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Jun Wang
Chinese Academy of Sciences
10Publications
3H-index
19Citations
Publications 12
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#1Xiaolei Sun (CAS: Chinese Academy of Sciences)H-Index: 12
#2Chang Liu (CAS: Chinese Academy of Sciences)H-Index: 3
Last.Jianping LiXiaolei (CAS: Chinese Academy of Sciences)H-Index: 20
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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#1Jun Wang (CAS: Chinese Academy of Sciences)H-Index: 3
#2Xiaolei Sun (CAS: Chinese Academy of Sciences)H-Index: 12
Last.Jianping LiXiaolei (CAS: Chinese Academy of Sciences)H-Index: 20
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...
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#1Xiuwen Chen (CAS: Chinese Academy of Sciences)H-Index: 2
#2Xiaolei Sun (CAS: Chinese Academy of Sciences)H-Index: 12
Last.Jun Wang (CAS: Chinese Academy of Sciences)H-Index: 3
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ABSTRACTIn recent years, researchers have increasingly studied the interaction between the crude oil market and economic policy uncertainty (EPU). To have a deeper knowledge, this article examines ...
1 CitationsSource
#1Xiaolei Sun (CAS: Chinese Academy of Sciences)H-Index: 12
#2Jun Wang (CAS: Chinese Academy of Sciences)H-Index: 3
Last.Jianping LiXiaolei (CAS: Chinese Academy of Sciences)H-Index: 20
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...
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#1Jun Wang (CAS: Chinese Academy of Sciences)H-Index: 3
#2Xiaolei Sun (CAS: Chinese Academy of Sciences)H-Index: 12
Last.Chang LiuH-Index: 3
view all 5 authors...
Abstract Optimizing the oil-import portfolio has become extremely effective for enhancing energy security. The focus of this paper is on whether China’s oil-import portfolio has been continuously optimized since 2005. Firstly, a multi-objective programming problem was constructed based on cost–risk tradeoff, and the optimal results were obtained. The oil-import portfolio of China since 2005 was then analyzed by comparing the optimal import strategy with the actual strategy. Next, the cost fluctu...
3 CitationsSource
#1Xiaolei Sun (CAS: Chinese Academy of Sciences)H-Index: 12
#2Xiuwen Chen (CAS: Chinese Academy of Sciences)H-Index: 2
Last.Jianping LiXiaolei (CAS: Chinese Academy of Sciences)H-Index: 20
view all 4 authors...
Abstract Dynamic interactions between policy uncertainty and economic activity, including oil prices, have attracted increasing amounts of scholarly interest, but few studies have considered the inherent feature that the entire market is composed of different stakeholders operating in different time horizons. To fill this gap and address this issue, this paper proposes a multi-scale correlation framework. Specifically, we use the wavelet coherence method and scale-by-scale linear Granger causali...
5 CitationsSource
#1Qianqian Feng (CAS: Chinese Academy of Sciences)H-Index: 1
#2Jun Wang (CAS: Chinese Academy of Sciences)H-Index: 3
Last.Xiaolei Sun (CAS: Chinese Academy of Sciences)H-Index: 12
view all 3 authors...
Abstract Country risk is an important factor influencing the international investments and transactions. Forecasting country risks of host countries are crucial for investors to make investment strategies and decisions. Considering the complexity and nonlinearity of country risk, this paper proposes a hybrid forecasting model based on empirical mode decomposition (EMD) and extreme learning machine (ELM). Firstly, the original data is decomposed into several different frequency components using E...
1 CitationsSource
#1Xuping Ma (CAS: Chinese Academy of Sciences)
#2Jun Wang (CAS: Chinese Academy of Sciences)H-Index: 3
Last.Xiaolei Sun (CAS: Chinese Academy of Sciences)H-Index: 12
view all 3 authors...
Abstract Exchange rate volatility interacts closely with capital market prices and have a huge impact on import-export trade and foreign investment in the real economy. This paper adopted the VAR-based spillover index approach to explore the exchange rate risk contagion among belt-road countries. By taking Central Asian countries as example, we find that the internal interaction is extremely weak among Central Asian currency markets while the Kyrgyz currency plays a relatively important role in ...
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#1Guowen Li (CAS: Chinese Academy of Sciences)H-Index: 2
#2Xiaoqian Zhu (CAS: Chinese Academy of Sciences)H-Index: 7
Last.Jianping LiXiaolei (CAS: Chinese Academy of Sciences)H-Index: 20
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Abstract The financial system plays a crucial role in development of countries, which makes its stability be heated around the world. However, traditional indices which help measure financial stability such as quantile, leverage ratio and liquidity have instinctive shortcomings. For example, these digital indices are usually unavailable and one-sided. Therefore, finding a new approach to quantifying and visualizing financial stability is necessary and desirable. Different from digital data, text...
1 CitationsSource
#1Jun Wang (CAS: Chinese Academy of Sciences)H-Index: 3
#2Xiaolei Sun (CAS: Chinese Academy of Sciences)H-Index: 12
Last.Jianping LiXiaolei (CAS: Chinese Academy of Sciences)H-Index: 20
view all 3 authors...
Abstract This paper proposed a multi-scale correlations perspective to explore the relationship between economic policy uncertainty and sovereign bond yield in the United States, using the Ensemble EMD decomposition algorithm and Pearson correlation coefficient. Results show that these two variables exhibit a completely opposite linear relationship in the long-term trend before and after 27 April 2009, indicating that there is obvious conversion of stage characteristics and the relationship betw...
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