Professor Youwei Li

Was a deterioration in 'connectedness' a leading indicator of the European sovereign debt crisis?

Pantelous, A. A., Hamill, P. A., Hamill, P., Li, Y., Pantelous, A., Vigne, S. A., & Waterworth, J. (2021). Was a deterioration in ‘connectedness’ a leading indicator of the European sovereign debt crisis?. Journal of International Financial Markets, Institutions and Money, https://doi.org/10.1016/j.intfin.2021.101300

Same same but different – Stylized facts of CTA sub strategies

Erdos, P., Li, Y., Liu, R., & Mende, A. (2021). Same same but different – Stylized facts of CTA sub strategies. International review of financial analysis, 74, https://doi.org/10.1016/j.irfa.2021.101657

Bayesian Value-at-Risk backtesting: The case of annuity pricing

Leung, M., Li, Y., Pantelous, A. A., & Vigne, S. A. (in press). Bayesian Value-at-Risk backtesting: The case of annuity pricing. European journal of operational research, https://doi.org/10.1016/j.ejor.2020.12.051

Order book price impact in the Chinese soybean futures market

Jin, M., Kearney, F., Li, Y., & Yang, Y. C. (in press). Order book price impact in the Chinese soybean futures market. International journal of finance & economics : IJFE, https://doi.org/10.1002/ijfe.2439

Investor heterogeneity and momentum-based trading strategies in China

Gao, Y., Han, X., Li, Y., & Xiong, X. (2021). Investor heterogeneity and momentum-based trading strategies in China. International review of financial analysis, 74, https://doi.org/10.1016/j.irfa.2020.101654