考虑行为因素的多元耦合商品资产定价模型研究

71671193
2016
G0114.金融工程
尹力博
面上项目
教授
中央财经大学
49万元
有限理性;多元耦合模型;商品资产;资产定价;行为因素
2017-01-01到2020-12-31
  • 中英文摘要
  • 结题摘要
  • 结题报告
  • 项目成果
  • 项目参与人
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序号 标题 类型 作者
1 Oil shocks and stock volatility: new evidence via a Bayesian, graph-based VAR approach 期刊论文 Libo Yin（尹力博）;Xiyuan Ma
2 离岸人民币区域影响力研究——基于信息溢出的视角 期刊论文 尹力博;吴优
3 Does investor attention matter? The attention-return relationships in FX markets 期刊论文 Liyan Han;Yang Xu;Libo Yin（尹力博）
4 Common idiosyncratic volatility and returns: From an investment horizon perspective 期刊论文 Libo Yin（尹力博）;Tengjia Shu;Zhi Su
5 Aggregate profit instability and time variations in momentum returns: Evidence from China 期刊论文 Libo Yin（尹力博）;Ya Wei
6 The role of news-based implied volatility among US financial markets 期刊论文 Zhi Su;Tong Fang;Libo Yin（尹力博）
7 Adjusted dividend-price ratios and stock return predictability: Evidence from China 期刊论文 Libo Yin（尹力博）;Jing Nie
8 Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model 期刊论文 Zhiyuan Pan;Yudong Wang;Chongfeng Wu;Libo Yin（尹力博）
9 股指期货交易提升了股票市场有效性吗? 期刊论文 戴方贤;尹力博
10 Investor attention and currency performance: International evidence 期刊论文 Liyan Han;You Wu;Libo Yin（尹力博）
11 News implied volatility and long-term foreign exchange market volatility 期刊论文 Yang Liu;Liyan Han;Libo Yin（尹力博）
12 证券分析师“变脸”行为会增加股票特质波动率吗? 期刊论文 戴方哲;尹力博
13 Forecasting the oil prices: What is the role of skewness risk? 期刊论文 Libo Yin（尹力博）;Yang Wang
14 Firms' profit instability and the cross-section of stock returns: Evidence from China 期刊论文 Libo Yin（尹力博）;Ya Wei;Liyan Han
15 经济政策不确定性对经济波动的动态影响 期刊论文 孙永强;尹力博;杜勇宏
16 A moment-based criterion for determining the number of components in a normal mixture model 期刊论文 Yimin Zhou;Liyan Han;Dan Wang;Libo Yin（尹力博）
17 Intermediary asset pricing in commodity futures returns 期刊论文 Libo Yin（尹力博）;Jing Nie;Liyan Han
18 不确定冲击与人民币汇率动态演化——基于投资者关注的视角 期刊论文 尹力博;吴优
19 中国证券市场的绿色激励:一个四因素模型 期刊论文 韩立岩;蔡立新;尹力博
20 Does news uncertainty matter for commodity futures markets? Heterogeneity in energy and non-energy sectors 期刊论文 Yang Liu;Liyan Han;Libo Yin（尹力博）
21 Predictability of structural co-movement in commodity prices: the role of technical indicators 期刊论文 Libo Yin（尹力博）;Qingyuan Yang;Zhi Su
22 Chinese stock returns and the role of news-based uncertainty 期刊论文 Zhi Su;Man Lu;Libo Yin（尹力博）
23 Oil prices and news-based uncertainty: Novel evidence 期刊论文 Zhi Su;Man Lu;Libo Yin（尹力博）
24 Currency strategies based on momentum, carry trade and skewness 期刊论文 Xue Jiang;Liyan Han;Libo Yin（尹力博）
25 离岸人民币信息溢出效应研究 ———基于贝叶斯图解模型 期刊论文 尹力博;马惜缘
26 The pricing effect of the common pattern in firm-level idiosyncratic volatility: Evidence from A-Share stocks of China 期刊论文 Zhi Su;Tengjia Shu;Libo Yin（尹力博）
27 Can skewness predict currency excess returns? 期刊论文 Xue Jiang;Liyan Han;Libo Yin（尹力博）
28 Can the intermediary capital risk predict foreign exchange rates? 期刊论文 Libo Yin（尹力博）
29 中国虚拟经济与实体经济的关联性——基于规模和周期视角的实证研究 期刊论文 苏治;方彤;尹力博
30 Optimistic bias of analysts' earnings forecasts: Does investor sentiment matter in China? 期刊论文 Yanran Wu;Tingting Liu;Liyan Han;Libo Yin（尹力博）
31 Forecasting the CNY-CNH pricing differential: The role of investor attention 期刊论文 Liyan Han;Yang Xu;Libo Yin（尹力博）
32 The effect of oil returns on the stock markets network 期刊论文 Liyan Han;Qiuna Lv;Libo Yin（尹力博）
33 Investor attention and stock returns: International evidence 期刊论文 Liyan Han;Ziying Li;Libo Yin（尹力博）
34 Oil market uncertainty and international business cycle dynamics 期刊论文 Libo Yin（尹力博）;Jiabao Feng
35 The effects of investor attention on commodity futures markets 期刊论文 Liyan Han;Ziying Li;Libo Yin（尹力博）
36 中国资本市场系统性风险——基于个股的风险联动 期刊论文 戴方贤;尹力博
37 It's not that important: The negligible effect of oil market uncertainty 期刊论文 Libo Yin（尹力博）;Jiabao Feng;Li Liu;Yudong Wang
38 Is the relationship between gold and the U.S. dollar always negative? The role of macroeconomic uncertainty 期刊论文 Yimin Zhou;Liyan Han;Libo Yin（尹力博）
39 中国A 股市场减速动量效应研究 期刊论文 尹力博;马丹蓉
40 Oil and the short-term predictability of stock return volatility 期刊论文 Yudong Wang;Yu Wei;Chongfeng Wu;Libo Yin（尹力博）
41 Does NVIX matter for market volatility? Evidence from Asia-Pacific markets 期刊论文 Zhi Su;Tong Fang;Libo Yin（尹力博）
42 商品金融化背景下大宗商品指数收益机制转换 期刊论文 韩立岩;郑擎擎;尹力博
43 Understanding stock market volatility: What is the role of U.S. uncertainty? 期刊论文 Zhi Su;Tong Fang;Libo Yin（尹力博）
44 中国A股市场存在品质溢价吗? 期刊论文 尹力博;廖辉毅
45 Systemic risk and dynamics of contagion: A duplex inter-bank network 期刊论文 Ding Ding;Liyan Han;Libo Yin（尹力博）
46 Systemic risk in international stock markets: Role of the oil market 期刊论文 Libo Yin（尹力博）;Jiabao Feng;Liyan Han
47 Can investor attention predict oil prices? 期刊论文 Liyan Han;Qiuna Lv;Libo Yin（尹力博）
48 高频视角下投资者关注度对黄金期货市场的影响研究 期刊论文 钟美瑞;石越;尹力博;张宏伟
49 基于长期投资视角的动态套期保值策略:以原油期货组合为例 期刊论文 尹力博;韩立岩
50 Causality between oil shocks and exchange rate: A Bayesian, graph-based VAR approach 期刊论文 Libo Yin（尹力博）;Xiyuan Ma
51 投资者关注对人民币汇率价差波动的影响研究——基于 GARCH-MIDAS模型 期刊论文 尹力博;李勍
52 技术指标能够预测商品期货价格吗? 来自中国的证据 期刊论文 尹力博;杨清元;韩立岩
53 中国股市异象的时变特征及影响因素研究 期刊论文 尹力博;韦亚;韩复龄
54 Can investors attention on oil markets predict stock returns? 期刊论文 Libo Yin（尹力博）;Jiabao Feng
55 Economic fundamentals or investor perceptions? The role of uncertainty in predicting long-term cryptocurrency volatility 期刊论文 Tong Fang;Zhi Su;Libo Yin（尹力博）
56 The predictive performance of the currency futures basis for spot returns 期刊论文 Liyan Han;Xue Jiang;Libo Yin（尹力博）
57 Firm's quality increases and the cross-section of stock returns: Evidence from China 期刊论文 Libo Yin（尹力博）;Huiyi Liao
58 Uncertainty and currency performance: A quantile-on-quantile approach 期刊论文 Liyan Han;Yang Liu;Libo Yin（尹力博）
59 Oil volatility risk and stock market volatility predictability: Evidence from G7 countries 期刊论文 Jiabao Feng;Yudong Wang;Libo Yin（尹力博）
60 Our currency, your attention: Contagion spillovers of investor attention on currency returns 期刊论文 You Wu;Liyan Han;Libo Yin（尹力博）
61 Environmental efficiency and its determinants for manufacturing in China 期刊论文 Xu Wang;Liyan Han;Libo Yin（尹力博）
62 Can the skewness of oil returns affect stock returns? Evidence from China’s A-Share markets 期刊论文 Xuan Mo;Zhi Su;Libo Yin（尹力博）
63 Stock net entropy: Evidence from the Chinese growth enterprise market 期刊论文 Qiuna Lv;Liyan Han;Yipeng Wan;Libo Yin（尹力博）
64 Can skewness of the futures-spot basis predict currency spot returns? 期刊论文 Xue Jiang;Liyan Han;Libo Yin（尹力博）
65 分析师目标价预测是否引导了基金集中持股行为? 期刊论文 戴方贤;尹力博
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