Yaojie Zhang 张耀杰 Homepage

Yaojie Zhang (张耀杰)

Professor

School of Economics and Management, Nanjing University of Science and Technology, Xiaolingwei 200, Xuanwu District, Nanjing 210094, China

Email: yaojiezhang at njust dot edu dot cn; yaojie_zhang at 126 dot com (preferred)

Research Interests: Stock Return Predictability; Volatility Forecasting; Empirical Asset Pricing; Financial Econometrics; Machine Learning; Financial Engineering and Risk Management; Corporate Finance; Chinese Financial Markets

Curriculum Vitae：pdf

My related links：My ResearchGate page My Google scholar page

Updated Date: 2024/03/05

Publications (Selected)

First Author:

1. Yaojie Zhang, Mengxi He, Danyan Wen, 2024. Industry volatility spillover and aggregate stock returns. The European Journal of Finance https://doi.org/10.1080/1351847X.2023.2271054.

2. Yaojie Zhang, Qingxiang Han, Mengxi He, 2024. Forecasting stock market returns with a lottery index: Evidence from China. Journal of Forecasting https://doi.org/10.1002/for.3100.

3. Yaojie Zhang, Yudong Wang, 2023. Forecasting crude oil futures market returns: A principal component analysis combination approach. International Journal of Forecasting 39, 659-673.

4. Yaojie Zhang, M. I. M. Wahab, Yudong Wang, 2023. Forecasting crude oil market volatility using variable selection and common factor. International Journal of Forecasting 39, 486-502.

5. Yaojie Zhang, Mengxi He, Yuqi Zhao, Xianfeng Hao, 2023. Predicting stock realized variance based on an asymmetric robust regression approach. Bulletin of Economic Research 75, 1022-1047.

6. Yaojie Zhang, Mengxi He, Danyan Wen, Yudong Wang, 2023. Forecasting crude oil price returns: Can nonlinearity help? Energy 262, 125589.

7. Yaojie Zhang, Mengxi He, Yudong Wang, Chao Liang, 2023. Global economic policy uncertainty aligned: An informative predictor for crude oil market volatility. International Journal of Forecasting 39, 1318-1332.

8. Yaojie Zhang, Mengxi He, Cunfei Liao, Yudong Wang, 2023. Climate risk exposure and the cross-section of Chinese stock returns. Finance Research Letters 55, 103987.

9. Yaojie Zhang, Jiaxin He, Mengxi He, Shaofang Li, 2023. Geopolitical risk and stock market volatility: A global perspective. Finance Research Letters 53, 103620.

10. Yaojie Zhang, Yudong Wang, Feng Ma, Yu Wei, 2022. To jump or not to jump: Momentum of jumps in crude oil price volatility prediction. Financial Innovation 8, 56.

11. Yaojie Zhang, Mengxi He, Danyan Wen, Yudong Wang, 2022. Forecasting Bitcoin volatility: A new insight from the threshold regression model. Journal of Forecasting 41, 633-652.

12. Yaojie Zhang, Yudong Wang, Feng Ma, 2021. Forecasting US stock market volatility: How to use international volatility information. Journal of Forecasting 40, 733-768.

13. Yaojie Zhang, Feng Ma, Chao Liang, Yi Zhang, 2021. Good variance, bad variance, and stock return predictability. International Journal of Finance & Economics 26, 4410-4423.

14. Yaojie Zhang, Feng Ma, Yin Liao, 2020. Forecasting global equity market volatilities. International Journal of Forecasting 36, 1454-1475.

15. Yaojie Zhang, Chao Liang, Daxiang Jin, 2020. A novel insurance system for associated loans: The realization of reducing bankruptcy cost. Management Decision 58, 146-163.

16. Yaojie Zhang, Likun Lei, Yu Wei, 2020. Forecasting the Chinese stock market volatility with international market volatilities: The role of regime switching. The North American Journal of Economics and Finance 52, 101145.

17. Yaojie Zhang, Qing Zeng, Feng Ma, Benshan Shi, 2019. Forecasting stock returns: Do less powerful predictors help? Economic Modelling 78, 32-39.

18. Yaojie Zhang, Yu Wei, Yi Zhang, Daxiang Jin, 2019. Forecasting oil price volatility: Forecast combination versus shrinkage method. Energy Economics 80, 423-433.

19. Yaojie Zhang, Yu Wei, Feng Ma, Yongsheng Yi, 2019. Economic constraints and stock return predictability: A new approach. International Review of Financial Analysis 63, 1-9.

20. Yaojie Zhang, Yu Wei, Li Liu, 2019. Improving forecasting performance of realized covariance with extensions of HAR-RCOV model: Statistical significance and economic value. Quantitative Finance 19, 1425-1438.

21. Yaojie Zhang, Feng Ma, Bo Zhu, 2019. Intraday momentum and stock return predictability: Evidence from China. Economic Modelling 76, 319-329.

22. Yaojie Zhang, Feng Ma, Yu Wei, 2019. Out-of-sample prediction of the oil futures market volatility: A comparison of new and traditional combination approaches. Energy Economics 81, 1109-1120.

23. Yaojie Zhang, Feng Ma, Yudong Wang, 2019. Forecasting crude oil prices with a large set of predictors: Can LASSO select powerful predictors? Journal of Empirical Finance 54, 97-117.

24. Yaojie Zhang, Feng Ma, Tianyi Wang, Li Liu, 2019. Out-of-sample volatility prediction: A new mixed-frequency approach. Journal of Forecasting 38, 669-680.

25. Yaojie Zhang, Yu Wei, Benshan Shi, 2018. The pricing of loan insurance based on the Gram-Charlier option model. China Finance Review International 8, 425-440.

26. Yaojie Zhang, Benshan Shi, 2018. Does default point vary with firm size? Applied Economics Letters 25, 1078-1082.

27. Yaojie Zhang, Feng Ma, Benshan Shi, Dengshi Huang, 2018. Forecasting the prices of crude oil: An iterated combination approach. Energy Economics 70, 472-483.

28. Yaojie Zhang, Benshan Shi, 2017. Systematic risk and deposit insurance pricing: Based on market model and option pricing theory. China Finance Review International 7, 390-406.

29. Yaojie Zhang, Benshan Shi, 2016. Non-tradable shares pricing and optimal default point based on hybrid KMV models: Evidence from China. Knowledge-Based Systems 110, 202-209.

Corresponding Author:

1. Jihong Xiao, Jiajie Jiang, Yaojie Zhang, 2024. Policy uncertainty, investor sentiment, and good and bad volatilities in the stock market: Evidence from China. Pacific-Basin Finance Journal 84, 102303.

2. Yuqing Feng, Yaojie Zhang, Yudong Wang, 2024. Out-of-sample volatility prediction: Rolling window, expanding window, or both? Journal of Forecasting 43, 567-582.

3. Yuqing Feng, Mengxi He, Yaojie Zhang, 2024. Market Skewness and Stock Return Predictability: New Evidence from China. Emerging Markets Finance and Trade 60, 233-244.

4. Zhikai Zhang, Yaojie Zhang, Yudong Wang, 2023. Forecasting the equity premium using weighted regressions: Does the jump variation help? Empirical Economics https://doi.org/10.1007/s00181-023-02521-8.

5. Zhikai Zhang, Yudong Wang, Jihong Xiao, Yaojie Zhang, 2023. Not all geopolitical shocks are alike: Identifying price dynamics in the crude oil market under tensions. Resources Policy 80, 103238.

6. Danyan Wen, Mengxi He, Yudong Wang, Yaojie Zhang, 2023. Forecasting crude oil market volatility: A comprehensive look at uncertainty variables. International Journal of Forecasting https://doi.org/10.1016/j.ijforecast.2023.09.002.

7. Danyan Wen, Mengxi He, Yudong Wang, Yaojie Zhang, 2023. Forecasting stock market realized volatility: the role of global terrorist attacks. Applied Economics 55, 2551-2566.

8. Yixuan Song, Mengxi He, Yudong Wang, Yaojie Zhang, 2023. Forecasting crude oil prices: A reduced-rank approach. International Review of Economics & Finance 88, 698-711.

9. Mengxi He, Yudong Wang, Yaojie Zhang, 2023. The predictability of iron ore futures prices: A product-material lead–lag effect. Journal of Futures Markets 43, 1289-1304.

10. Mengxi He, Yudong Wang, Qing Zeng, Yaojie Zhang, 2023. Forecasting aggregate stock market volatility with industry volatilities: The role of spillover index. Research in International Business and Finance 65, 101983.

11. Mengxi He, Lihua Shen, Yaojie Zhang, Yi Zhang, 2023. Predicting cryptocurrency returns for real-world investments: A daily updated and accessible predictor. Finance Research Letters 58, 104406.

12. Qingxiang Han, Mengxi He, Yaojie Zhang, Muhammad Umar, 2023. Default return spread: A powerful predictor of crude oil price returns. Journal of Forecasting 42, 1786-1804.

13. Shang Gao, Zhikai Zhang, Yudong Wang, Yaojie Zhang, 2023. Forecasting stock market volatility: The sum of the parts is more than the whole. Finance Research Letters 55, 103849.

14. Yongsheng Yi, Yaojie Zhang, Jihong Xiao, Xunxiao Wang, 2022. Forecasting the Chinese Stock Market Volatility with G7 Stock Market Volatilities: A Scaled PCA Approach. Emerging Markets Finance and Trade 58, 3639-3650.

15. Yongsheng Yi, Mengxi He, Yaojie Zhang, 2022. Out-of-sample prediction of Bitcoin realized volatility: Do other cryptocurrencies help? The North American Journal of Economics and Finance 62, 101731.

16. Danyan Wen, Li Liu, Yudong Wang, Yaojie Zhang, 2022. Forecasting crude oil market returns: Enhanced moving average technical indicators. Resources Policy 76, 102570.

17. Danyan Wen, Mengxi He, Yaojie Zhang, Yudong Wang, 2022. Forecasting realized volatility of Chinese stock market: A simple but efficient truncated approach. Journal of Forecasting 41, 230-251.

18. Danyan Wen, Mengxi He, Li Liu, Yaojie Zhang, 2022. Forecasting crude oil prices: Do technical indicators need economic constraints? Quantitative Finance 22, 1545-1559.

19. Yu Wei, Yaojie Zhang, Yudong Wang, 2022. Information connectedness of international crude oil futures: Evidence from SC, WTI, and Brent. International Review of Financial Analysis 81, 102100.

20. Yixuan Song, Mengxi He, Yudong Wang, Yaojie Zhang, 2022. Forecasting crude oil market volatility: A newspaper-based predictor regarding petroleum market volatility. Resources Policy 79, 103093.

21. Chao Liang, Yan Li, Feng Ma, Yaojie Zhang, 2022. Forecasting international equity market volatility: A new approach. Journal of Forecasting 41, 1433-1457.

22. Daxiang Jin, Mengxi He, Lu Xing, Yaojie Zhang, 2022. Forecasting China's crude oil futures volatility: How to dig out the information of other energy futures volatilities? Resources Policy 78, 102852.

23. Mengxi He, Yaojie Zhang, Danyan Wen, Yudong Wang, 2022. Forecasting the Chinese stock market volatility: A regression approach with a t-distributed error. Applied Economics 54, 5811-5826.

24. Mengxi He, Yaojie Zhang, 2022. Climate policy uncertainty and the stock return predictability of the oil industry. Journal of International Financial Markets, Institutions and Money 81, 101675.

25. Danyan Wen, Yudong Wang, Yaojie Zhang, 2021. Intraday return predictability in China’s crude oil futures market: New evidence from a unique trading mechanism. Economic Modelling 96, 209-219.

26. Likun Lei, Yaojie Zhang, Yu Wei, Yi Zhang, 2021. Forecasting the volatility of Chinese stock market: An international volatility index. International Journal of Finance & Economics 26, 1336-1350.

27. Mengxi He, Yaojie Zhang, Danyan Wen, Yudong Wang, 2021. Forecasting crude oil prices: A scaled PCA approach. Energy Economics 97, 105189.

28. Mengxi He, Xianfeng Hao, Yaojie Zhang, Fanyi Meng, 2021. Forecasting stock return volatility using a robust regression model. Journal of Forecasting 40, 1463-1478.

29. Li Liu, Feng Ma, Qing Zeng, Yaojie Zhang, 2020. Forecasting the aggregate stock market volatility in a data-rich world. Applied Economics 52, 3448-3463.

30. Chao Liang, Yu Wei, Yaojie Zhang, 2020. Is implied volatility more informative for forecasting realized volatility: An international perspective. Journal of Forecasting 39, 1253-1276.

31. Feng Ma, M. I. M. Wahab, Yaojie Zhang, 2019. Forecasting the U.S. stock volatility: An aligned jump index from G7 stock markets. Pacific-Basin Finance Journal 54, 132-146.

32. Jing Liu, Feng Ma, Yaojie Zhang, 2019. Forecasting the Chinese stock volatility across global stock markets. Physica A: Statistical Mechanics and its Applications 525, 466-477.

Publications (In Chinese)

1. 张耀杰, 史本山, 周圣. 保证贷款的贷款保险定价研究[J]. 保险研究, 2015(7): 49-57.

2. 史本山, 张耀杰. 债务结构、违约点宽容和贷款保险定价的改进[J]. 保险研究, 2016(4): 38-46.

3. 张耀杰, 郭靖, 史本山. ST“戴帽”能够提高公司价值和经营绩效吗——基于倾向值匹配和双重差分模型的因果推断[J]. 工业工程与管理, 2017, 22(4): 127-133.

4. 张耀杰, 史本山. 基于障碍期权的贷款保险定价研究[J]. 运筹与管理, 2018, 27(6): 148-155.

5. 张耀杰, 史本山, 金大祥, 李楼生. 具有证券背景的独立董事有助于企业并购吗[J]. 上海金融, 2018(9): 29-36.

6. 张耀杰, 史本山, 魏宇, 金大祥. 提前违约的贷款及其贷款保险定价研究 [J]. 系统工程理论与实践, 2019, 39(10): 2502-2511.

7. 张耀杰, 李杰刚, 史本山. 企业与证券公司的股权关联对企业并购的影响[J]. 管理评论, 2020, 32 (8): 29-39.

8. 张耀杰, 李杰刚, 史本山. ST摘帽如何影响公司价值和股价[J]. 运筹与管理, 2020, 29 (4): 212-220.

9. 张耀杰, 王玉东. 原油价格预测：近30年研究回顾和未来展望[J]. 系统管理学报, 2022, 31(6): 1169-1189.

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