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学者姓名：邹辉文
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Abstract ：
This paper investigates the time-frequency dependence,return and volatility connected-ness,dynamic linkages,and portfolio diversification gains among oil and China's sectoral commodities,namely,Petrochemicals(CIFI),Grains(CRFI),Energy(ENFI),Non-ferrous metals(NFFI),Oil&Fats(OOFI),and Softs(SOFI),utilizing a proposed research framework that contains the wavelet coher-ence,novel TVP-VAR based connectedness,and the cDCC-,DECO-FIAPARCH(1,d,1)model.The empirical results demonstrate that global oil market exhibits a relatively higher(lower)coherence with ENFI,NFFI,and OOFI(CRFI)on the long-term time horizon and the oil market leads China's sectoral commodities during most sample periods.The crude oil market transmits significant connectedness to China's sectoral commodities,especially the energy commodity sector(ENFI).The dynamic return and volatility total spillovers tend to intensify and exhibit significant fluctuations during the GFC and the oil price collapse.Further,the time-varying linkages among oil and China's sectoral commodities are positive and fluctuant,mainly at a relatively low level.The dynamic return and volatility connected-ness,multi-view linkages,optimal portfolio weights,and hedging ratios display significant time-varying features.The oil-commodity nexus offers diversification benefits and the optimal-weighted portfolio presents the best variance and downside risk reduction performance.Furthermore,risk management effectiveness is market-condition-dependent and heterogeneous across different commodity sectors and sub-samples.This paper can not only help investors and market regulators to capture the complex interconnectedness and risk transmission trajectory among oil and China's sectoral commodities but also benefits for investors and portfolio managers to construct optimal portfolios and hedging strategies.
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| GB/T 7714 | CUI Jinxin , ZOU Huiwen . Coherence,Connectedness,Dynamic Linkages Among Oil and China's Sectoral Commodities with Portfolio Implications [J]. | 系统科学与复杂性学报（英文版） , 2022 , 35 (3) : 1052-1097 . |
| MLA | CUI Jinxin 等. "Coherence,Connectedness,Dynamic Linkages Among Oil and China's Sectoral Commodities with Portfolio Implications" . | 系统科学与复杂性学报（英文版） 35 . 3 (2022) : 1052-1097 . |
| APA | CUI Jinxin , ZOU Huiwen . Coherence,Connectedness,Dynamic Linkages Among Oil and China's Sectoral Commodities with Portfolio Implications . | 系统科学与复杂性学报（英文版） , 2022 , 35 (3) , 1052-1097 . |
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Abstract ：
This paper investigates the time-frequency dependence, return and volatility connectedness, dynamic linkages, and portfolio diversification gains among oil and China's sectoral commodities, namely, Petrochemicals (CIFI), Grains (CRFI), Energy (ENFI), Non-ferrous metals (NFFI), Oil & Fats (OOFI), and Softs (SOFI), utilizing a proposed research framework that contains the wavelet coherence, novel TVP-VAR based connectedness, and the cDCC-, DECO-FIAPARCH (1, d, 1) model. The empirical results demonstrate that global oil market exhibits a relatively higher (lower) coherence with ENFI, NFFI, and OOFI (CRFI) on the long-term time horizon and the oil market leads China's sectoral commodities during most sample periods. The crude oil market transmits significant connectedness to China's sectoral commodities, especially the energy commodity sector (ENFI). The dynamic return and volatility total spillovers tend to intensify and exhibit significant fluctuations during the GFC and the oil price collapse. Further, the time-varying linkages among oil and China's sectoral commodities are positive and fluctuant, mainly at a relatively low level. The dynamic return and volatility connectedness, multi-view linkages, optimal portfolio weights, and hedging ratios display significant time-varying features. The oil-commodity nexus offers diversification benefits and the optimal-weighted portfolio presents the best variance and downside risk reduction performance. Furthermore, risk management effectiveness is market-condition-dependent and heterogeneous across different commodity sectors and sub-samples. This paper can not only help investors and market regulators to capture the complex interconnectedness and risk transmission trajectory among oil and China's sectoral commodities but also benefits for investors and portfolio managers to construct optimal portfolios and hedging strategies.
Keyword ：
China's sectoral commodities China's sectoral commodities crude oil crude oil portfolio diversifications portfolio diversifications return and volatility spillovers return and volatility spillovers TVP-VAR connectedness TVP-VAR connectedness
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| GB/T 7714 | Cui Jinxin , Zou Huiwen . Coherence, Connectedness, Dynamic Linkages Among Oil and China's Sectoral Commodities with Portfolio Implications [J]. | JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY , 2022 , 35 (3) : 1052-1097 . |
| MLA | Cui Jinxin 等. "Coherence, Connectedness, Dynamic Linkages Among Oil and China's Sectoral Commodities with Portfolio Implications" . | JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY 35 . 3 (2022) : 1052-1097 . |
| APA | Cui Jinxin , Zou Huiwen . Coherence, Connectedness, Dynamic Linkages Among Oil and China's Sectoral Commodities with Portfolio Implications . | JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY , 2022 , 35 (3) , 1052-1097 . |
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Existing studies of risk spillovers primarily examine returns and volatility but ignore higher-order moment risks and asymmetrical effects, thereby impeding portfolio optimization and risk manage-ment. This study addresses those scholarly deficiencies by investigating the realized higher-order mo-ments (realized skewness and kurtosis) risk spillovers, and asymmetrical spillovers in volatility between WTI and Brent oil and China's commodities spanning 2006-2020. For robustness, we explore the spillovers in signed jump variations, realized hyper-skewness, hyper-kurtosis, and realized jump. Based on the DCC framework and the proposed MVHAR-RS/RK models, we propose a model to quantify the dynamic links in volatility and higher-order moments. Empirical results demonstrate that risk-connectedness varies under different moments. Alongside spillovers in realized volatility, analysis re-veals significant spillovers in higher-order moment risks and captures the effects of asymmetries in spillovers of good and bad volatility. WTI and Brent oil act as the net transmitters of risk spillovers in all realized moments considered. The dynamic links in realized kurtosis are relatively more volatile and higher than volatility and skewness links. The dynamic risk spillovers under different realized moments and conditional correlations are time-varying and sensitive to major crises. These findings benefit in-vestors and regulators concerned with cross-commodity risks, portfolio optimization, and policymaking. (c) 2021 Elsevier Ltd. All rights reserved.
Keyword ：
China's commodity futures China's commodity futures Crude oil Crude oil Dynamic links Dynamic links Higher-order moment Higher-order moment Risk spillovers Risk spillovers
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| GB/T 7714 | Cui, Jinxin , Maghyereh, Aktham , Goh, Mark et al. Risk spillovers and time-varying links between international oil and China's commodity futures markets: Fresh evidence from the higher-order moments [J]. | ENERGY , 2022 , 238 . |
| MLA | Cui, Jinxin et al. "Risk spillovers and time-varying links between international oil and China's commodity futures markets: Fresh evidence from the higher-order moments" . | ENERGY 238 (2022) . |
| APA | Cui, Jinxin , Maghyereh, Aktham , Goh, Mark , Zou, Huiwen . Risk spillovers and time-varying links between international oil and China's commodity futures markets: Fresh evidence from the higher-order moments . | ENERGY , 2022 , 238 . |
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当前世界能源格局发生了深刻变化，新冠肺炎疫情和地缘政治等因素引发原油市场剧烈动荡，上海原油期货(INE)作为亚太地区的原油定价基准，在亚洲金融系统中具有重要地位。构建时变的Copula-CoES模型研究疫情前后上海原油期货和6个主要亚洲股市之间的相依性和极端风险溢出，研究发现：上海原油期货与亚洲地区股市相关性较弱，但比WTI/Brent与亚洲股市的相关性更强，且疫情后两者联动性增加。风险溢出CoES值大于CoVaR值，并且在疫情时期差距更加明显，传统CoVaR风险溢出指标可能低估了极端风险溢出的水平。INE和亚洲股市之间存在双向的不对称极端风险溢出，即下行风险高于上行风险，亚洲股市对INE的极...
Keyword ：
Copula-CoES Copula-CoES 上海原油期货 上海原油期货 亚洲股市 亚洲股市 风险溢出效应 风险溢出效应
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| GB/T 7714 | 邹辉文 , 陈艳珍 . 上海原油期货与亚洲股市相依性和极端风险溢出——基于动态Copula-CoES模型 [J]. | 福州大学学报(哲学社会科学版) , 2022 , 36 (05) : 31-42 . |
| MLA | 邹辉文 et al. "上海原油期货与亚洲股市相依性和极端风险溢出——基于动态Copula-CoES模型" . | 福州大学学报(哲学社会科学版) 36 . 05 (2022) : 31-42 . |
| APA | 邹辉文 , 陈艳珍 . 上海原油期货与亚洲股市相依性和极端风险溢出——基于动态Copula-CoES模型 . | 福州大学学报(哲学社会科学版) , 2022 , 36 (05) , 31-42 . |
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在利用Bootstrap-DEA方法测度我国2014—2018年30个省份创新效率的基础上，通过构建面板平滑转换模型探究数字普惠金融发展对区域创新效率的非线性效应。研究发现，数字普惠金融发展与区域创新效率存在显著的非线性关系，呈现鲜明的门限特征。在跨越门限值之前，数字普惠金融对区域创新效率的提升具有显著的促进作用；跨过门限值之后，创新激励效应随着数字普惠金融发展水平的提高逐渐减弱，表现出边际效用递减的规律。整体而言，数字普惠金融发展对区域创新效率产生了积极影响；此外，数字普惠金融发展的创新激励效应体现了东强西弱的区域非均衡性。
Keyword ：
Bootstrap-DEA Bootstrap-DEA PSTR PSTR 创新激励 创新激励 数字普惠金融 数字普惠金融 非线性效应 非线性效应
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| GB/T 7714 | 邹辉文 , 黄友 . 数字普惠金融发展对区域创新效率的作用研究 [J]. | 金融与经济 , 2021 , (01) : 48-55 . |
| MLA | 邹辉文 et al. "数字普惠金融发展对区域创新效率的作用研究" . | 金融与经济 01 (2021) : 48-55 . |
| APA | 邹辉文 , 黄友 . 数字普惠金融发展对区域创新效率的作用研究 . | 金融与经济 , 2021 , (01) , 48-55 . |
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构建一个包括银行和非银行企业之间多种关系构成的风险传染多层网络模型,该模型将银行面对的贷款资产组合违约传染问题直接投影在企业网络的违约传染中,利用KMV模型在一定程度上分别量化来自银行部门的违约传染与实体经济间的违约传染.通过这个模型进行的计算实验结果表明:企业间的违约传染会显著降低银企系统的稳定型,且发现银企系统在冲击下表现出一种明显的二分效应,在一定的违约数量上银企系统能保持稳定,而一旦超过某个违约数量则会致使整个系统完全崩溃.企业负债比例的减少、银行对外资产比例的减小以及银行自有资产的增加都能提高银企系统对抗风险的稳定性,企业间的风险传染渠道在触发整个银企系统崩溃上作用明显.
Keyword ：
KMV模型 KMV模型 多层网络 多层网络 违约风险 违约风险 银企风险传染 银企风险传染
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| GB/T 7714 | 龚书雯 , 邹辉文 . 基于银企多层网络的风险传染研究 [J]. | 金融与经济 , 2021 , (4) : 4-14 . |
| MLA | 龚书雯 et al. "基于银企多层网络的风险传染研究" . | 金融与经济 4 (2021) : 4-14 . |
| APA | 龚书雯 , 邹辉文 . 基于银企多层网络的风险传染研究 . | 金融与经济 , 2021 , (4) , 4-14 . |
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基于DECO-FIAPARCH和cADCC-FIAPARCH模型从全局视角及两两股市层面刻画国际股市间的相依结构,并首次将GARCHSK高阶矩波动模型与Connectedness方法相结合,量化国际股市间的高阶矩风险溢出效应.实证结果表明:国际股市间的动态等相关性具备显著的时变性,且易受到重大危机事件的冲击而增强.总体而言,欧美股市间的相关性高于亚洲股市,中国大陆与中国香港、日本、印度以及东南亚股市的相关性较高,而与欧美(美国、加拿大、法国、德国、阿根廷、希腊)股市的相关性较低.国际股市间的高阶矩风险溢出效应较为显著,且美国、墨西哥、加拿大和英国(日本、菲律宾、泰国、土耳其、中国香港)股市是最...
Keyword ：
动态相依性 动态相依性 国际股市 国际股市 投资组合有效性评估 投资组合有效性评估 高阶矩风险溢出效应 高阶矩风险溢出效应
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| GB/T 7714 | 崔金鑫 , 邹辉文 . 国际股市间动态相依性及高阶矩风险溢出效应研究 [J]. | 系统科学与数学 , 2021 , 41 (04) : 976-1006 . |
| MLA | 崔金鑫 et al. "国际股市间动态相依性及高阶矩风险溢出效应研究" . | 系统科学与数学 41 . 04 (2021) : 976-1006 . |
| APA | 崔金鑫 , 邹辉文 . 国际股市间动态相依性及高阶矩风险溢出效应研究 . | 系统科学与数学 , 2021 , 41 (04) , 976-1006 . |
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Global climate change caused by human activities has posed a huge threat to the environmental governance and sustainability of human-being. Fortunately, the carbon emission trading scheme, a powerful tool for reducing carbon emissions, has been established in many countries to slow catastrophic climate change thus promoting human well-being. The nexuses between energy and European carbon markets have been extensively studied due to the grim reality of global climate change. However, no literature to date has examined the multi-scale associations between China's energy and regional CET markets. This paper aims to fill this gap by utilizing a proposed wavelet-based multi-scale investigation framework to explore the information spillovers and dynamic dependence over different time horizons. The original energy and carbon return series are decomposed by the MODWT method. The TVP-VARbased connectedness and the DECO-FIGARCH model are then built at each selected wavelet component. The wavelet coherence method is also applied to depict the time-frequency dependence. The empirical results demonstrate that the information spillovers at multivariate time-scales are heterogeneous. Generally, GDEA and the crude oil markets act as the information spillover net-transmitters at the raw data level and all wavelet scales. The dynamic spillovers present significant time-varying features and a similar evaluation trajectory. Besides, we offer strong evidence of a low dynamic equicorrelation between China's energy and regional CET markets, suggesting the portfolio diversification benefits. Furthermore, the information spillover and dependence are proved to be more significant at longer time horizons. Finally, the energy-carbon portfolios offer diversification opportunities, and the risk reduction effectiveness varies with wavelet scales. Moreover, the optimal-weighted portfolio exhibits the best risk management performance. (c) 2020 Elsevier Ltd. All rights reserved.
Keyword ：
China&apos China&apos Dynamic dependence Dynamic dependence Information spillovers Information spillovers Multi-scale Multi-scale s energy and carbon markets s energy and carbon markets
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| GB/T 7714 | Cui, Jinxin , Goh, Mark , Zou, Huiwen . Information spillovers and dynamic dependence between China's energy and regional CET markets with portfolio implications: New evidence from multi-scale analysis [J]. | JOURNAL OF CLEANER PRODUCTION , 2021 , 289 . |
| MLA | Cui, Jinxin et al. "Information spillovers and dynamic dependence between China's energy and regional CET markets with portfolio implications: New evidence from multi-scale analysis" . | JOURNAL OF CLEANER PRODUCTION 289 (2021) . |
| APA | Cui, Jinxin , Goh, Mark , Zou, Huiwen . Information spillovers and dynamic dependence between China's energy and regional CET markets with portfolio implications: New evidence from multi-scale analysis . | JOURNAL OF CLEANER PRODUCTION , 2021 , 289 . |
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文章将复杂网络理论模型与传统的极端风险衡量指标相结合,根据银行指数行情分阶段构建复杂网络,分析银行间的极端风险传染效应。结果表明,随着市场发展演化,网络各节点之间存在着绝对联系,尤其危机时期呈现典型的小世界网络特性,银行间风险传导效应较强;在银行间极端风险传染网络中,可直观地判定潜在风险传导路径,有效识别系统重要性银行和风险传染性银行。为此,应在经济下行期加强周期性和差异化银行监管,以防止因风险大规模扩散而造成系统性风险。
Keyword ：
CoVaR CoVaR 分位数回归 分位数回归 复杂网络 复杂网络 小世界 小世界 银行间极端风险传染 银行间极端风险传染
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| GB/T 7714 | 邹辉文 , 王佳玲 . 基于复杂网络模型的银行间极端风险传染研究 [J]. | 福建金融 , 2021 , (02) : 41-50 . |
| MLA | 邹辉文 et al. "基于复杂网络模型的银行间极端风险传染研究" . | 福建金融 02 (2021) : 41-50 . |
| APA | 邹辉文 , 王佳玲 . 基于复杂网络模型的银行间极端风险传染研究 . | 福建金融 , 2021 , (02) , 41-50 . |
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鉴于目前鲜有研究关注P2P网贷市场收益率预测问题,针对已有金融市场收益率预测研究存在的不足,提出了一种基于两阶段分解技术和粒子群优化极限学习机的EWT-SSA-PSO-ELM预测模型.引入EWT经验小波分解算法对原始的收益率综指序列进行分解,进而提高原始序列的分解效率;采用Lempel-Ziv复杂度算法提升模式分量重构的科学性,避免以往分量重构过程的随意性;利用SSA奇异谱分解算法对高频重构分量进行降噪,从而提升高频重构分量预测效果.基于该预测模型对P2P网贷市场收益率综指进行预测,实证结果表明,所构建的收益率预测模型的性能显著优于其余基准对比模型.
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| GB/T 7714 | 崔金鑫 , 邹辉文 . 基于EWT-SSA-PSO-ELM模型的P2P网贷市场收益率预测 [J]. | 系统工程学报 , 2021 , 36 (3) : 367-381 . |
| MLA | 崔金鑫 et al. "基于EWT-SSA-PSO-ELM模型的P2P网贷市场收益率预测" . | 系统工程学报 36 . 3 (2021) : 367-381 . |
| APA | 崔金鑫 , 邹辉文 . 基于EWT-SSA-PSO-ELM模型的P2P网贷市场收益率预测 . | 系统工程学报 , 2021 , 36 (3) , 367-381 . |
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