Charles Quanwei Cao : Citation Profile


Are you Charles Quanwei Cao?

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

15

H index

17

i10 index

1473

Citations

RESEARCH PRODUCTION:

20

Articles

9

Papers

RESEARCH ACTIVITY:

   22 years (1992 - 2014). See details.
   Cites by year: 66
   Journals where Charles Quanwei Cao has often published
   Relations with other researchers
   Recent citing documents: 215.    Total self citations: 5 (0.34 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pca1069
   Updated: 2019-11-10    RAS profile: 2015-02-06    
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Relations with other researchers


Works with:

Lo, Andrew (2)

liang, bing (2)

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 (12)

Alexander, Carol (10)

Rombouts, Jeroen (10)

Nikitopoulos-Sklibosios, Christina (9)

Wu, Liuren (9)

Renault, Eric (9)

Schlogl, Erik (8)

Prokopczuk, Marcel (8)

Sentana, Enrique (8)

Garcia, René (8)

Cites to:

Pedersen, Lasse (9)

Chen, Zhiwu (7)

Stambaugh, Robert (7)

Ang, Andrew (6)

Lee, Charles (6)

Bollerslev, Tim (6)

Brunnermeier, Markus (5)

merton, robert (5)

Ready, Mark (5)

Pastor, Lubos (4)

Stulz, René (4)

Main data


Where Charles Quanwei Cao has published?


Journals with more than one article published# docs
Journal of Financial Markets3
Journal of Finance3
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 (US)2

Recent works citing Charles Quanwei Cao (2018 and 2017)


YearTitle of citing document
2018Short-Term Market Risks Implied by Weekly Options. (2018). Andersen, Torben ; Todorov, Viktor ; Fusari, Nicola. In: CREATES Research Papers. RePEc:aah:create:2018-08.

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2018Effects of asymmetric information on market timing in the mutual fund industry. (2018). Tchamyou, Vanessa ; Asongu, Simplice ; Nwachukwu, Jacinta. In: Research Africa Network Working Papers. RePEc:abh:wpaper:18/007.

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2018Effects of asymmetric information on market timing in the mutual fund industry. (2018). Tchamyou, Vanessa ; Asongu, Simplice ; Nwachukwu, Jacinta C. In: AFEA Working Papers. RePEc:afe:wpaper:18/006.

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2018Effects of asymmetric information on market timing in the mutual fund industry. (2018). Tchamyou, Vanessa ; Nwachukwu, Jacinta ; Asongu, Simplice. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:18/007.

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2017RETURN, VOLATILITY AND FUND FLOWS LINKAGES: MALAYSIAN EVIDENCE. (2017). Goh, Yue Meinn ; Zam, Ros Zam. In: Management and Marketing Journal. RePEc:aio:manmar:v:xv:y:2017:i:2:p:59-69.

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2017Impact of Index Options on Emerging Market Volatility: The Case of the Malaysian Equity Market. (2017). Mohibul, MD ; Islam, Anisul M. In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2017:p:157--172.

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2017Asymptotic behaviour of the fractional Heston model. (2017). Jacquier, Antoine ; Roome, Patrick ; Guennoun, Hamza . In: Papers. RePEc:arx:papers:1411.7653.

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2018Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model. (2018). Barczy, Matyas ; Pap, Gyula ; Kebaier, Ahmed ; ben Alaya, Mohamed. In: Papers. RePEc:arx:papers:1509.08869.

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2019A Tale of Two Consequences: Intended and Unintended Outcomes of the Japan TOPIX Tick Size Changes. (2016). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1602.00839.

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2017A note on the Nelson Cao inequality constraints in the GJR-GARCH model: Is there a leverage effect?. (2017). Stavroyiannis, Stavros. In: Papers. RePEc:arx:papers:1705.00535.

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2017Managing Volatility Risk: An Application of Karhunen-Lo\`eve Decomposition and Filtered Historical Simulation. (2017). , Brice ; Laurent, Sabine ; Yao, Jinglun. In: Papers. RePEc:arx:papers:1710.00859.

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2018Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes. (2018). Crisóstomo, Ricardo ; Couso, Lorena. In: Papers. RePEc:arx:papers:1801.08007.

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2018Pricing Options with Exponential Levy Neural Network. (2018). Huh, Jeonggyu. In: Papers. RePEc:arx:papers:1802.06520.

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2018Matching distributions: Recovery of implied physical densities from option prices. (2018). Talponen, Jarno . In: Papers. RePEc:arx:papers:1803.03996.

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2018American Put Option pricing using Least squares Monte Carlo method under Bakshi, Cao and Chen Model Framework (1997) and comparison to alternative regression techniques in Monte Carlo. (2018). Sodhi, Anurag. In: Papers. RePEc:arx:papers:1808.02791.

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2019An 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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2019A Volatility Smile-Based Uncertainty Index. (2019). Moura, Jaqueline Terra ; Machado, Jose Valentim. In: Working Papers Series. RePEc:bcb:wpaper:502.

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2017The Market Liquidity Timing Skills of Debt†oriented Hedge Funds. (2017). Li, Baibing ; Tee, Kaia Hong ; Luo, JI. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:1:p:32-54.

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2017Cold Case File? Inventory Risk and Information Sharing during the pre†1997 NASDAQ. (2017). Lescourret, Laurence . In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:4:p:761-806.

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2018Growth options and firm valuation. (2018). Kraft, Holger ; Weiss, Farina ; Schwartz, Eduardo . In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:2:p:209-238.

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2018Income uncertainty and the decision to invest in bulk shipping. (2018). Kyriakou, Ioannis ; Nomikos, Nikos K ; Papapostolou, Nikos C ; Pouliasis, Panos K. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:3:p:387-417.

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2018Mutual Fund Managers’ Prior Work Experience and Their Investment Skill. (2018). Chen, Rui ; Zhu, Min ; Zhang, Xueyong ; Gao, Zhennan. In: Financial Management. RePEc:bla:finmgt:v:47:y:2018:i:1:p:3-24.

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2018The Shareholder Base Hypothesis of Stock Return Volatility: Empirical Evidence. (2018). Wilhelmsson, Anders ; Vilhelmsson, Anders ; Jankensgrd, Hkan. In: Financial Management. RePEc:bla:finmgt:v:47:y:2018:i:1:p:55-79.

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2018Informed Options Trading Prior to Dividend Change Announcements. (2018). Zhang, Jun. In: Financial Management. RePEc:bla:finmgt:v:47:y:2018:i:1:p:81-103.

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2018Mutual Fund Stock†Picking Skill: New Evidence from Valuation†versus Liquidity†Motivated Trading. (2018). Rohleder, Martin ; Wilkens, Marco ; Syryca, Janik ; Schulte, Dominik. In: Financial Management. RePEc:bla:finmgt:v:47:y:2018:i:2:p:309-347.

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2017MARKETING STRATEGY AFTER MEETING WALL STREET: THE ROLE OF INFORMATION ASYMMETRY. (2017). Ma, Minghui ; Huang, Jian ; Dewally, Michael. In: Journal of Financial Research. RePEc:bla:jfnres:v:40:y:2017:i:3:p:369-400.

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2018On the implementation of multilevel Monte Carlo simulation of the stochastic volatility and interest rate model using multi-GPU clusters. (2018). Abdul, Khaliq ; Viktor, Reshniak ; Zane, Colgin ; Harold, Lay. In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:24:y:2018:i:4:p:309-321:n:3.

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2019Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach. (2019). GUPTA, RANGAN ; Caporin, Massimiliano ; Ravazzolo, Francesco. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps61.

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2017Why Does Idiosyncratic Risk Increase with Market Risk?. (2017). Bartram, Söhnke ; Stulz, Rene M ; Brown, Gregory . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6560.

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2018The Role of Pre-Opening Mechanisms in Fragmented Markets. (2018). Moinas, Sophie ; Lescourret, Laurance ; Boussetta, Selma. In: EconPol Working Paper. RePEc:ces:econwp:_12.

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2018Volatility, Diversification and Contagion. (2018). Sentana, Enrique. In: Working Papers. RePEc:cmf:wpaper:wp2018_1803.

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2017Speed and biases of Fourier-based pricing choices: Analysis of the Bates and Asymmetric Variance Gamma models. (2017). Crisóstomo, Ricardo ; Crisostomo, Ricardo . In: CNMV Working Papers. RePEc:cnv:wpaper:dt_64en.

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2017Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes. (2017). Crisóstomo, Ricardo ; Couso, Lorena ; Crisostomo, Ricardo . In: CNMV Working Papers. RePEc:cnv:wpaper:dt_67en.

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2017La volatilidad del tipo de cambio paralelo en Venezuela 2005-2015. (2017). Castillo, Laura Daniela ; Ramoni-Perazzi, Josefa . In: REVISTA APUNTES DEL CENES. RePEc:col:000152:015363.

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2017The Price Effects of Liquidity Shocks: A Study of SECs Tick-Size Experiment. (2017). Albuquerque, Rui ; Yao, Chen ; Song, Shiyun. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12486.

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2018Volatility, diversification and contagion. (2018). Sentana, Enrique. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12824.

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2019What Constrains Liquidity Provision? Evidence From Hedge Fund Trades. (2019). Cotelioglu, Efe ; Plazzi, Alberto ; Franzoni, Francesco. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13645.

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2019Exploring option pricing and hedging via volatility asymmetry. (2019). Veiga, Helena ; Casas, Isabel ; Lopes, Maria Helena. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:28234.

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2017Entropy-based implied moments. (2017). Zhou, Chen ; Xiao, Xiao. In: DNB Working Papers. RePEc:dnb:dnbwpp:581.

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2018A study on performance of a liquid air energy storage system with packed bed units. (2018). Peng, Hao ; Ling, Xiang ; Yang, YU ; Shan, Xuekun. In: Applied Energy. RePEc:eee:appene:v:211:y:2018:i:c:p:126-135.

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2017Options, equity risks, and the value of capital structure adjustments. (2017). Borochin, Paul ; Yang, Jie. In: Journal of Corporate Finance. RePEc:eee:corfin:v:42:y:2017:i:c:p:150-178.

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2017Why and how do banks lay off credit risk? The choice between retention, loan sales and credit default swaps. (2017). Beyhaghi, Mehdi ; Saunders, Anthony ; Massoud, Nadia. In: Journal of Corporate Finance. RePEc:eee:corfin:v:42:y:2017:i:c:p:335-355.

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2017Does it really matter how a firm diversifies? Assets-in-place diversification versus growth options diversification. (2017). de Andres, Pablo ; Velasco, Pilar ; de la Fuente, Gabriel . In: Journal of Corporate Finance. RePEc:eee:corfin:v:43:y:2017:i:c:p:316-339.

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2017What do stock price levels tell us about the firms?. (2017). Chan, Konan ; Li, Fengfei ; Lin, Tse-Chun . In: Journal of Corporate Finance. RePEc:eee:corfin:v:46:y:2017:i:c:p:34-50.

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2017Hedge funds in M&A deals: Is there exploitation of insider information?. (2017). Nandy, Debarshi ; Saunders, Anthony ; Massoud, Nadia ; Dai, Rui. In: Journal of Corporate Finance. RePEc:eee:corfin:v:47:y:2017:i:c:p:23-45.

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2019It only takes a few moments to hedge options. (2019). Santucci de Magistris, Paolo ; Sloth, David ; Barletta, Andrea. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:251-269.

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2017Pure jump models for pricing and hedging VIX derivatives. (2017). Li, Jing ; Zhang, Gongqiu . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:74:y:2017:i:c:p:28-55.

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2017How should a local regime-switching model be calibrated?. (2017). He, Xin-Jiang ; Zhu, Song-Ping. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:78:y:2017:i:c:p:149-163.

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2017Asymmetric determinants of CDS spreads: U.S. industry-level evidence through the NARDL approach. (2017). Shahzad, Syed Jawad Hussain ; Ferrer, Roman ; Nor, Safwan Mohd ; Hussain, Syed Jawad ; Hammoudeh, Shawkat. In: Economic Modelling. RePEc:eee:ecmode:v:60:y:2017:i:c:p:211-230.

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2017Equity market information and credit risk signaling: A quantile cointegrating regression approach. (2017). Gatfaoui, Hayette. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:48-59.

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2019Modeling and forecasting return jumps using realized variation measures. (2019). Liu, YI ; Zhang, Lei. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:63-80.

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2017Fake news. (2017). Brigida, Matt ; Pratt, William R. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:564-573.

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2018European quanto option pricing in presence of liquidity risk. (2018). Li, Zhe ; Liu, Yong-Jun ; Zhang, Wei-Guo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:45:y:2018:i:c:p:230-244.

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2017Inference and testing on the boundary in extended constant conditional correlation GARCH models. (2017). Pedersen, Rasmus. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:23-36.

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2017A multivariate stochastic unit root model with an application to derivative pricing. (2017). Phillips, Peter ; PEter, ; Lieberman, Offer. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:99-110.

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2018Resolution of policy uncertainty and sudden declines in volatility. (2018). Amengual, Dante ; Xiu, Dacheng. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:297-315.

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2017Press freedom and jumps in stock prices. (2017). Masrorkhah, Sara Abed ; Lehnert, Thorsten. In: Economic Systems. RePEc:eee:ecosys:v:41:y:2017:i:1:p:151-162.

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2019Mutual fund flows and investors’ expectations in BRICS economies: Implications for international diversification. (2019). Ghafoor, Abdul ; Ur, Ijaz ; Khan, Habib Hussain ; Qureshi, Fiza. In: Economic Systems. RePEc:eee:ecosys:v:43:y:2019:i:1:p:130-150.

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2019A general framework for pricing Asian options under stochastic volatility on parallel architectures. (2019). Corsaro, Stefania ; Marino, Zelda ; Marazzina, Daniele ; Kyriakou, Ioannis. In: European Journal of Operational Research. RePEc:eee:ejores:v:272:y:2019:i:3:p:1082-1095.

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2019Wavelet-based option pricing: An empirical study. (2019). Liu, Xiaoquan ; Shen, Liya ; Ma, Chenghu ; Cao, YI. In: European Journal of Operational Research. RePEc:eee:ejores:v:272:y:2019:i:3:p:1132-1142.

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2017Mutual funds and stock market volatility: An empirical analysis of Asian emerging markets. (2017). Kutan, Ali ; Chan, Sok-Gee ; Gee, Chan Sok ; Ismail, Izlin ; Qureshi, Fiza. In: Emerging Markets Review. RePEc:eee:ememar:v:31:y:2017:i:c:p:176-192.

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2017Customer-base concentration and the transmission of idiosyncratic volatility along the vertical chain. (2017). Mihov, Atanas ; Naranjo, Andy. In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:73-100.

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2017Consistent nonparametric specification tests for stochastic volatility models based on the return distribution. (2017). Zu, Yang ; Boswijk, H. Peter. In: Journal of Empirical Finance. RePEc:eee:empfin:v:41:y:2017:i:c:p:53-75.

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2017Informed trading in S&P index options? Evidence from the 2008 financial crisis. (2017). French, Joseph ; Chen, Clara Chia-Sheng ; Li, Wei-Xuan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:40-65.

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2017The evolving beta-liquidity relationship of hedge funds. (2017). Stefanova, Denitsa ; Siegmann, Arjen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:286-303.

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2017Joint price and volumetric risk in wind power trading: A copula approach. (2017). Pircalabu, A ; Hog, E ; Jung, J ; Hvolby, T. In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:139-154.

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2017Firm life cycle and idiosyncratic volatility. (2017). Hasan, Mostafa Monzur ; Habib, Ahsan. In: International Review of Financial Analysis. RePEc:eee:finana:v:50:y:2017:i:c:p:164-175.

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2017Does mispricing, liquidity or third-party certification contribute to IPO downside risk?. (2017). Reber, Beat . In: International Review of Financial Analysis. RePEc:eee:finana:v:51:y:2017:i:c:p:25-53.

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2017Parameter estimation risk in asset pricing and risk management: A Bayesian approach. (2017). Tunaru, Radu ; Zheng, Teng. In: International Review of Financial Analysis. RePEc:eee:finana:v:53:y:2017:i:c:p:80-93.

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2018Idiosyncratic volatility and cash flow volatility: New evidence from S&P 500. (2018). Pae, Yuntaek ; Lee, Namhoon ; Bae, Sung C. In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:127-135.

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2018Test of recent advances in extracting information from option prices. (2018). Hudson, Robert ; Gregoriou, A ; Healy, J V. In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:292-302.

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2019Skewness risk premium: Theory and empirical evidence. (2019). Wolff, Christian ; Lin, Yuehao ; Lehnert, Thorsten. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:174-185.

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2019The impact of tick-size reductions in foreign currency futures markets. (2019). Tse, Yiuman ; Martinez, Valeria. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:32-38.

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2017Understanding transactions prices in the credit default swaps market. (2017). Tang, Dragon Yongjun ; Yan, Hong. In: Journal of Financial Markets. RePEc:eee:finmar:v:32:y:2017:i:c:p:1-27.

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2019Excess comovement in credit default swap markets: Evidence from the CDX indices. (2019). Shi, Yining ; Evans, Leo ; El-Jahel, Lina ; Cathcart, Lara. In: Journal of Financial Markets. RePEc:eee:finmar:v:43:y:2019:i:c:p:96-120.

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2017Political uncertainty and a firms credit risk: Evidence from the international CDS market. (2017). Liu, Jinyu ; Zhong, Rui. In: Journal of Financial Stability. RePEc:eee:finsta:v:30:y:2017:i:c:p:53-66.

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2018Measuring sovereign contagion in Europe. (2018). Pelizzon, Loriana ; Caporin, Massimiliano ; Rigobon, Roberto ; Ravazzolo, Francesco. In: Journal of Financial Stability. RePEc:eee:finsta:v:34:y:2018:i:c:p:150-181.

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2019Affordable and adequate annuities with stable payouts: Fantasy or reality?. (2019). Linders, Daniel ; van Bilsen, Servaas . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:19-42.

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2018Directional information effects of options trading: Evidence from the banking industry. (2018). Du, Brian ; Fung, Scott. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:56:y:2018:i:c:p:149-168.

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2018Determinants of equity mutual fund flows – Evidence from the fund flow dynamics between Hong Kong and global markets. (2018). Wing, Tom Pak ; Ho, Edmund ; Wan, Angela Kin. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:57:y:2018:i:c:p:231-247.

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2017The joint cross-sectional variation of equity returns and volatilities. (2017). Gonzalez-Urteaga, Ana ; Rubio, Gonzalo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:75:y:2017:i:c:p:17-34.

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2017Slow diffusion of information and price momentum in stocks: Evidence from options markets. (2017). Chen, Zhuo ; Lu, Andrea . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:75:y:2017:i:c:p:98-108.

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2017Insider trading, stock return volatility, and the option markets pricing of the information content of insider trading. (2017). Louis, Henock ; Chiang, Chin-Han ; Chung, Sung Gon . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:76:y:2017:i:c:p:65-73.

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2017Optimal delta hedging for options. (2017). White, Alan ; Hull, John. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:82:y:2017:i:c:p:180-190.

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2017Equity index variance: Evidence from flexible parametric jump–diffusion models. (2017). Kaeck, Andreas ; Seeger, Norman J ; Rodrigues, Paulo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:83:y:2017:i:c:p:85-103.

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2018Detecting money market bubbles. (2018). Platen, Eckhard ; Ignatieva, Katja ; Baldeaux, Jan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:87:y:2018:i:c:p:369-379.

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2018The impact of more frequent portfolio disclosure on mutual fund performance. (2018). Parida, Sitikantha ; Teo, Terence. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:87:y:2018:i:c:p:427-445.

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2018Sentiment hedging: How hedge funds adjust their exposure to market sentiment. (2018). Zheng, Yao ; Zhang, Ruiyi ; Osmer, Eric. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:88:y:2018:i:c:p:147-160.

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2018Short selling around the expiration of IPO share lockups. (2018). Gibbs, Michael ; Hao, Qing . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:88:y:2018:i:c:p:30-43.

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2018Pricing of long-dated commodity derivatives: Do stochastic interest rates matter?. (2018). Schlogl, Erik ; Nikitopoulos-Sklibosios, Christina ; Cheng, Benjamin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:95:y:2018:i:c:p:148-166.

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2018Gas storage valuation under multifactor Lévy processes. (2018). Cummins, Mark ; Murphy, Bernard ; Kiely, Greg. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:95:y:2018:i:c:p:167-184.

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2018From the Samuelson volatility effect to a Samuelson correlation effect: An analysis of crude oil calendar spread options. (2018). Schneider, Lorenz ; Tavin, Bertrand. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:95:y:2018:i:c:p:185-202.

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2018Risk factors and their associated risk premia: An empirical analysis of the crude oil market. (2018). Hain, Martin ; Unger, Nils ; Uhrig-Homburg, Marliese. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:95:y:2018:i:c:p:44-63.

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2018Smiling twice: The Heston++ model. (2018). Pacati, Claudio ; Reno, Roberto ; Pompa, Gabriele . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:96:y:2018:i:c:p:185-206.

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2019The asymmetric effect of equity volatility on credit default swap spreads. (2019). Lee, Hwang Hee ; Hyun, Jung-Soon. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:98:y:2019:i:c:p:125-136.

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2019A jump-diffusion model for pricing and hedging with margined options: An application to Brent crude oil contracts. (2019). Hilliard, Jimmy E. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:98:y:2019:i:c:p:137-155.

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2019Upside potential of hedge funds as a predictor of future performance. (2019). Bali, Turan G ; Caglayan, Mustafa O ; Brown, Stephen J. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:98:y:2019:i:c:p:212-229.

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2019Jump activity analysis for affine jump-diffusion models: Evidence from the commodity market. (2019). Ignatieva, Katja ; da Fonseca, Jose. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:99:y:2019:i:c:p:45-62.

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2017The term structure of credit spreads, firm fundamentals, and expected stock returns. (2017). Han, Bing ; Zhou, YI ; Subrahmanyam, Avanidhar. In: Journal of Financial Economics. RePEc:eee:jfinec:v:124:y:2017:i:1:p:147-171.

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2017Explaining the negative returns to volatility claims: An equilibrium approach. (2017). Eraker, Bjorn ; Wu, Yue. In: Journal of Financial Economics. RePEc:eee:jfinec:v:125:y:2017:i:1:p:72-98.

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2017Volatility of aggregate volatility and hedge fund returns. (2017). ARISOY, Yakup ; Naik, Narayan Y ; Agarwal, Vikas. In: Journal of Financial Economics. RePEc:eee:jfinec:v:125:y:2017:i:3:p:491-510.

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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]
article175
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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article622
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: 622
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: 622
paper
2000Price Discovery without Trading: Evidence from the Nasdaq Preopening In: Journal of Finance.
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article64
2008ORDER PLACEMENT STRATEGIES IN A PURE LIMIT ORDER BOOK MARKET In: Journal of Financial Research.
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article22
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.
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article0
2004Does Insider Trading Impair Market Liquidity? Evidence from IPO Lockup Expirations In: Journal of Financial and Quantitative Analysis.
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article31
2000Pricing and hedging long-term options In: Journal of Econometrics.
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article78
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: 78
paper
2010The information content of option-implied volatility for credit default swap valuation In: Journal of Financial Markets.
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article72
2013Do mutual fund managers time market liquidity? In: Journal of Financial Markets.
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article13
1998Decimalization and competition among stock markets: Evidence from the Toronto Stock Exchange cross-listed securities In: Journal of Financial Markets.
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article37
2001Share repurchase tender offers and bid-ask spreads In: Journal of Banking & Finance.
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article5
2008An empirical analysis of the dynamic relationship between mutual fund flow and market return volatility In: Journal of Banking & Finance.
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article26
2013Can hedge funds time market liquidity? In: Journal of Financial Economics.
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article48
1996Tick Size, Spread, and Volume In: Journal of Financial Intermediation.
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article44
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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paper0
1992Nonlinear Time-Series Analysis of Stock Volatilities. In: Journal of Applied Econometrics.
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article30
2007Determinants of S&P 500 index option returns In: Review of Derivatives Research.
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article2
2000Do Call Prices and the Underlying Stock Always Move in the Same Direction? In: Review of Financial Studies.
[Citation analysis]
article54
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: 54
paper
2008Can Growth Options Explain the Trend in Idiosyncratic Risk? In: Review of Financial Studies.
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article52
2005Informational Content of Option Volume Prior to Takeovers In: The Journal of Business.
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article82
2003Informational Content of Option Volume Prior to Takeovers.(2003) In: Yale School of Management Working Papers.
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This paper has another version. Agregated cites: 82
paper

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