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Shanglin Lu

Personal Details

First Name:Shanglin
Middle Name:
Last Name:Lu
Suffix:
RePEc Short-ID:plu444
[This author has chosen not to make the email address public]
Terminal Degree: School of Finance; Renmin University of China (from RePEc Genealogy)

Affiliation

University of International Business and Economics (UIBE)

Beijing, China
http://www.uibe.edu.cn/
RePEc:edi:uibeccn (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Horváth, L. & Liu, Z. & Lu, S., 2021. "Sequential monitoring of changes in dynamic linear models, applied to the US housing market," Post-Print hal-03323683, HAL.
  2. Boubaker, S. & Liu, Z. & Lu, S. & Zhang, Y., 2021. "Trading signal, functional data analysis and time series momentum," Post-Print hal-03323675, HAL.
  3. Zhenya Liu & Shanglin Lu & Shixuan Wang, 2021. "Asymmetry, tail risk and time series momentum," Post-Print hal-03511436, HAL.
  4. Lajos Horv'ath & Zhenya Liu & Shanglin Lu, 2020. "Sequential Monitoring of Changes in Housing Prices," Papers 2002.04101, arXiv.org.

Articles

  1. He, Yu & Lu, Shanglin & Wei, Ran & Wang, Shixuan, 2024. "Local media sentiment towards pollution and its effect on corporate green innovation," International Review of Financial Analysis, Elsevier, vol. 94(C).
  2. Liu, Zhenya & Lu, Shanglin & Li, Bo & Wang, Shixuan, 2023. "Time series momentum and reversal: Intraday information from realized semivariance," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 54-77.
  3. Horváth, Lajos & Liu, Zhenya & Lu, Shanglin, 2022. "Sequential Monitoring Of Changes In Dynamic Linear Models, Applied To The U.S. Housing Market," Econometric Theory, Cambridge University Press, vol. 38(2), pages 209-272, April.
  4. Liu, Zhenya & Lu, Shanglin & Wang, Shixuan, 2021. "Asymmetry, tail risk and time series momentum," International Review of Financial Analysis, Elsevier, vol. 78(C).
  5. Boubaker, Sabri & Liu, Zhenya & Lu, Shanglin & Zhang, Yifan, 2021. "Trading signal, functional data analysis and time series momentum," Finance Research Letters, Elsevier, vol. 42(C).

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Horváth, L. & Liu, Z. & Lu, S., 2021. "Sequential monitoring of changes in dynamic linear models, applied to the US housing market," Post-Print hal-03323683, HAL.

    Cited by:

    1. Boubaker, Sabri & Liu, Zhenya & Sui, Tianqing & Zhai, Ling, 2022. "The mirror of history: How to statistically identify stock market bubble bursts," Journal of Economic Behavior & Organization, Elsevier, vol. 204(C), pages 128-147.
    2. Lazar, Emese & Wang, Shixuan & Xue, Xiaohan, 2023. "Loss function-based change point detection in risk measures," European Journal of Operational Research, Elsevier, vol. 310(1), pages 415-431.
    3. Lajos Horvath & Lorenzo Trapani & Shixuan Wang, 2024. "Sequential monitoring for explosive volatility regimes," Papers 2404.17885, arXiv.org.
    4. Lajos Horv'ath & Lorenzo Trapani, 2023. "Real-time monitoring with RCA models," Papers 2312.11710, arXiv.org.

  2. Boubaker, S. & Liu, Z. & Lu, S. & Zhang, Y., 2021. "Trading signal, functional data analysis and time series momentum," Post-Print hal-03323675, HAL.

    Cited by:

    1. Boubaker, Sabri & Liu, Zhenya & Zhan, Yaosong, 2022. "Customer relationships, corporate social responsibility, and stock price reaction: Lessons from China during health crisis times," Finance Research Letters, Elsevier, vol. 47(PB).
    2. Ming, Lei & Song, Wuqi & Dong, Minyi, 2023. "Revisiting time series momentum in China's commodity futures market: Evidence on sources of momentum profits," Economic Modelling, Elsevier, vol. 128(C).

  3. Zhenya Liu & Shanglin Lu & Shixuan Wang, 2021. "Asymmetry, tail risk and time series momentum," Post-Print hal-03511436, HAL.

    Cited by:

    1. Hutchinson, Mark C. & Kyziropoulos, Panagiotis E. & O’Brien, John & O’Reilly, Philip & Sharma, Tripti, 2022. "Technical trading rule profitability in currencies: It’s all about momentum," Research in International Business and Finance, Elsevier, vol. 63(C).
    2. Wouassom, Alain & Muradoğlu, Yaz Gülnur & Tsitsianis, Nicholas, 2022. "Global momentum: The optimal trading approach," Journal of Behavioral and Experimental Finance, Elsevier, vol. 36(C).
    3. Ming, Lei & Song, Wuqi & Dong, Minyi, 2023. "Revisiting time series momentum in China's commodity futures market: Evidence on sources of momentum profits," Economic Modelling, Elsevier, vol. 128(C).

Articles

  1. Liu, Zhenya & Lu, Shanglin & Li, Bo & Wang, Shixuan, 2023. "Time series momentum and reversal: Intraday information from realized semivariance," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 54-77.

    Cited by:

    1. Wang, Cheng & Bouri, Elie & Xu, Yahua & Zhang, Dingsheng, 2023. "Intraday and overnight tail risks and return predictability in the crude oil market: Evidence from oil-related regular news and extreme shocks," Energy Economics, Elsevier, vol. 127(PB).
    2. Scharnowski, Stefan & Shi, Yanghua, 2024. "Intraday herding and attention around the clock," Journal of Behavioral and Experimental Finance, Elsevier, vol. 41(C).

  2. Horváth, Lajos & Liu, Zhenya & Lu, Shanglin, 2022. "Sequential Monitoring Of Changes In Dynamic Linear Models, Applied To The U.S. Housing Market," Econometric Theory, Cambridge University Press, vol. 38(2), pages 209-272, April.
    See citations under working paper version above.
  3. Liu, Zhenya & Lu, Shanglin & Wang, Shixuan, 2021. "Asymmetry, tail risk and time series momentum," International Review of Financial Analysis, Elsevier, vol. 78(C).
    See citations under working paper version above.
  4. Boubaker, Sabri & Liu, Zhenya & Lu, Shanglin & Zhang, Yifan, 2021. "Trading signal, functional data analysis and time series momentum," Finance Research Letters, Elsevier, vol. 42(C).
    See citations under working paper version above.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 1 paper announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-CNA: China (1) 2020-03-09. Author is listed
  2. NEP-ECM: Econometrics (1) 2020-03-09. Author is listed

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