Dr Jian Wang

Nonlinearity everywhere: implications for empirical finance, technical analysis and value at risk

Amini, S., Hudson, R., Urquhart, A., & Wang, J. (in press). Nonlinearity everywhere: implications for empirical finance, technical analysis and value at risk. The European journal of finance, https://doi.org/10.1080/1351847X.2021.1900888

Commodity futures returns: more memory than you might think!

Coakley, J., Kellard, N., & Wang, J. (2016). Commodity futures returns: more memory than you might think!. The European journal of finance, 22(14), 1457-1483. https://doi.org/10.1080/1351847X.2015.1025989

Commodity futures price behaviour following large one-day price changes

Mazouz, K., & Wang, J. (2014). Commodity futures price behaviour following large one-day price changes. Applied financial economics, 24(14), 939-948. https://doi.org/10.1080/09603107.2014.914140

Long memory and structural breaks in commodity futures markets

Coakley, J., Dollery, J., & Kellard, N. (2011). Long memory and structural breaks in commodity futures markets. Journal of Futures Markets, 31(11), 1076-1113. https://doi.org/10.1002/fut.20502

The role of long memory in hedging effectiveness

Coakley, J., Dollery, J., & Kellard, N. (2007). The role of long memory in hedging effectiveness. Computational Statistics and Data Analysis, 52(6), 3075 - 3082. https://doi.org/10.1016/j.csda.2007.10.019