Publications

Typhoon Events and Stock Market Volatility: A Climate Risk Perspective Finance Research Letters 2026 forthcoming (with Ruotong Yang and Lu Xing)*First author

Journal Info: JCR Q1, IF=6.9 (2025), 2024-ABS 2 stars, 2020-ABDC Rating A, SSCI.

A Dual-Criteria Method for Forecast Combination: Statistical and Economic Perspectives. Applied Economics Letters 2026 forthcoming (with Zhengrong Wang, Xi Li, Jiaxin Wang, and Bingyu Chen) *First author 

Journal Info: JCR Q3, IF=1.3 (2024), 2024-ABS 1 star, 2020-ABDC Rating B, SSCI.

Stock Returns Forecasting via a Novel Machine Learning Method. International Review of Financial Analysis 2026 110: 10489 (with Xuan Ouyang and Weiguo Zhang) *Corresponding author

Journal Info: JCR Q1, IF=9.8 (2025), 2024-ABS 3 stars, 2020-ABDC Rating A, SSCI.

A novel and informative uncertainty predictor for global foreign exchange volatility Applied Economics Letters 2025 forthcoming (with Jiahao Peng and Futing Ge) *First author 

Journal Info: JCR Q3, IF=1.2 (2023), 2021-ABS 1 star, 2020-ABDC Rating B, SSCI.

Attention to climate events and carbon price volatility. Finance Research Letters 2025 79: 107253 (with Shidong Ji and Yaojie Zhang) *First author

Journal Info: JCR Q1, IF=7.4 (2024), 2024-ABS 2 stars, 2020-ABDC Rating A, SSCI.

Stock return forecasting based on the proxy variables of category factors Financial Innovation  2025 forthcoming (with Yuan Zhao, Weiguo Zhang and Weijun Xu) *Corresponding author

Journal Info: JCR Q1, IF=6.9 (2024), 2024-ABS 2 stars, FMS-B, SSCI.

Forecasting carbon futures returns using feature selection and  Markov chain with sample distribution. Energy Economics 2024 140: 107962 (with Yuan Zhao, Weiguo Zhang and Weijun Xu) *Corresponding author

Journal Info: JCR Q1, IF=13.6 (2023), 2024-ABS 3 stars, 2020-ABDC Rating A*, SSCI. 

Partisan conflict and stock volatility predictability. Applied Economics Letters 2024 forthcoming (with Weijun Xu, Aoran Hong and Xiaodan Li) *First author

Journal Info: JCR Q3, IF=1.2 (2023), 2021-ABS 1 star, 2020-ABDC Rating B, SSCI.

Presidential economic approval rating and global foreign exchange market volatility. International Review of Financial Analysis 2024 96: 103584 (with Weijun Xu, Xiaodan Li and Xue Gong) *First author

Journal Info: JCR Q1, IF=7.5 (2023), 2021-ABS 3 stars, 2020-ABDC Rating A, SSCI.

Climate risk and energy futures high frequency volatility prediction. Energy 2024 307: 132466.  (with Ping Lai, Mengxi He and Danyan Wen) *First author

Journal Info: JCR Q1, Chinese Academy of Sciences TOP journal, IF=9.0 (2023), SCI. 检索证明

Carbon futures return forecasting: A novel method based on decomposition-ensemble strategy and Markov process. Applied Soft Computing 2024 163: 111869. (with Yuan Zhao, Weiguo Zhang, and Xiufeng Liu)

Journal Info: JCR Q1, Chinese Academy of Sciences TOP journal, IF=7.2 (2023), SCI.

The impact of presidential economic approval rating on stock volatility:  An industrial perspective. Finance Research Letters 2024 63: 105326. (with Xiaodan Li and Lu Xing) *Corresponding author

Journal Info: JCR Q1, IF=10.4 (2023), 2021-ABS 2 stars, 2020-ABDC Rating A, SSCI.

Forecasting stock volatility using pseudo-out-of-sample information. International Review of Economics and Finance 2024 90: 123-135. (with Xiaodan Li, Futing Ge, and Jingjing Huang) *Corresponding author

Journal Info: JCR Q2, IF=2.522 (2022), 2021-ABS 2 stars, 2020-ABDC Rating A, SSCI.

我国跨境债券发行规模影响因素及流动性风险度量研究. 系统工程 2023-12-29网络首发 (with 葛福婷, 张卫国 and 欧阳璇)

Data-driven research on volatility prediction and application for multiple financial assets. A Dissertation Submitted for the Degree of Doctor of Philosophy （2022-06-06）South China University of Technology, Guangzhou, China.

Supervisor: Prof. Weiguo Zhang

In Chinese: 《数据驱动下多类金融资产波动率预测及其应用研究》（管理科学与工程专业 | 博士毕业论文）

Asymmetric volatility spillovers effect and its determinants in international stock markets. Physica A: Statistical Mechanics and its Applications  2023 624: 128926. (with Xin Zeng, Weijun Xu, and Weiguo Zhang) *First author

Journal Info: JCR Q1, IF=3.778 (2021), SCI. 检索证明

Selective hedging strategies for crude oil futures based on market state expectations. Global Finance Journal  2023 57: 100845. (with Xing Yu, Xilin Shen, and Yanyan Li) *Corresponding author

Journal Info: JCR Q2, IF=2.853 (2021), 2021-ABS 2 stars, 2020-ABDC Rating A, SSCI. 检索证明

Forecasting stock volatility with a large set of predictors: A new forecast combination method. Journal of Forecasting  2023 42(7): 1622–1647. (with Weiguo Zhang, Yuan Zhao, and Xin Ye) *First author

Journal Info: JCR Q2, IF=2.627 (2021), 2021-ABS 2 stars, 2020-ABDC Rating A, SSCI. 检索证明

Data

Predicting energy futures high-frequency volatility using technical indicators: The role of interaction. Energy Economics 2023 119: 106533. (with Xin Ye, Weiguo Zhang, and Yue Zhang) *First author

Journal Info: JCR Q1, IF=9.252 (2021), 2021-ABS 3 stars, 2020-ABDC Rating A*, SSCI. 检索证明

Data for Crude Oil       Data for Natural Gas

Evaluating the performance of futures hedging using factors-driven realized volatility. International Review of Financial Analysis 2022 84: 102412. (with Xing Yu, Yanyan Li, and Nan Zhang) *Corresponding author

Journal Info: JCR Q1, IF=8.235 (2021), 2021-ABS 3 stars, 2020-ABDC Rating A, SSCI. 检索证明

Uncertainty index and stock volatility prediction: Evidence from international markets. Financial Innovation 2022 8: 57. (with Weiguo Zhang, Weijun Xu, and Zhe Li) *First author

Journal Info: JCR Q1, IF=6.793 (2021), SSCI. 检索证明

Investor sentiment and stock volatility: New evidence. International Review of Financial Analysis 2022 80: 101028. (with Weiguo Zhang, Junbo Wang, and Chao Wang) *First author

Journal Info: JCR Q1, IF=8.235 (2021), 2021-ABS 3 stars, 2020-ABDC Rating A, SSCI. 检索证明

A novel method for online real-time forecasting of crude oil price. Applied Energy 2021 303 (1): 117588. (with Yuan Zhao, Weiguo Zhang, and Chao Wang) 

Journal Info: JCR Q1, Chinese Academy of Sciences TOP journal, IF=9.746 (2020), SCI. 检索证明

Predicting stock market volatility based on textual sentiment: a nonlinear analysis. Journal of Forecasting 2021 40 (8): 1479-1500. (with Weiguo Zhang, Chao Wang, and Xin Ye) *Corresponding author

Journal Info: JCR Q2, IF=2.306 (2020), 2021-ABS 2 stars, 2020-ABDC Rating A, SSCI. 检索证明

Textual sentiment of comments and collapse of P2P platforms: Evidence from China's P2P market. Research in International Business and Finance 2021 58: 101448. (with Chao Wang, Yue Zhang, and Weiguo Zhang)

Journal Info: JCR Q1, IF=4.091 (2020), 2021-ABS 2 stars, 2020-ABDC Rating B, SSCI. 检索证明