Wenting Zhang
Project Assistant Professor, Institute of Statistical Mathematics
10-3 Midori-cho, Tachikawa, Tokyo 190-8562, Japan
zhangwt [at] ism.ac.jp, choubunntei [at] yahoo.co.jp
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I am a Project Assistant Professor at the Institute of Statistical Mathematics. I got a PhD. at the Department of Economics at Kobe University, supervised by Professor Shigeyuki Hamori. The main direction of my research is the time series analysis of financial market crises. I specialize in using econometric models such as ARMA-GARCH models, DCC-GARCH models, TVP-VAR models, Data mining techniques, and machine learning models.
Research interest: Empirical Finance, Time series analysis, Machine learning, Data analysis
News
| Mar 25, 2024 | Awarded by Rokkodai Research Excellence Award, Kobe University. |
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| Aug 3, 2023 | Invited to present at The 6th International Conference on Econometrics and Statistics (EcoSta 2023). |
| Apr 1, 2023 | Invited to be the membership of Western Economic Association International. |
| Mar 31, 2023 | Awarded by Rokkodai Research Excellence Award, Kobe University. |
| Apr 1, 2022 | Awarded the Scholarship Student by Otsuka Toshimi Scholarship Foundation. |
| Apr 1, 2021 | Awarded the Scholarship Student by Otsuka Toshimi Scholarship Foundation. |
| Mar 31, 2021 | Awarded by Rokkodai Research Excellence Award, Kobe University. |
| Mar 31, 2020 | Awarded by Rokkodai Research Excellence Award, Kobe University. |
Papers
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Enhancing Economic Time Series Prediction with News Text Data and Numerical Data: A Transformer-Based Approach言語処理学会第30回年次大会発表論文集 2024 | [ Website ]
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Can NFTs hedge the risk of traditional assets after the COVID-19 pandemic?The North American Journal of Economics and Finance 2024 | [ Website ]
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The impact of the COVID-19 pandemic and Russia-Ukraine war on multiscale spillovers in green finance markets: Evidence from lower and higher order momentsInternational Review of Financial Analysis 2023 | [ Website ]
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Volatility spillover and investment strategies among sustainability-related financial indexes: Evidence from the DCC-GARCH-based dynamic connectedness and DCC-GARCH t-copula approachInternational Review of Financial Analysis 2022 | [ Website ]
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THE CONNECTEDNESS BETWEEN THE SENTIMENT INDEX AND STOCK RETURN VOLATILITY UNDER COVID-19: A TIME-VARYING PARAMETER VECTOR AUTOREGRESSION APPROACHThe Singapore Economic Review 2021 | [ Website ]
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Crude oil market and stock markets during the COVID-19 pandemic: Evidence from the US, Japan, and GermanyInternational Review of Financial Analysis 2021 | [ Website ]
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Do machine learning techniques and dynamic methods help forecast US natural gas crises?Energies 2020 | [ Website ]
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How does the spillover among natural gas, crude oil, and electricity utility stocks change over time? Evidence from North America and EuropeEnergies 2020 | [ Website ]
Books
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ESG Investment in the Global Economy2021 | [ Website ]
Academic Affiliations
American Economic Association
Western Economic Association International
Nippon Finance Association
Service
Reviewer for International Review of Financial Analysis
Reviewer for The Singapore Economic Review
Reviewer for Frontiers in Environmental Science
Reviewer for Applied Economics Letters