this effect...

In order to provide feasible platform for the establishment of national carbon market in China and other developing countries, it is vital to competitively assess China’s seven Pilot emissions trading schemes (ETS) by comparing market performances. Hence, this paper employs the structure-conduct-performance (SCP) framework to qualitatively evaluate...

This article studies the background and impact of the recent demonetization initiative taken by the Indian Government. Upon the advice of Reserve Bank of India (RBI), Government of India demonetized all old bank notes of ₹1000 and ₹500 denominations and replaced them with new bank notes of ₹2,000 and 500 denominations. As per various statements by...

In this study, we model a dynamic R&D two-stage input competition triopoly game characterized by players with a bounded rationality rule as a discrete nonlinear dynamic system, where we focus on spillover effects on cost reductions. We analyze the stability of the Nash equilibrium and obtain the stability conditions and the stability region. We sho...

In this paper, we investigate the joint decision on production and pricing, and the compensation strategy of a supply chain, where the manufacturer relies on a risk-averse sales agent to sell the products. The sales outcome is determined by the sales agent's selling effort and the product price. Most of the previous research about salesforce assume...

Public–private partnerships (PPP) have been widely used in China to procure public facilities and services. Complicated problems in PPP projects in China arise because of a variety of risk factors. A proper risk assessment model is needed to identify risks and provide risk response strategies for future Chinese PPP projects. The fuzzy analytic hier...

In this study, a combined asymmetric spatial weights matrix is proposed for capturing the unequal spatial dependence of housing prices, where the advantage of this matrix was demonstrated by a non-nested hypothesis test. To explore the heterogeneous spatial impacts of urban essential characteristics on housing prices over the eastern, central, and...

The global expansion of public-private partnerships (PPPs) has generated interest in risk allocation for PPP projects. Many previous researchers have shown that without proper risk allocation, PPP projects cannot be successful. Current research is limited to equilibrium allocation of risk. The objective of this study is to improve this situation by...

The oligopoly market is modelled by a new dynamic master-slave Cournot triopoly game model with bounded rational rule. The local stabile conditions and the stable region are got by the dynamical systems bifurcation theory. The dynamics characteristics of the system with the changes of the adjustment speed parameters are analyzed by means of bifurca...

We propose a special panel quantile regression model with multiple stochastic change-points to analyze latent structural breaks in the short-term post-offering price-volume relationships in China's growth enterprise market where the piecewise quantile equations are defined by change point indication functions. We also develop a new Bayesian inferen...

The central government of China intensively implemented a series of housing macro-regulation policies to cool down overheated housing market in 2011–2013. This research uses spatial quantile regression to try to answer the question “How effective are the policies?” Results indicate that house-purchasing restrictions are effective to kerb the specul...

To explore the rules of knowledge transfer and application activities in knowledge space, defined at both temporal and spatial scales, the present study employs a unique dataset of Chinese patent licensing during the period of 2000–2012, with a total of 91,551 patents. Our results indicate that 70 % of patents were licensed out in the first 3 years...

This paper develops a spatial analysis approach, which incorporates three components and a carbon dioxide (CO2) emission factor, has been developed to evaluate the multi-state weighted behaviours with CO2 emission uncertainty of the rural areas at an administrative district level. A Mendel genetic algorithm (Mendel-GA) is applied to the spatial ana...

This article attempts to study IPO initial return rate from the perspective of securities analysts' behavior. The report data released by analysts before listing day during listing year of A-share market IPO companies (from 2004 to 2006) are selected. After studying the characteristics of prediction error and dispersion of opinion, OLS, WLS and Qua...