Yong Song

Predictability of stock returns and asset allocation under structural breaks (vol 164, pg 60, 2011)

Davide Pettenuzzo, Yong Song, Allan Timmermann

Journal article  |  2022  |  JOURNAL OF ECONOMETRICS

We revisit the estimation algorithm of Pettenuzzo and Timmermann (2011) and show how to apply the posterior simulation test of Gew..

Bull and bear markets during the COVID-19 pandemic

John M Maheu, Thomas H McCurdy, Yong Song

Journal article  |  2021  |  FINANCE RESEARCH LETTERS

The COVID-19 pandemic has caused severe disruption worldwide. We analyze the aggregate U.S. stock market during this period, inclu..

Sparse change-point VAR models

Arnaud Dufays, Zhuo Li, Jeroen VK Rombouts, Yong Song

Journal article  |  2021  |  JOURNAL OF APPLIED ECONOMETRICS

Change-point (CP) VAR models face a dimensionality curse due to the proliferation of parameters that arises when new breaks are de..

Markov Switching

Yong Song, Tomasz Woźniak

Journal article  |  2021

Markov switching models are a family of models that introduces time variation in the parameters in the form of their state, or reg..

Atlantic trade and the decline of conflict in Europe

Reshad Ahsan, Laura Panza, Yong Song

Scholarly Contribution to Database/Website  |  2020

While the relationship between trade and war is ambiguous, some argue that diminished trade can pose a threat to global peace by l..

Oil price shocks and economic growth: The volatility link

JM Maheu, Y Song, Q Yang

Journal article  |  2020  |  International Journal of Forecasting

This paper shows that oil shocks impact economic growth primarily through the conditional variance of growth. Our comparison of mo..

The evolution of Ottoman–European market linkages, 1469–1914: Evidence from dynamic factor models

L Panza, Zhuo Li, Yong Song

Journal article  |  2019  |  Explorations in Economic History

This paper exploits data on a set of traded goods to undertake the first comprehensive empirical analysis of market integration be..

The evolution of ottoman-European market linkages, 1469-1914: Evidence from dynamic factor models

Zhuo Li, Laura Panza, Yong Song

Journal article  |  2019  |  EXPLORATIONS IN ECONOMIC HISTORY

This paper studies the relationship between commodity markets in two key regions of the international economy during the 1469-1914..

Heterogeneous Traders, the Leverage Effect and Volatility of the Chinese P2P Market

Xing Fang, Bo Wang, Lanbiao Liu, Yong Song

Journal article  |  2018  |  Journal of Management Science and Engineering

Measuring Inflation Expectations Uncertainty Using High-Frequency Data

Y Song, JCC Chan

Journal article  |  2018  |  Journal of Money, Credit and Banking

Inflation expectations play a key role in determining future economic outcomes. The associated uncertainty provides a direct gauge..