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Author

Yu Wei

Other affiliations: Southwest Jiaotong University
Bio: Yu Wei is an academic researcher from Yunnan University of Finance and Economics. The author has contributed to research in topics: Volatility (finance) & Stock market. The author has an hindex of 39, co-authored 105 publications receiving 4445 citations. Previous affiliations of Yu Wei include Southwest Jiaotong University.


Papers
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Journal ArticleDOI
TL;DR: In this article, the authors used a greater number of linear and nonlinear generalized autoregressive conditional heteroskedasticity (GARCH) class models to capture the volatility features of two crude oil markets.

356 citations

Journal ArticleDOI
TL;DR: An approach to multiple attribute decision making based on q‐ROFGWHM (q‐ROFWGHM) operator is proposed and a practical example for enterprise resource planning system selection is given to verify the developed approach and to demonstrate its practicality and effectiveness.
Abstract: The generalized Heronian mean and geometric Heronian mean operators provide two aggregation operators that consider the interdependent phenomena among the aggregated arguments. In this paper, the generalized Heronian mean operator and geometric Heronian mean operator under the q‐rung orthopair fuzzy sets is studied. First, the q‐rung orthopair fuzzy generalized Heronian mean (q‐ROFGHM) operator, q‐rung orthopair fuzzy geometric Heronian mean (q‐ROFGHM) operator, q‐rung orthopair fuzzy generalized weighted Heronian mean (q‐ROFGWHM) operator, and q‐rung orthopair fuzzy weighted geometric Heronian mean (q‐ROFWGHM) operator are proposed, and some of their desirable properties are investigated in detail. Furthermore, we extend these operators to q‐rung orthopair 2‐tuple linguistic sets (q‐RO2TLSs). Then, an approach to multiple attribute decision making based on q‐ROFGWHM (q‐ROFWGHM) operator is proposed. Finally, a practical example for enterprise resource planning system selection is given to verify the developed approach and to demonstrate its practicality and effectiveness.

333 citations

Journal ArticleDOI
TL;DR: Ten similarity measures between Pythagorean fuzzy sets (PFSs) based on the cosine function are presented by considering the degree of membership, degree of nonmembership and degree of hesitation in PFSs and applied to pattern recognition and medical diagnosis.
Abstract: In this paper, we presented 10 similarity measures between Pythagorean fuzzy sets (PFSs) based on the cosine function by considering the degree of membership, degree of nonmembership and degree of hesitation in PFSs. Then, we applied these similarity measures and weighted similarity measures between PFSs to pattern recognition and medical diagnosis. Finally, two illustrative examples are given to demonstrate the efficiency of the similarity measures for pattern recognition and medical diagnosis.

234 citations

Journal ArticleDOI
TL;DR: In this paper, the authors apply time-varying copulas to investigate whether a contagion effect existed between energy and stock markets during the recent financial crisis, using the WTI oil spot price, the S&P500 index, the Shanghai stock market composite index and the Shenzhen stock market component index returns.

228 citations

Journal ArticleDOI
TL;DR: In this article, a dynamic model averaging (DMA) approach is used to combine the forecasts of the individual models, which can generate more accurate forecasts than individual model in both statistical and economic senses.
Abstract: In this study, we forecast the realized volatility of the S&P 500 index using the heterogeneous autoregressive model for realized volatility (HAR-RV) and its various extensions. Our models take into account the time-varying property of the models’ parameters and the volatility of realized volatility. A dynamic model averaging (DMA) approach is used to combine the forecasts of the individual models. Our empirical results suggest that DMA can generate more accurate forecasts than individual model in both statistical and economic senses. Models that use time-varying parameters have greater forecasting accuracy than models that use the constant coefficients. The superiority of time-varying parameter models is also found in volatility density forecasting.

198 citations


Cited by
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Book ChapterDOI
01 Jan 1982
TL;DR: In this article, the authors discuss leading problems linked to energy that the world is now confronting and propose some ideas concerning possible solutions, and conclude that it is necessary to pursue actively the development of coal, natural gas, and nuclear power.
Abstract: This chapter discusses leading problems linked to energy that the world is now confronting and to propose some ideas concerning possible solutions. Oil deserves special attention among all energy sources. Since the beginning of 1981, it has merely been continuing and enhancing the downward movement in consumption and prices caused by excessive rises, especially for light crudes such as those from Africa, and the slowing down of worldwide economic growth. Densely-populated oil-producing countries need to produce to live, to pay for their food and their equipment. If the economic growth of the industrialized countries were to be 4%, even if investment in the rational use of energy were pushed to the limit and the development of nonpetroleum energy sources were also pursued actively, it would be extremely difficult to prevent a sharp rise in prices. It is evident that it is absolutely necessary to pursue actively the development of coal, natural gas, and nuclear power if a physical shortage of energy is not to block economic growth.

2,283 citations

Journal ArticleDOI
TL;DR: Using ρ(DCCA)(T,n), it is shown that the Chinese financial market's tendency to follow the U.S. market is extremely weak and an additional statistical test is proposed that can be used to quantify the existence of cross-correlations between two power-law correlated time series.
Abstract: For stationary time series, the cross-covariance and the cross-correlation as functions of time lag $n$ serve to quantify the similarity of two time series. The latter measure is also used to assess whether the cross-correlations are statistically significant. For nonstationary time series, the analogous measures are detrended cross-correlations analysis (DCCA) and the recently proposed detrended cross-correlation coefficient, ${\ensuremath{\rho}}_{\mathrm{DCCA}}(T,n)$, where $T$ is the total length of the time series and $n$ the window size. For ${\ensuremath{\rho}}_{\mathrm{DCCA}}(T,n)$, we numerically calculated the Cauchy inequality $\ensuremath{-}1\ensuremath{\le}{\ensuremath{\rho}}_{\mathrm{DCCA}}(T,n)\ensuremath{\le}1$. Here we derive $\ensuremath{-}1\ensuremath{\le}{\ensuremath{\rho}}_{\mathrm{DCCA}}(T,n)\ensuremath{\le}1$ for a standard variance-covariance approach and for a detrending approach. For overlapping windows, we find the range of ${\ensuremath{\rho}}_{\mathrm{DCCA}}$ within which the cross-correlations become statistically significant. For overlapping windows we numerically determine---and for nonoverlapping windows we derive---that the standard deviation of ${\ensuremath{\rho}}_{\mathrm{DCCA}}(T,n)$ tends with increasing $T$ to $1/T$. Using ${\ensuremath{\rho}}_{\mathrm{DCCA}}(T,n)$ we show that the Chinese financial market's tendency to follow the U.S. market is extremely weak. We also propose an additional statistical test that can be used to quantify the existence of cross-correlations between two power-law correlated time series.

393 citations

Journal ArticleDOI
TL;DR: An approach to multiple attribute decision making based on q‐ROFGWHM (q‐ROFWGHM) operator is proposed and a practical example for enterprise resource planning system selection is given to verify the developed approach and to demonstrate its practicality and effectiveness.
Abstract: The generalized Heronian mean and geometric Heronian mean operators provide two aggregation operators that consider the interdependent phenomena among the aggregated arguments. In this paper, the generalized Heronian mean operator and geometric Heronian mean operator under the q‐rung orthopair fuzzy sets is studied. First, the q‐rung orthopair fuzzy generalized Heronian mean (q‐ROFGHM) operator, q‐rung orthopair fuzzy geometric Heronian mean (q‐ROFGHM) operator, q‐rung orthopair fuzzy generalized weighted Heronian mean (q‐ROFGWHM) operator, and q‐rung orthopair fuzzy weighted geometric Heronian mean (q‐ROFWGHM) operator are proposed, and some of their desirable properties are investigated in detail. Furthermore, we extend these operators to q‐rung orthopair 2‐tuple linguistic sets (q‐RO2TLSs). Then, an approach to multiple attribute decision making based on q‐ROFGWHM (q‐ROFWGHM) operator is proposed. Finally, a practical example for enterprise resource planning system selection is given to verify the developed approach and to demonstrate its practicality and effectiveness.

333 citations

Journal ArticleDOI
TL;DR: In this article, the authors examine co-movement between the green bond and financial markets, finding that green bonds are affected by substantial price spillovers from corporate and treasury fixed-income markets and that large price swings in stock and energy markets have a negligible impact on green bond prices.

325 citations

Journal ArticleDOI
TL;DR: It is suggested that the prolongation of the coronavirus pandemic is an important source of financial volatility, challenging the risk management activity.

322 citations