Zijun Wang

Texas A&M University

Langford Building A

798 Ross St.

College Station, TX 77843-3137

United States

SCHOLARLY PAPERS

15

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Top 21,763

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2,776

SSRN CITATIONS
Rank 19,473

SSRN RANKINGS

Top 19,473

in Total Papers Citations

22

CROSSREF CITATIONS

31

Scholarly Papers (15)

1.

The Stock-Bond Correlation and Macroeconomic Conditions: One and a Half Centuries of Evidence

Number of pages: 36 Posted: 22 Dec 2008
Jian Yang, Yinggang Zhou and Zijun Wang
University of Colorado at Denver - Business School, Xiamen University - Department of Finance and Texas A&M University
Downloads 573 (57,921)
Citation 11

Abstract:

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Stock-bond correlation, Business cycle, Asymmetry, Smooth transition, GARCH

2.

Is Value Premium a Proxy for Time-Varying Investment Opportunities: Some Time Series Evidence

FRB of St. Louis Working Paper No. 2005-026B
Number of pages: 65 Posted: 17 Mar 2005
Hui Guo, Zijun Wang, Robert Savickas and Jian Yang
University of Cincinnati - Department of Finance - Real Estate, Texas A&M University, George Washington University - School of Business - Department of Finance and University of Colorado at Denver - Business School
Downloads 381 (94,859)
Citation 7

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CAPM, ICAPM, Fama and French Three Factors, Stock Market Return Predictability, Realized Volatility, and GARCH, Value Premium

3.

Conditional Co-Skewness in Stock and Bond Markets: Time Series Evidence

Management Science, Forthcoming
Number of pages: 39 Posted: 21 May 2008 Last Revised: 13 Apr 2011
Jian Yang, Yinggang Zhou and Zijun Wang
University of Colorado at Denver - Business School, Xiamen University - Department of Finance and Texas A&M University
Downloads 337 (108,925)

Abstract:

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regime-switching, conditional co-skewness, intertemporal asset pricing, stock and bond co-movements

The Emerging Market Crisis and Stock Market Linkages: Further Evidence

IEPR Working Paper No. 05.27
Number of pages: 35 Posted: 18 Aug 2005
Cheng Hsiao, Zijun Wang and Jian Yang
University of Southern California - Department of Economics, Texas A&M University and University of Colorado at Denver - Business School
Downloads 310 (118,533)
Citation 4

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Market linkages, emerging stock markets, generalized impulse response analysis, generalized forecast error variance decomposition, rolling VAR analysis

The Emerging Market Crisis and Stock Market Linkages: Further Evidence

Journal of Applied Econometrics, Forthcoming
Posted: 29 Aug 2005
Jian Yang, Zijun Wang, Cheng Hsiao and Qi Li
University of Colorado at Denver - Business School, Texas A&M University, University of Southern California - Department of Economics and Texas A&M University - Department of Economics

Abstract:

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market linkages, emerging stock markets, generalized impulse response analysis, generalized forecast error variance decomposition, rolling VAR analysis

5.

Interest Rate Linkages in the Eurocurrency Market: Contemporaneous and Out-of-Sample Granger Causality Tests

Number of pages: 36 Posted: 26 Apr 2005
Zijun Wang, Jian Yang and Qi Li
Texas A&M University, University of Colorado at Denver - Business School and Texas A&M University - Department of Economics
Downloads 246 (151,402)

Abstract:

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interest rate linkages, Granger causality, forecasting evaluation, contemporaneous correlation, directed acyclic graphs

6.

Time-Varying Risk-Return Tradeoff in the Stock Market

Forthcoming at JMCB
Number of pages: 45 Posted: 08 Aug 2006 Last Revised: 29 Oct 2012
Hui Guo, Zijun Wang and Jian Yang
University of Cincinnati - Department of Finance - Real Estate, Texas A&M University and University of Colorado at Denver - Business School
Downloads 193 (190,294)
Citation 9

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Habit Formation, Time-Varying Risk Aversion, Countercyclical Sharpe Ratio, Limited Stock Market Participation, Illiquidity Premium, ICAPM, Conditional CAPM, Nonparametric and Semiparametric Models

7.

Fiscal Policy and Asset Markets: A Semiparametric Analysis

Journal of Econometrics, Forthcoming
Number of pages: 26 Posted: 27 Nov 2007
Dennis W. Jansen, Qi Li, Zijun Wang and Jian Yang
Texas A&M University - Department of Economics, Texas A&M University - Department of Economics, Texas A&M University and University of Colorado at Denver - Business School
Downloads 182 (200,491)
Citation 1

Abstract:

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fiscal deficits, monetary policy, stock market, semiparametric estimation

8.

Is the Value Premium a Proxy for Time-Varying Investment Opportunities: Some Time Series Evidence

Journal of Financial and Quantitative Analysis, Forthcoming
Number of pages: 51 Posted: 24 Oct 2006
Hui Guo, Zijun Wang, Robert Savickas and Jian Yang
University of Cincinnati - Department of Finance - Real Estate, Texas A&M University, George Washington University - School of Business - Department of Finance and University of Colorado at Denver - Business School
Downloads 133 (260,024)
Citation 3

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ICAPM, value premium, stock return predictability, realized variance, and GARCH

9.

International Transmission of Inflation Among G-7 Countries: A Data-Determined VAR Analysis

Journal of Banking and Finance, Forthcoming
Number of pages: 37 Posted: 29 Jul 2005
Jian Yang, Hui Guo and Zijun Wang
University of Colorado at Denver - Business School, University of Cincinnati - Department of Finance - Real Estate and Texas A&M University
Downloads 121 (279,018)
Citation 1

Abstract:

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Inflation transmission, directed acyclic graphs, forecast error variance decomposition, recursive estimation, impulse responses

10.

A Note on Deficit, Implicit Debt and Interest Rates

Number of pages: 26 Posted: 20 May 2005
Zijun Wang
Texas A&M University
Downloads 89 (342,748)

Abstract:

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Deficits, debt, interest rate

11.

Information Flow between Forward and Spot Markets: Evidence from the Chinese Renminbi

Journal of Futures Markets, Forthcoming
Number of pages: 46 Posted: 24 Aug 2015
Jiadong Tong, Zijun Wang and Jian Yang
Independent, Texas A&M University and University of Colorado at Denver - Business School
Downloads 76 (376,427)

Abstract:

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exchange rates, forward market, term structure, cointegration, structural breaks

12.

The Joint Determination of the Number and the Type of Structural Changes

Economics Letters, Forthcoming
Number of pages: 13 Posted: 16 May 2006
Zijun Wang
Texas A&M University
Downloads 70 (393,913)

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Information criteria, model selection, multiple structural changes

13.

Persistence in Medicare Reimbursements and Personal Medical Accounts

Number of pages: 39 Posted: 23 May 2005
Andrew J. Rettenmaier and Zijun Wang
Texas A&M University and Texas A&M University
Downloads 44 (488,418)

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dynamic panel, Tobit, Medicare, persistence

14.

Testing for Cointegrating Rank via Model Selection: Evidence from 165 Data Sets

Syracuse University Center for Policy Research Working Paper No. 83
Number of pages: 18 Posted: 20 Apr 2011
Badi H. Baltagi and Zijun Wang
Syracuse University - Maxwell School of Citizenship and Public Affairs and Texas A&M University
Downloads 21 (613,968)

Abstract:

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15.

Market States and the Risk-Return Tradeoff

The Quarterly Journal of Economics and Finance, 2016
Posted: 17 Apr 2019
Zijun Wang and Moosa
Texas A&M University and Prairie View A&M University

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Risk-return tradeoff, time variation, market states, mixed data sampling