Charles Quanwei Cao : Citation Profile


Are you Charles Quanwei Cao?

Tsinghua University (68% share)
Pennsylvania State University (32% share)

16

H index

17

i10 index

1742

Citations

RESEARCH PRODUCTION:

20

Articles

9

Papers

RESEARCH ACTIVITY:

   22 years (1992 - 2014). See details.
   Cites by year: 79
   Journals where Charles Quanwei Cao has often published
   Relations with other researchers
   Recent citing documents: 146.    Total self citations: 5 (0.29 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pca1069
   Updated: 2021-09-25    RAS profile: 2015-02-06    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Charles Quanwei Cao.

Is cited by:

Christoffersen, Peter (29)

Stentoft, Lars (14)

Alexander, Carol (10)

Rombouts, Jeroen (10)

Nikitopoulos-Sklibosios, Christina (9)

Caporin, Massimiliano (9)

Renault, Eric (9)

Sentana, Enrique (9)

Wu, Liuren (9)

Santa-Clara, Pedro (8)

Prokopczuk, Marcel (8)

Cites to:

Pedersen, Lasse (9)

Chen, Zhiwu (7)

Stambaugh, Robert (7)

Bollerslev, Tim (6)

Lee, Charles (6)

Ang, Andrew (6)

Ready, Mark (5)

Mitchell, Mark (5)

wermers, russell (5)

merton, robert (5)

Stulz, René (4)

Main data


Where Charles Quanwei Cao has published?


Journals with more than one article published# docs
Journal of Finance3
Journal of Financial Markets3
Journal of Banking & Finance2
Review of Financial Studies2

Working Papers Series with more than one paper published# docs
Yale School of Management Working Papers / Yale School of Management5
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)2

Recent works citing Charles Quanwei Cao (2021 and 2020)


YearTitle of citing document
2021An analytical perturbative solution to the Merton Garman model using symmetries. (2019). Shaw, Nathaniel Wiesendanger ; Calmet, Xavier. In: Papers. RePEc:arx:papers:1909.01413.

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2020Effects of MiFID II on stock price formation. (2020). De Vilder, Robin ; Kleijn, Bas ; Derksen, Mike. In: Papers. RePEc:arx:papers:2003.10353.

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2020Is the variance swap rate affine in the spot variance? Evidence from S&P500 data. (2020). Mancino, Maria Elvira ; Toscano, Giacomo ; Scotti, Simone. In: Papers. RePEc:arx:papers:2004.04015.

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2021Hedging with Neural Networks. (2020). Wang, Weiguan ; Ruf, Johannes. In: Papers. RePEc:arx:papers:2004.08891.

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2020A moment matching method for option pricing under stochastic interest rates. (2020). Scarlatti, Sergio ; Ramponi, Alessandro ; Antonelli, Fabio. In: Papers. RePEc:arx:papers:2005.14063.

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2020False (and Missed) Discoveries in Financial Economics. (2020). Liu, Yan ; Harvey, Campbell R. In: Papers. RePEc:arx:papers:2006.04269.

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2021A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims. (2020). Zhuo, Xiaoyang ; Nawalkha, Sanjay K. In: Papers. RePEc:arx:papers:2006.15312.

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2020Implied Basket Correlation Dynamics. (2020). Silyakova, Elena ; Hardle, Wolfgang Karl. In: Papers. RePEc:arx:papers:2009.09770.

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2020High-frequency dynamics of the implied volatility surface. (2020). Baldacci, Bastien. In: Papers. RePEc:arx:papers:2012.10875.

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2021On the RND under Hestons stochastic volatility model. (2021). Boukai, Ben. In: Papers. RePEc:arx:papers:2101.03626.

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2021Perpetual callable American volatility options in a mean-reverting volatility model. (2021). Liu, Hsuan-Ku. In: Papers. RePEc:arx:papers:2104.01127.

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2021Time Varying Risk in U.S. Housing Sector and Real Estate Investment Trusts Equity Return. (2021). Alam, Masud. In: Papers. RePEc:arx:papers:2107.10455.

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2021The Generalized Gamma distribution as a useful RND under Hestons stochastic volatility model. (2021). Boukai, Ben. In: Papers. RePEc:arx:papers:2108.07937.

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2021Option-Implied Network Measures of Tail Contagion and Stock Return Predictability. (2021). Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp20154.

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2021Volatility Bursts: A discrete-time option model with multiple volatility components. (2021). Lilla, Francesca. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1336_21.

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2020Mispriced index option portfolios. (2020). Perrakis, Stylianos ; Czerwonko, Michal ; Constantinides, George M. In: Financial Management. RePEc:bla:finmgt:v:49:y:2020:i:2:p:297-330.

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2020Option trading after the opening bell and intraday stock return predictability. (2020). Fodor, Andy ; Bergsma, Kelley ; Tayal, Jitendra ; Singal, Vijay. In: Financial Management. RePEc:bla:finmgt:v:49:y:2020:i:3:p:769-804.

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2020The Co‐Movement of Credit Default Swap Spreads, Equity Returns and Volatility: Evidence from Asia‐Pacific Markets. (2020). Gottschalk, Katrin ; da Fonseca, Jose. In: International Review of Finance. RePEc:bla:irvfin:v:20:y:2020:i:3:p:551-579.

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2020The effect of option transaction costs on informed trading in the options market around earnings announcements. (2020). Zhao, Chen ; Li, Yubin ; Govindaraj, Suresh. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:47:y:2020:i:5-6:p:615-644.

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2020Option Profit and Loss Attribution and Pricing: A New Framework. (2020). Wu, Liuren ; Carr, Peter. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:4:p:2271-2316.

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2020False (and Missed) Discoveries in Financial Economics. (2020). Harvey, Campbell R ; Liu, Yan. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:5:p:2503-2553.

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2020Does bilateral investment treaty arbitration have any value for multinational corporations?. (2020). Kutan, Ali M ; Jia, Jingyi ; Chen, Chunda ; Brada, Josef C. In: BOFIT Discussion Papers. RePEc:bof:bofitp:2020_010.

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2020Dissecting skewness under affine jump-diffusions. (2020). Zhen, Fang ; Jin, Zhang ; Fang, Zhen. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:24:y:2020:i:4:p:19:n:2.

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2020Modeling and Forecasting USD/UGX Volatility through GARCH Family Models: Evidence from Gaussian, T and GED Distributions. (2020). Erkekoglu, Hatice ; Deng, Adire Simon ; Majok, Aweng Peter. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2020-02-31.

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2021A Simple Options Trading Strategy based on Technical Indicators. (2021). Carlier, Francesco. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2021-02-12.

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2021A novel air separation unit with energy storage and generation and its energy efficiency and economy analysis. (2021). Wang, LI ; Rehman, Ali ; Liu, Yunong ; He, Xiufen. In: Applied Energy. RePEc:eee:appene:v:281:y:2021:i:c:s0306261920314264.

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2020A complex networks based analysis of jump risk in equity returns: An evidence using intraday movements from Pakistan stock market. (2020). Ouenniche, Jamal ; Aziz, Saqib ; Mohmand, Yasir Tariq ; Aslam, Faheem. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:28:y:2020:i:c:s2214635020303452.

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2021A closed-form pricing formula for forward start options under a regime-switching stochastic volatility model. (2021). He, Xin-Jiang ; Lin, Sha. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:144:y:2021:i:c:s0960077920310353.

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2020State pricing, effectively complete markets, and corporate finance. (2020). Grinblatt, Mark ; Wan, Kam-Ming. In: Journal of Corporate Finance. RePEc:eee:corfin:v:60:y:2020:i:c:s0929119919306613.

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2020CEO overconfidence and bank loan contracting. (2020). Yen, Ju-Fang ; Ho, Po-Hsin ; Chen, Yehning ; Lin, Chih-Yung. In: Journal of Corporate Finance. RePEc:eee:corfin:v:64:y:2020:i:c:s092911992030081x.

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2021Major shareholders’ trust and market risk: Substituting weak institutions with trust. (2021). Batten, Jonathan ; Aysan, Ahmet ; Chantziaras, Antonios ; Abdelsalam, Omneya. In: Journal of Corporate Finance. RePEc:eee:corfin:v:66:y:2021:i:c:s0929119920302285.

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2021Outsourcing flexibility under financial constraints. (2021). Zhang, Xiaotian Tina ; Trigeorgis, Lenos ; Ju, Ming ; Choi, Jongmoo Jay. In: Journal of Corporate Finance. RePEc:eee:corfin:v:67:y:2021:i:c:s0929119921000109.

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2020The macroeconomic drivers in hedge fund beta management. (2020). Platania, Federico ; Lambert, Marie. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:65-80.

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2020Are high–frequency traders informed?. (2020). Varsakelis, Christos ; Fontaine, Patrice ; Anagnostidis, Panagiotis. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:365-383.

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2021What determines volatility smile in China?. (2021). Lin, Yan ; Xian, Aichuan. In: Economic Modelling. RePEc:eee:ecmode:v:96:y:2021:i:c:p:326-335.

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2020Comparative empirical study of binomial call-option pricing methods using S&P 500 index data. (2020). Herbon, Avi ; Shvimer, Yossi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819302268.

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2020Impact of volatility jumps in a mean-reverting model: Derivative pricing and empirical evidence. (2020). Chen, Ting-Fu ; Chiu, Hsin-Yu . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819300026.

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2020Price delay and post-earnings announcement drift anomalies: The role of option-implied betas. (2020). Tsai, Wei-Che ; Ho, Hwai-Chung. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818300330.

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2020Leverage effect on stochastic volatility for option pricing in Hong Kong: A simulation and empirical study. (2020). Chen, Naiwei ; Bian, Zhicun ; Hong, Hui. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818303565.

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2020Model specification of conditional jump intensity: Evidence from S&P 500 returns and option prices. (2020). Tsai, Jeffrey Tzuhao ; Lo, Chien-Ling ; Cheng, Hung-Wen . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818303772.

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2020Valuing spread options with counterparty risk and jump risk. (2020). Wang, Xingchun ; Li, Zelei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301650.

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2021Contagion between real estate and financial markets: A Bayesian quantile-on-quantile approach. (2021). Ravazzolo, Francesco ; GUPTA, RANGAN ; Caporin, Massimiliano. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940820302291.

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2020The term structure of equity and variance risk premia. (2020). Ait-Sahalia, Yacine ; Mancini, Loriano ; Karaman, Mustafa. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:2:p:204-230.

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2021Closed-form implied volatility surfaces for stochastic volatility models with jumps. (2021). Xu, Chen ; Li, Chenxu ; Ait-Sahalia, Yacine. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:364-392.

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2020Idiosyncratic risk, risk-taking incentives and the relation between managerial ownership and firm value. (2020). Florackis, Chris ; Sainani, Sushil ; Kostakis, Alexandros ; Kanas, Angelos. In: European Journal of Operational Research. RePEc:eee:ejores:v:283:y:2020:i:2:p:748-766.

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2020VIX derivatives, hedging and vol-of-vol risk. (2020). Kaeck, Andreas ; Seeger, Norman J. In: European Journal of Operational Research. RePEc:eee:ejores:v:283:y:2020:i:2:p:767-782.

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2021Option pricing with conditional GARCH models. (2021). Stentoft, Lars ; Escobar Anel, Marcos ; Escobar-Anel, Marcos ; Rastegari, Javad. In: European Journal of Operational Research. RePEc:eee:ejores:v:289:y:2021:i:1:p:350-363.

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2021Option valuation under no-arbitrage constraints with neural networks. (2021). Zhai, Jia ; Liu, Xiaoquan ; Cao, YI. In: European Journal of Operational Research. RePEc:eee:ejores:v:293:y:2021:i:1:p:361-374.

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2020The Chinese equity index options market. (2020). , Eric ; Zhang, Jin E ; Yue, Tian. In: Emerging Markets Review. RePEc:eee:ememar:v:45:y:2020:i:c:s1566014119302341.

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2021On the prediction of financial distress in emerging markets: What matters more? Empirical evidence from Arab spring countries. (2021). Elbannan, Mona A. In: Emerging Markets Review. RePEc:eee:ememar:v:47:y:2021:i:c:s1566014121000145.

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2021Timing is money: The factor timing ability of hedge fund managers. (2021). , Remco ; Osinga, Albert Jakob. In: Journal of Empirical Finance. RePEc:eee:empfin:v:62:y:2021:i:c:p:266-281.

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2020Does OVX affect WTI and Brent oil spot variance? Evidence from an entropy analysis. (2020). Vellucci, Pierluigi ; Quaresima, Greta ; Mastroeni, Loretta ; Benedetto, Francesco . In: Energy Economics. RePEc:eee:eneeco:v:89:y:2020:i:c:s0140988320301559.

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2021Electricity price modelling with stochastic volatility and jumps: An empirical investigation. (2021). Ignatieva, Katja ; Gudkov, Nikolay. In: Energy Economics. RePEc:eee:eneeco:v:98:y:2021:i:c:s0140988321001651.

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2020Are hedge funds active market liquidity timers?. (2020). Li, Chenlu ; Tee, Kai-Hong. In: International Review of Financial Analysis. RePEc:eee:finana:v:67:y:2020:i:c:s1057521918306641.

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2020Hedge fund strategies: A non-parametric analysis. (2020). Canepa, Alessandra ; Skinner, Frank S ; De, Maria. In: International Review of Financial Analysis. RePEc:eee:finana:v:67:y:2020:i:c:s1057521919301802.

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2021The financial conglomerate discount: Insights from stock return skewness. (2021). Weissensteiner, Alex ; Bressan, Silvia. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000065.

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2021Trading off accuracy for speed: Hedge funds decision-making under uncertainty. (2021). Dragomirescu-Gaina, Catalin ; Tsionas, Mike G ; Philippas, Dionisis. In: International Review of Financial Analysis. RePEc:eee:finana:v:75:y:2021:i:c:s1057521921000715.

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2021Firm age and realized idiosyncratic return volatility in China: The role of short-sales constraints. (2021). Zhang, Qun ; Liu, Hao. In: International Review of Financial Analysis. RePEc:eee:finana:v:75:y:2021:i:c:s1057521921000879.

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2020Corporate innovation and credit default swap spreads. (2020). Oh, Frederick Dongchuhl ; Lee, Hwang Hee. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318306226.

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2020Credit default swap and two-sided moral hazard. (2020). Gong, Yaxian. In: Finance Research Letters. RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319301965.

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2020Price discovery in stock and options markets. (2020). Putnins, Talis ; Michayluk, David ; Patel, Vinay ; Foley, Sean. In: Journal of Financial Markets. RePEc:eee:finmar:v:47:y:2020:i:c:s1386418119303544.

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2020Are investors compensated for their sophistication and informedness for company takeovers – An Australian study. (2020). McAdam, Chris. In: Global Finance Journal. RePEc:eee:glofin:v:44:y:2020:i:c:s1044028317301370.

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2021Short selling patterns in cross-listed stocks. (2021). Zurbruegg, Ralf ; Peranginangin, Yessy ; Mihaylov, George ; Li, Shan. In: Global Finance Journal. RePEc:eee:glofin:v:48:y:2021:i:c:s1044028320300545.

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2020The term structure of volatility predictability. (2020). Zakamulin, Valeriy. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:723-737.

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2020Liquidity risk and expected option returns. (2020). Choy, Siu Kai ; Wei, Jason. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:111:y:2020:i:c:s0378426619302742.

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2020Equity market integration and portfolio rebalancing. (2020). Lee, Dongwon ; Kim, Kyungkeun. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:113:y:2020:i:c:s0378426620300431.

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2020Time since targets’ initial public offerings, asymmetric information, uncertainty, and acquisition pricing. (2020). Moeller, Thomas ; Jindra, Jan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:118:y:2020:i:c:s037842662030162x.

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2020Striking up with the in crowd: When option markets and insiders agree. (2020). Teterin, Pavel ; Petkevich, Alex ; Gilstrap, Collin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:120:y:2020:i:c:s0378426620302259.

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2021Stock-selection timing. (2021). Zhang, Huacheng ; Zaynutdinova, Gulnara R ; Jiang, George J. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:125:y:2021:i:c:s0378426621000479.

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2021Positive stock information in out-of-the-money option prices. (2021). Stilger, Przemyslaw S ; Skiadopoulos, George ; Kostakis, Alexandros ; Gkionis, Konstantinos. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:128:y:2021:i:c:s0378426621000704.

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2021Exercising a firm’s growth options: A portfolio approach. (2021). Velasco, Pilar ; de la Fuente, Gabriel ; de Andres, Pablo. In: Journal of Business Research. RePEc:eee:jbrese:v:132:y:2021:i:c:p:571-585.

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2020Sophisticated investors and market efficiency: Evidence from a natural experiment. (2020). Kelly, Bryan ; Chen, Yong ; Wu, Wei. In: Journal of Financial Economics. RePEc:eee:jfinec:v:138:y:2020:i:2:p:316-341.

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2020The price effects of liquidity shocks: A study of the SEC’s tick size experiment. (2020). Yao, Chen ; Song, Shiyun ; Albuquerque, Rui. In: Journal of Financial Economics. RePEc:eee:jfinec:v:138:y:2020:i:3:p:700-724.

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2021Do managers pay attention to the market? A review of the relationship between stock price informativeness and investment. (2021). Silva, Paulo ; da Silva, Paulo Pereira. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:59:y:2021:i:c:s1042444x20300645.

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2020Price discovery, order submission, and tick size during preopen period. (2020). Yamamoto, Ryuichi ; Xiao, Xijuan. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:63:y:2020:i:c:s0927538x20302067.

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2021Turnover premia in Chinas stock markets. (2021). Yeh, Chung-Ying ; Chen, Wei ; Zhang, Bing. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:65:y:2021:i:c:s0927538x20306995.

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2020Market liquidity and macro announcement around intraday jumps: Evidence from Chinese stock index futures markets. (2020). Gao, Yang ; Sun, Bianxia. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:541:y:2020:i:c:s0378437119318539.

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2020A generalized European option pricing model with risk management. (2020). Tan, Jie ; Feng, Chengxiao ; Chen, Shuang ; Jiang, Zhenyu. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:545:y:2020:i:c:s0378437119321132.

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2021Combination of transition probability distribution and stable Lorentz distribution in stock markets. (2021). Chang, Chuo ; Liu, Chang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:565:y:2021:i:c:s0378437120308529.

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2021Modeling and analysis of the effect of COVID-19 on the stock price: V and L-shape recovery. (2021). Prakash, OM ; Nurujjaman, MD ; Rai, Anish ; Mahata, Ajit. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:574:y:2021:i:c:s0378437121002806.

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2021Implied volatility of structured warrants: Emerging market evidence. (2021). Sifat, Imtiaz Mohammad ; Mohamad, Azhar ; Murad, Najmi Ismail. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:464-479.

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2020Whose trades move stock prices? Evidence from the Taiwan Stock Exchange. (2020). Lin, Zong-Wei ; Hung, Pi-Hsia ; Lien, Donald. In: International Review of Economics & Finance. RePEc:eee:reveco:v:66:y:2020:i:c:p:25-50.

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2020Mutual fund liquidity timing ability in the higher moment framework. (2020). Wattanatorn, Woraphon ; Nathaphan, Sarayut ; Chunhachinda, Pornchai ; Padungsaksawasdi, Chaiyuth. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531918311012.

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2020Coskewness timing ability in the mutual fund industry. (2020). Padungsaksawasdi, Chaiyuth ; Wattanatorn, Woraphon. In: Research in International Business and Finance. RePEc:eee:riibaf:v:53:y:2020:i:c:s0275531919307202.

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2021Internationalization through foreign listing: A review and future research agenda. (2021). Kumar, Vikas ; Purkayastha, Anish. In: Journal of World Business. RePEc:eee:worbus:v:56:y:2021:i:3:s1090951621000018.

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2020Forecasting Volatility of Energy Commodities: Comparison of GARCH Models with Support Vector Regression. (2020). Fiszeder, Piotr ; Faldzinski, Marcin ; Orzeszko, Witold ; Fadziski, Marcin. In: Energies. RePEc:gam:jeners:v:14:y:2020:i:1:p:6-:d:466264.

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2021Optimization of the Structure of the Investment Portfolio of High-Tech Companies Based on the Minimax Criterion. (2021). Panaedova, Galina ; Vygodchikova, Irina ; Tvaronaviien, Manuela ; Borodin, Alex ; Kulikov, Andrey. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:15:p:4647-:d:605758.

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2021Information-Theoretic Measures and Modeling Stock Market Volatility: A Comparative Approach. (2021). Sheraz, Muhammad ; Nasir, Imran. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:5:p:89-:d:550572.

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2020Predictability of OTC Option Volatility for Future Stock Volatility. (2020). Park, Yuen Jung ; Kim, Jungmu. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:12:p:5200-:d:376450.

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2021Scoring Sufficiency Economy Philosophy through GRI Standards and Firm Risk: A Case Study of Thai Listed Companies. (2021). Treepongkaruna, Sirimon ; Chatjuthamard, Pattanaporn ; Korphaibool, Veerawin. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:4:p:2321-:d:503023.

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2020LIMITS OF ARBITRAGE, RISK-NEUTRAL SKEWNESS, AND INVESTOR SENTIMENT. (2020). Chang, Bi-Juan ; Feng, Shih-Ping . In: The International Journal of Business and Finance Research. RePEc:ibf:ijbfre:v:14:y:2020:i:2:p:61-71.

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2020Illiquidity and Price Informativeness. (2020). Sadka, Ronnie ; Kerr, Jon. In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:1:p:334-351.

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2021Information Content of Aggregate Implied Volatility Spread. (2021). Li, Gang ; Han, Bing. In: Management Science. RePEc:inm:ormnsc:v:67:y:2021:i:2:p:1249-1269.

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2021The joint cross section of stocks and options. (2021). Subrahmanyam, Avanidhar ; Muravyev, Dmitriy ; Kurov, Alexander ; Chordia, Tarun. In: Management Science. RePEc:inm:ormnsc:v:67:y:2021:i:3:p:1758-1778.

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2020.

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2021A volatility smile-based uncertainty index. (2021). Moura, Jaqueline Terra ; Machado, Jose Valentim. In: Annals of Finance. RePEc:kap:annfin:v:17:y:2021:i:2:d:10.1007_s10436-021-00384-6.

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2020Do Fund Investors Consider Asset Returns? Substitute Relation Among Investment Funds in Korea. (2020). Kim, Young-Min. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:27:y:2020:i:4:d:10.1007_s10690-020-09305-5.

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2021Exploring Option Pricing and Hedging via Volatility Asymmetry. (2021). Veiga, Helena ; Casas, Isabel. In: Computational Economics. RePEc:kap:compec:v:57:y:2021:i:4:d:10.1007_s10614-020-10005-5.

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2021Option Pricing Model Biases: Bayesian and Markov Chain Monte Carlo Regression Analysis. (2021). Dempsey, Michael ; Choudhry, Taufiq ; Mozumder, Sharif. In: Computational Economics. RePEc:kap:compec:v:57:y:2021:i:4:d:10.1007_s10614-020-10029-x.

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2020Can mutual funds time investor sentiment?. (2020). Zheng, Yao ; Osmer, Eric. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:54:y:2020:i:4:d:10.1007_s11156-019-00831-6.

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2020Financial econometrics, mathematics, statistics, and financial technology: an overall view. (2020). Lee, Chengfew. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:54:y:2020:i:4:d:10.1007_s11156-020-00883-z.

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More than 100 citations found, this list is not complete...

Works by Charles Quanwei Cao:


YearTitleTypeCited
1992Inequality Constraints in the Univariate GARCH Model. In: Journal of Business & Economic Statistics.
[Citation analysis]
article193
1997 Does the Specialist Matter? Differential Execution Costs and Intersecurity Subsidization on the New York Stock Exchange. In: Journal of Finance.
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article15
1997 Empirical Performance of Alternative Option Pricing Models. In: Journal of Finance.
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article713
1997Empirical Performance of Alternative Option Pricing Models.(1997) In: Yale School of Management Working Papers.
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This paper has another version. Agregated cites: 713
paper
1997Empirical Performance of Alternative Option Pricing Models.(1997) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 713
paper
2000Price Discovery without Trading: Evidence from the Nasdaq Preopening In: Journal of Finance.
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article76
2008ORDER PLACEMENT STRATEGIES IN A PURE LIMIT ORDER BOOK MARKET In: Journal of Financial Research.
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article25
2001Derivatives Do Affect Mutual Funds Returns : How and When? In: CIRANO Working Papers.
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paper0
1998Why Is the Bid Price Greater than the Ask? Price Discovery during the Nasdaq Pre-Opening In: CIRANO Working Papers.
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paper1
2000Evolution of Transitory Volatility over the Week In: Annals of Economics and Finance.
[Full Text][Citation analysis]
article0
2004Does Insider Trading Impair Market Liquidity? Evidence from IPO Lockup Expirations In: Journal of Financial and Quantitative Analysis.
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article35
2000Pricing and hedging long-term options In: Journal of Econometrics.
[Full Text][Citation analysis]
article85
1998Pricing and Hedging Long-Term Options.(1998) In: Yale School of Management Working Papers.
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This paper has another version. Agregated cites: 85
paper
2010The information content of option-implied volatility for credit default swap valuation In: Journal of Financial Markets.
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article88
2013Do mutual fund managers time market liquidity? In: Journal of Financial Markets.
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article22
1998Decimalization and competition among stock markets: Evidence from the Toronto Stock Exchange cross-listed securities In: Journal of Financial Markets.
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article42
2001Share repurchase tender offers and bid-ask spreads In: Journal of Banking & Finance.
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article6
2008An empirical analysis of the dynamic relationship between mutual fund flow and market return volatility In: Journal of Banking & Finance.
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article33
2013Can hedge funds time market liquidity? In: Journal of Financial Economics.
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article67
1996Tick Size, Spread, and Volume In: Journal of Financial Intermediation.
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article48
2011Liquidity risk and hedge fund ownership In: Finance and Economics Discussion Series.
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paper0
2014Hedge fund holdings and stock market efficiency In: Finance and Economics Discussion Series.
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paper2
1992Nonlinear Time-Series Analysis of Stock Volatilities. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article35
2007Determinants of S&P 500 index option returns In: Review of Derivatives Research.
[Full Text][Citation analysis]
article2
2000Do Call Prices and the Underlying Stock Always Move in the Same Direction? In: Review of Financial Studies.
[Citation analysis]
article59
1999Do Call Prices and the Underlying Stock Always Move in the Same Direction?.(1999) In: Yale School of Management Working Papers.
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This paper has another version. Agregated cites: 59
paper
2008Can Growth Options Explain the Trend in Idiosyncratic Risk? In: Review of Financial Studies.
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article78
2005Informational Content of Option Volume Prior to Takeovers In: The Journal of Business.
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article117
2003Informational Content of Option Volume Prior to Takeovers.(2003) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 117
paper

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