成果/Result
- Price-volume cross-correlation analysis of CSI300 index futures被引量：42收藏
- 作者：Wang, Dong-Hua Suo, Yuan-Yuan Yu, Xiao-Wen Lei, Man
- 机构：E China Univ Sci & Technol;E China Univ Sci & Technol
- 来源：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2013
- 关键词：Econophysics CSI300 index futures Cross-correlation Scaling analysis Multifractal analysis
- The lead-lag relationship between the spot and futures markets in China被引量：39收藏
- 作者：Wang, Donghua Tu, Jingqing Chang, Xiaohui Li, Saiping
- 机构：East China Univ Sci & Technol;East China Univ Sci & Technol;Oregon State Univ;Acad Sinica
- 来源：QUANTITATIVE FINANCE 2017
- 关键词：Causality Lead-lag relationship Thermal optimal path CSI 300
- Correlation between agricultural markets in dynamic perspective-Evidence from China and the US futures markets被引量：34收藏
- 作者：Jia, Rui-Lin Wang, Dong-Hua Tu, Jing-Qing Li, Sai-Ping
- 机构：East China Univ Sci & Technol;East China Univ Sci & Technol;Acad Sinica
- 来源：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2016
- 关键词：Agricultural futures Lead-lag relationship Thermal optimal path method
- Risk estimation of CSI 300 index spot and futures in China from a new perspective被引量：18收藏
- 作者：Suo, Yuan-Yuan Wang, Dong-Hua Li, Sai-Ping
- 机构：E China Univ Sci & Technol;E China Univ Sci & Technol;Acad Sinica
- 来源：ECONOMIC MODELLING 2015
- 关键词：CSI 300 index Recurrence interval Probability distribution Memory effect Risk estimation
- Combining a self-exciting point process with the truncated generalized Pareto distribution: An extreme risk analysis under price limits被引量：13收藏
- 作者：Ji, Jingru Wang, Donghua Xu, Dinghai Xu, Chi
- 机构：East China Univ Sci & Technol;East China Univ Sci & Technol;Univ Waterloo
- 来源：JOURNAL OF EMPIRICAL FINANCE 2020
- 关键词：Self-exciting point process Truncated generalized Pareto distribution Predictable marks Price limits Branching process
- Double correlation model for operational risk: Evidence from Chinese commercial banks被引量：10收藏
- 作者：Xu, Chi Zheng, Chunling Wang, Donghua Ji, Jingru Wang, Nuan
- 机构：East China Univ Sci & Technol;Jingdezhen Univ;East China Univ Sci & Technol
- 来源：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2019
- 关键词：Operational risk LDA Double correlation t-copula
- Forecasting Crude Oil Prices with a WT-FNN Model被引量：7收藏
- 作者：Wang, Donghua Fang, Tianhui
- 机构：East China Univ Sci & Technol
- 来源：ENERGIES 2022
- 关键词：crude oil prices forecasting the stochastic time effective function WT-FNN
- Realized volatility forecasting and volatility spillovers: Evidence from Chinese non-ferrous metals futures被引量：5收藏
- 作者：Wang, Donghua Xin, Yang Chang, Xiaohui Su, Xingze
- 机构：East China Univ Sci & Technol;Oregon State Univ
- 来源：INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS 2021
- 关键词：dynamic model averaging heterogeneous autoregressive model non-ferrous base metals realized volatility forecast shanghai futures exchange volatility transmission
- Modelling the spreading process of extreme risks via a simple agent-based model: Evidence from the China stock market被引量：5收藏
- 作者：Ji, Jingru Wang, Donghua Xu, Dinghai
- 机构：East China Univ Sci & Technol;East China Univ Sci & Technol;Univ Waterloo
- 来源：ECONOMIC MODELLING 2019
- The impact of energy infrastructure on corporate upgrading and transformation被引量：2收藏
- 作者：Min, Tian Wang, Donghua
- 机构：East China Univ Sci & Technol
- 来源：APPLIED ECONOMICS 2025
- 关键词：Energy infrastructure manufacturing enterprises value chain upgrading green transformation ultra-high voltage transmission projects D21 H54 L6 M11
- Modelling asset returns in the presence of price limits with Markov-switching mixture of truncated normal GARCH distribution: evidence from China被引量：1收藏
- 作者：Wang, Donghua Ding, Jin Chu, Guoqing Xu, Dinghai Wirjanto, Tony S.
- 机构：East China Univ Sci & Technol;Hejiang Seaport Grp Finance Co Ltd;Univ Waterloo;Univ Waterloo;Univ Waterloo
- 来源：APPLIED ECONOMICS 2021
- 关键词：Price limits bound effects markov Switching mixture Models value-at-Risk
- Modifying a simple agent-based model to disentangle the microstructure of Chinese and US stock markets被引量：0收藏
- 作者：Ji, JingRu Wang, Donghua Tu, JingQing
- 机构：East China Univ Sci & Technol;East China Univ Sci & Technol
- 来源：QUANTITATIVE FINANCE 2018
- 关键词：Agent-based model Method of simulated moments GSL-div CSI 300 S&P 500
- Can frugal innovations trigger corporate innovation? The dockless bike-sharing services experience in China被引量：0收藏
- 作者：Ling, Xiaoxu Min, Tian Sharma, Piyush Wang, Donghua Yan, Siyuan
- 机构：Shanghai Univ Finance & Econ;East China Univ Sci & Technol;Curtin Univ
- 来源：TECHNOVATION 2025
- 关键词：Bike-sharing services Corporate innovation Emerging economies Frugal innovations Sharing economy
- Style drift in China's capital market: hot-chasing or value-seeking?被引量：0收藏
- 作者：Wu, Yaojie Hu, Yue Wang, Donghua
- 机构：Shanghai Lixin Univ Accounting & Finance;Shanghai Jiao Tong Univ;East China Univ Sci & Technol
- 来源：APPLIED ECONOMICS 2026
- 关键词：Self-drift benchmark-drift hot-chasing value-seeking fund performance G11 G23 G41
