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, Chinahttp://www.uibe.edu.cn/
RePEc:edi:uibeccn (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- 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.
- 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.
- Lajos Horváth & Zhenya Liu & Shanglin Lu, 2021. "Sequential Monitoring Of Changes In Dynamic Linear Models, Applied To The U.S. Housing Market," Post-Print hal-03511409, HAL.
- Boubaker, S. & Liu, Z. & Lu, S. & Zhang, Y., 2021.
"Trading signal, functional data analysis and time series momentum,"
Post-Print
hal-03323675, HAL.
- 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).
- Sabri Boubaker & Zhenya Liu & Shanglin Lu & Yifan Zhang, 2021. "Trading signal, functional data analysis and time series momentum," Post-Print hal-04455593, HAL.
- Zhenya Liu & Shanglin Lu & Shixuan Wang, 2021.
"Asymmetry, tail risk and time series momentum,"
Post-Print
hal-03511436, HAL.
- Liu, Zhenya & Lu, Shanglin & Wang, Shixuan, 2021. "Asymmetry, tail risk and time series momentum," International Review of Financial Analysis, Elsevier, vol. 78(C).
- Lajos Horv'ath & Zhenya Liu & Shanglin Lu, 2020. "Sequential Monitoring of Changes in Housing Prices," Papers 2002.04101, arXiv.org.
Articles
- 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).
- 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.
- 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.
- 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.
- Lajos Horváth & Zhenya Liu & Shanglin Lu, 2021. "Sequential Monitoring Of Changes In Dynamic Linear Models, Applied To The U.S. Housing Market," Post-Print hal-03511409, HAL.
- Liu, Zhenya & Lu, Shanglin & Wang, Shixuan, 2021.
"Asymmetry, tail risk and time series momentum,"
International Review of Financial Analysis, Elsevier, vol. 78(C).
- Zhenya Liu & Shanglin Lu & Shixuan Wang, 2021. "Asymmetry, tail risk and time series momentum," Post-Print hal-03511436, HAL.
- 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).
- Boubaker, S. & Liu, Z. & Lu, S. & Zhang, Y., 2021. "Trading signal, functional data analysis and time series momentum," Post-Print hal-03323675, HAL.
- Sabri Boubaker & Zhenya Liu & Shanglin Lu & Yifan Zhang, 2021. "Trading signal, functional data analysis and time series momentum," Post-Print hal-04455593, HAL.
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
- 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.
- 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.
- Lajos Horváth & Zhenya Liu & Shanglin Lu, 2021. "Sequential Monitoring Of Changes In Dynamic Linear Models, Applied To The U.S. Housing Market," Post-Print hal-03511409, HAL.
Cited by:
- 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.
- S. Boubaker & Zhenya Liu & Tianqing Sui & L. Zhai, 2022. "The Mirror of History: How to Statistically Identify Stock Market Bubble Bursts," Post-Print hal-04454682, HAL.
- 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.
- Lajos Horvath & Lorenzo Trapani & Shixuan Wang, 2024. "Sequential monitoring for explosive volatility regimes," Papers 2404.17885, arXiv.org.
- Lajos Horv'ath & Lorenzo Trapani, 2023. "Real-time monitoring with RCA models," Papers 2312.11710, arXiv.org.
- Boubaker, S. & Liu, Z. & Lu, S. & Zhang, Y., 2021.
"Trading signal, functional data analysis and time series momentum,"
Post-Print
hal-03323675, HAL.
- 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).
- Sabri Boubaker & Zhenya Liu & Shanglin Lu & Yifan Zhang, 2021. "Trading signal, functional data analysis and time series momentum," Post-Print hal-04455593, HAL.
Cited by:
- 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).
- S. Boubaker & Zhenya Liu & Yaosong Zhan, 2022. "Customer Relationships, Corporate Social Responsibility, and Stock Price Reaction: Lessons from China during Health Crisis Times," Post-Print hal-04452665, HAL.
- 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).
- Zhenya Liu & Shanglin Lu & Shixuan Wang, 2021.
"Asymmetry, tail risk and time series momentum,"
Post-Print
hal-03511436, HAL.
- Liu, Zhenya & Lu, Shanglin & Wang, Shixuan, 2021. "Asymmetry, tail risk and time series momentum," International Review of Financial Analysis, Elsevier, vol. 78(C).
Cited by:
- 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).
- Wouassom, Alain & Muradoğlu, Yaz Gülnur & Tsitsianis, Nicholas, 2022. "Global momentum: The optimal trading approach," Journal of Behavioral and Experimental Finance, Elsevier, vol. 36(C).
- 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
- 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:
- 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).
- Scharnowski, Stefan & Shi, Yanghua, 2024. "Intraday herding and attention around the clock," Journal of Behavioral and Experimental Finance, Elsevier, vol. 41(C).
- 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.
- 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.
- Lajos Horváth & Zhenya Liu & Shanglin Lu, 2021. "Sequential Monitoring Of Changes In Dynamic Linear Models, Applied To The U.S. Housing Market," Post-Print hal-03511409, HAL.
- 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.
- Zhenya Liu & Shanglin Lu & Shixuan Wang, 2021. "Asymmetry, tail risk and time series momentum," Post-Print hal-03511436, HAL.
- 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.
- Boubaker, S. & Liu, Z. & Lu, S. & Zhang, Y., 2021. "Trading signal, functional data analysis and time series momentum," Post-Print hal-03323675, HAL.
- Sabri Boubaker & Zhenya Liu & Shanglin Lu & Yifan Zhang, 2021. "Trading signal, functional data analysis and time series momentum," Post-Print hal-04455593, HAL.
More information
Research fields, statistics, top rankings, if available.Statistics
Access and download statistics for all items
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.- NEP-CNA: China (1) 2020-03-09. Author is listed
- NEP-ECM: Econometrics (1) 2020-03-09. Author is listed
Corrections
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