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Xiaolei Sun
Chinese Academy of Sciences
Financial economicsEconomicsChinaCountry riskComputer science
56Publications
15H-index
509Citations
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Publications 56
Newest
#1Jianping Li (CAS: Chinese Academy of Sciences)H-Index: 22
#2Yuyao Feng (CAS: Chinese Academy of Sciences)H-Index: 1
Last. Xiaolei Sun (CAS: Chinese Academy of Sciences)H-Index: 15
view all 4 authors...
Abstract Tourism is a risk-prone industry. But most studies focus on tourist risk perception while ignoring company risk exposure. As service providers, the companies play an important role in tourism activities, and systematically identifying the risks they face is vital to the development of the tourism industry. This paper attempts to identify tourism companies' risk exposures based on textual risk disclosure of financial statements. Using 51,008 risk headings of 255 public companies, we adop...
1 CitationsSource
#1Xiaolei Sun (CAS: Chinese Academy of Sciences)H-Index: 15
#2Jun Hao (CAS: Chinese Academy of Sciences)
Last. Jianping Li (CAS: Chinese Academy of Sciences)H-Index: 22
view all 3 authors...
The optimization of crude oil-supply portfolio is a hot research issue in energy security, which is closely related to the implementation of national strategy and development of economy. Forecasting the demand of crude oil is the basis for portfolio optimization. Therefore, this paper innovatively introduces the decomposition hybrid interval prediction method and proposes a multi-objective programming model in order to provide decision-making support for the formulation of crude oil-supply portf...
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#1Xiaoyang Yao (China Jiliang University)H-Index: 1
#2Wei Le (China Jiliang University)
Last. Jianping Li (CAS: Chinese Academy of Sciences)H-Index: 22
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Abstract Since the subprime crisis, financial stress has been subjected to increased attention. However, related research of emerging economics is still in its infancy. Considering that the financial market is quite interconnected due to its complexity, we measure the stress dynamics of the Chinese financial market from an interconnectedness perspective. Multiple manifestations of interconnectedness are first investigated in this paper. It is found that the interbank and bond market are highly c...
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#1Jun Hao (CAS: Chinese Academy of Sciences)
#2Jianping Li (CAS: Chinese Academy of Sciences)H-Index: 22
Last. Xiaolei Sun (CAS: Chinese Academy of Sciences)H-Index: 15
view all 4 authors...
Abstract For the sake of better coping with the problem of material procurement, a multi-objective optimisation model was established in a systematic analysis framework for material procurement considering supply risk. First, this paper combs and identifies supply risk factors and constructs a supply risk evaluation system from the dimensions of quality, price, delivery, service and technology. Second, based on the linguistic scale and fuzzy theory, this paper measures the supply risk of candida...
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#1Chang Liu (CAS: Chinese Academy of Sciences)H-Index: 3
#2Jianping LiXiaolei (CAS: Chinese Academy of Sciences)
Last. Jianming Chen (CAS: Chinese Academy of Sciences)H-Index: 7
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This article examined the multi-scale correlations between Turkish lira exchange rates and sovereign credit default swap (CDS) in Turkey, Europe, and Asia by implementing a combined quantile regres...
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#1Yinhong Yao (CAS: Chinese Academy of Sciences)
#2Jianping LiXiaolei (CAS: Chinese Academy of Sciences)
Last. Xiaolei Sun (CAS: Chinese Academy of Sciences)H-Index: 15
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Abstract This study measures the risk of the emerging Fintech industry in China and identifies its influencing risk factors by calculating the tail risk of Fintech stock index. The expectile regression model that includes the lagged returns and macroeconomic risk factors is used to calculate the Expectile Value-at-Risk (EVaR). Based on the 1230 daily returns of Fintech index ranges from July 2, 2014, to September 10, 2019, the empirical results indicate that the Fintech industry possesses a high...
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#1Jun Wang (CAS: Chinese Academy of Sciences)H-Index: 4
#2Xiaolei Sun (CAS: Chinese Academy of Sciences)H-Index: 15
Last. Jianping Li (CAS: Chinese Academy of Sciences)H-Index: 22
view all 3 authors...
Abstract Based on the GARCH-Copula-CoVaR model, this paper explores the behavior of sovereign CDS spreads under extreme oil price movements by taking G7 and BRICS countries as examples. We reveal that the upside/downside CoVaR values of sovereign CDS spreads differ significantly from VaR values among all countries. This phenomenon illustrates that extreme oil returns are vital risks for both emerging and developed markets. Moreover, the impact of extreme oil returns on oil importers differs depe...
Source
#1Xiaolei Sun (CAS: Chinese Academy of Sciences)H-Index: 15
#2Jun Wang (CAS: Chinese Academy of Sciences)H-Index: 4
Last. Jianping LiXiaolei (CAS: Chinese Academy of Sciences)
view all 5 authors...
Abstract In the wake of the globalization of financial markets, studying spillovers among different asset markets, especially spillovers that include sovereign CDS markets, is of vital importance. This paper attempts to build a spillover network to investigate the complex interactions within the system of sovereign CDS, stock and commodity markets by adopting the spillover index based on forecast error variance (FEV) decomposition. The results reveal that emerging countries have larger average s...
6 CitationsSource
#1Xiaolei Sun (CAS: Chinese Academy of Sciences)H-Index: 15
#2Chang Liu (CAS: Chinese Academy of Sciences)H-Index: 3
Last. Jianping Li (CAS: Chinese Academy of Sciences)H-Index: 22
view all 4 authors...
Abstract Maritime market relies on demand of international commodity trade from producers to consumers. Focusing on measuring the inherent correlation, this paper employs a GARCH-Copula-CoVaR approach to address the debate on the extreme risk spillovers from commodity market to maritime market. Our results provide new evidence regarding risk transmission from oil and ex-energy sector to the maritime markets, as well as the interactions between different sub-sectors of maritime market. It is also...
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#1Xiuwen Chen (CAS: Chinese Academy of Sciences)H-Index: 3
#2Xiaolei Sun (CAS: Chinese Academy of Sciences)H-Index: 15
Last. Jianping LiXiaolei (CAS: Chinese Academy of Sciences)
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ABSTRACTThis paper provides evidence for the impact of oil price shocks on economic policy uncertainty (EPU) from a multi-scale perspective using discrete wavelet transform and VAR model. Results indicate that oil price shocks impose a positive effect on EPU at an original level while effects of oil price shocks on EPU are time-varying over different time-scales. Particularly, oil price shocks lead to a positive change in the trend of EPU in the short- and long-term. Whereas, in the medium term,...
5 CitationsSource
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