By Professor Li Yang

Book Chapters

Lien D; Lee G; yang L; Zhou C, 2014, 'Evaluating the Effectiveness of Futures Hedging', in Lee CF; Lee JC (ed.), Handbook of Financial Econometrics and Statistics, Springer, pp. 1891 - 1908, http://dx.doi.org/10.1007/978-1-4614-7750-1_70

Yang L, 2009, 'Hedging Effectiveness with S&P 500 Index Futures under Different Volatility Regimes', in Catlere PN (ed.), Financial Hedging, Nova Science Publishers Inc, pp. 53 - 76

Yang L, 2005, 'Settlement Specifications on Commodity Futures Contracts', in Bellows AR (ed.), Focus on Agricultural Economics, Nova Science Publisher, Inc, New York, pp. 53 - 76

Journal articles

Lee G; Ryu D; Yang L, 2025, 'Informativeness of truncation in the options market', Finance Research Letters, 72, http://dx.doi.org/10.1016/j.frl.2024.106490

Lee G; Ryu D; Yang L, 2025, 'Domain Stabilization for Model-Free Option Implied Moment Estimation', Journal of Financial Econometrics, 23, http://dx.doi.org/10.1093/jjfinec/nbae037

Wan D; Yang L; Yang X, 2024, 'How mutual funds respond to asymmetric feedback trading in China's stock market', Journal of Management Science and Engineering, 9, pp. 143 - 160, http://dx.doi.org/10.1016/j.jmse.2024.01.001

Lien D; Lee G; Yang L; Zhang Y, 2018, 'Volatility spillovers among the U.S. and Asian stock markets: A comparison between the periods of Asian currency crisis and subprime credit crisis', North American Journal of Economics and Finance, 46, pp. 187 - 201, http://dx.doi.org/10.1016/j.najef.2018.04.006

Liu L; Wang Y; Yang L, 2018, 'Predictability of crude oil prices: An investor perspective', Energy Economics, 75, pp. 193 - 205, http://dx.doi.org/10.1016/j.eneco.2018.08.010

Pan Z; Wang Q; Wang Y; Yang L, 2018, 'Forecasting U.S. real GDP using oil prices: A time-varying parameter MIDAS model', Energy Economics, 72, pp. 177 - 187, http://dx.doi.org/10.1016/j.eneco.2018.04.008

Wang Y; Wu C; Yang L, 2016, 'Forecasting crude oil market volatility: A Markov switching multifractal volatility approach', International Journal of Forecasting, 32, pp. 1 - 9, http://dx.doi.org/10.1016/j.ijforecast.2015.02.006

Yang L; Wu C; Wang Y, 2015, 'Hedging with Futures: Does Anything Beat the Naïve Hedging Strategy?', Management Science, 61, pp. 2870 - 2889, http://dx.doi.org/10.1287/mnsc.2014.2028

Pan Z; Wang Y; Yang L, 2014, 'Hedging crude oil using refined product: A regime switching asymmetric DCC approach', Energy Economics, 46, pp. 472 - 484, http://dx.doi.org/10.1016/j.eneco.2014.05.014

Lien D; Yang L; Zhou C; Lee G, 2014, 'Co-movement between RMB and New Taiwan Dollars: Evidences from NDF markets', North American Journal of Economics and Finance, 28, pp. 265 - 272, http://dx.doi.org/10.1016/j.najef.2014.03.008

Wang Y; Wu C; Yang L, 2014, 'Oil price shocks and agricultural commodity prices', Energy Economics, 44, pp. 22 - 35, http://dx.doi.org/10.1016/j.eneco.2014.03.016

Yu X; Yang L, 2014, 'Pricing american options using a nonparametric entropy approach', Discrete Dynamics in Nature and Society, 2014, http://dx.doi.org/10.1155/2014/369795

Wang Y; Wu C; Yang L, 2013, 'Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries', Journal of Comparative Economics, 41, pp. 1220 - 1239, http://dx.doi.org/10.1016/j.jce.2012.12.004

Yang L; Zhou C; Lien D, 2013, 'Dynamic and asymmetric dependences between Chinese yuan and other Asia-pacific currencies', Journal of Futures Markets, 33, pp. 696 - 723, http://dx.doi.org/10.1002/fut.21609

Lien D; Lim G; Yang L; Zhou C, 2013, 'Dynamic Dependence Between Liquidity and the S&P 500 Index Futures-Cash Basis', Journal of Futures Markets, 33, pp. 327 - 342, http://dx.doi.org/10.1002/fut.21554

Yang L, 2010, 'The Informational Role of Stock and Warrant Trades: Empirical Evidence from China', Emerging Markets Finance and Trade, 47, pp. 78 - 93, http://mesharpe.metapress.com/app/home/contribution.asp?referrer=parent&backto=issue,7,7;journal,2,51;linkingpublicationresults,1:111024,1

Yang L, 2010, 'Weather, Inventory and Common Jump Dynamics in Natural Gas Futures and Spot Markets', Journal of Futures Markets, 18, http://dx.doi.org/10.2139/ssrn.1537762

Lien D; Yang L, 2009, 'Intraday return and volatility spill-over across international copper futures markets', International Journal of Managerial Finance, 5, pp. 135 - 149

Yang L, 2009, 'The Effects of Structural Breaks and Long Memory on Currency Hedging', Journal of Futures Markets, pp. 1 - 26, http://dx.doi.org/10.1002/fut.20436

Lien D; Yang L, 2008, 'Asymmetric effect of basis on dynamic futures hedging: Empirical evidence from commodity markets', Journal of Banking and Finance, 32, pp. 187 - 198, http://dx.doi.org/10.1016/j.jbankfin.2007.01.026

Lien D; Yang L, 2008, 'Asymmetric effect of basis on dynamic futures hedging: Empirical evidence from commodity markets', Journal of Banking and Finance, 32, pp. 187 - 198, http://dx.doi.org/10.1016/j.bankfin.2007.01.026

Lien D; Yang L, 2008, 'Hedging with Chinese metal futures', Global Finance Journal, 19, pp. 123 - 128

Lien D; Yang L, 2006, 'Spot-futures spread, time-varying correlation, and hedging with currency futures', Journal of Futures Markets, 26, pp. 1019 - 1038

Lien D; Yang L, 2005, 'Availability and settlement of individual stock futures and options expiration-day effects: evidence from high-frequency data', The Quarterly Review of Economics and Finance, 45, pp. 730 - 747, http://www.sciencedirect.com/science/article/B6W5X-4FGX84W-1/2/fd102d920e9164765c8da25af8016a23

Lien D; Yang L, 2004, 'Alternative settlement methods and Australian individual share futures contracts', Journal of International Financial Markets Institutions and Money, 14, pp. 473 - 490, http://www.sciencedirect.com/science/article/B6VGT-4CG2P29-1/2/486bec96f84fb776ee9d26d0dbdc642a

Yang L; Lien D, 2004, 'Return Autocorrelations on individual Stocks and Corresponding Futures: Evidence from Australian, Hong Kong, and United kingdom Markets', Review of Pacific Basin Financial Markets and Policies, 7, pp. 397 - 422

Lien D; Yang L, 2004, 'Return Autocorrelations on Individual Stocks and Corresponding Futures: Evidence from Australian, Hong Kong, and United Kingdom Markets', Review of Pacific Basin Financial Markets and Policies, 07, pp. 397 - 422

Yang L; Lien D, 2003, 'Contract settlement specification and price discovery: Empirical evidence in Australia individual share futures market', International Review of Economics and Finance, 12, pp. 495 - 512

Yang L; Lien D, 2003, 'Options expiration effects and the role of individual share futures contracts', Journal of Futures Markets, 23, pp. 1107 - 1118

Stoodley MA; Jones N; Yang L; Brown CJ, 2000, 'Mechanisms underlying the formation and enlargement of noncommunicating syringomyelia: experimental studies', Neurosurgical Focus, pp. 1 - 7

Garcia PD; Irwin SH; Leuthold RM; Yang L, 1997, 'The value of public information in commodity futures markers', Journal of Economic Behavior and Organization, pp. 559 - 570

Conference Papers

Doan B; Foster FD; Yang L, 2020, 'Distinct roles of risk and uncertainty: Evidence from trading around US macro news', San Diego, CA, USA, presented at 2020 American Economic Association Annual Meeting, San Diego, CA, USA, 03 January 2020 - 05 January 2020, http://dx.doi.org/10.26190/unsworks/28665

Rojasavachai R; Rouxelin F; Yang L, 2019, 'Joint dynamics of stock market returns and exchange rates to oil price shocks', Pittsburgh, Pennsylvania, presented at CEMA 2019: Commodity and Energy Markets Association Annual Meeting, Pittsburgh, Pennsylvania, 21 June 2019 - 22 June 2019, http://dx.doi.org/10.26190/unsworks/28666

Working Papers

Rojasavachai R; Rouxelin F; Yang L, 2023, Extreme Weather, Economic Implications, and Energy Consumption, http://dx.doi.org

Lee G; Yang L, 2015, Impact of truncation on model-free implied moment estimator, http://dx.doi.org10.2139/ssrn.2485513

Other

Rojasavachai R; Rouxelin F; Yang L, 2023, Extreme Weather, Economic Implications, and Energy Consumption

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