17
H index
17
i10 index
2026
Citations
Tsinghua University (68% share) | 17 H index 17 i10 index 2026 Citations RESEARCH PRODUCTION: 20 Articles 9 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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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: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Financial Markets | 3 |
Journal of Finance | 3 |
Review of Financial Studies | 2 |
Journal of Banking & Finance | 2 |
Working Papers Series with more than one paper published | # docs |
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Yale School of Management Working Papers / Yale School of Management | 5 |
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.) | 2 |
Year | Title of citing document | |
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2021 | An analytical perturbative solution to the Merton Garman model using symmetries. (2019). Shaw, Nathaniel Wiesendanger ; Calmet, Xavier. In: Papers. RePEc:arx:papers:1909.01413. Full description at Econpapers || Download paper | |
2021 | Hedging with Neural Networks. (2020). Wang, Weiguan ; Ruf, Johannes. In: Papers. RePEc:arx:papers:2004.08891. Full description at Econpapers || Download paper | |
2022 | A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims. (2020). Zhuo, Xiaoyang ; Nawalkha, Sanjay K. In: Papers. RePEc:arx:papers:2006.15312. Full description at Econpapers || Download paper | |
2021 | On the RND under Hestons stochastic volatility model. (2021). Boukai, Ben. In: Papers. RePEc:arx:papers:2101.03626. Full description at Econpapers || Download paper | |
2021 | Perpetual callable American volatility options in a mean-reverting volatility model. (2021). Liu, Hsuan-Ku. In: Papers. RePEc:arx:papers:2104.01127. Full description at Econpapers || Download paper | |
2021 | Time Varying Risk in U.S. Housing Sector and Real Estate Investment Trusts Equity Return. (2021). Alam, Masud. In: Papers. RePEc:arx:papers:2107.10455. Full description at Econpapers || Download paper | |
2021 | The Generalized Gamma distribution as a useful RND under Hestons stochastic volatility model. (2021). Boukai, Ben. In: Papers. RePEc:arx:papers:2108.07937. Full description at Econpapers || Download paper | |
2021 | Marginals Versus Copulas: Which Account For More Model Risk In Multivariate Risk Forecasting?. (2021). Timphus, Maike ; Fritzsch, Simon ; Weiss, Gregor. In: Papers. RePEc:arx:papers:2109.10946. Full description at Econpapers || Download paper | |
2021 | Autoregressive conditional duration modelling of high frequency data. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02300. Full description at Econpapers || Download paper | |
2021 | Multiplicative Component GARCH Model of Intraday Volatility. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02376. Full description at Econpapers || Download paper | |
2021 | Pricing S&P 500 Index Options with L\evy Jumps. (2021). Liang, Nan ; Xie, Bin. In: Papers. RePEc:arx:papers:2111.10033. Full description at Econpapers || Download paper | |
2022 | Option Pricing with State-dependent Pricing Kernel. (2021). Huang, Zhuo ; Hansen, Peter Reinhard ; Tong, Chen. In: Papers. RePEc:arx:papers:2112.05308. Full description at Econpapers || Download paper | |
2022 | A Multivariate Dependence Analysis for Electricity Prices, Demand and Renewable Energy Sources. (2022). Durante, Fabrizio ; Gianfreda, Angelica ; Rossini, Luca ; Ravazzolo, Francesco. In: Papers. RePEc:arx:papers:2201.01132. Full description at Econpapers || Download paper | |
2022 | Option Volume Imbalance as a predictor for equity market returns. (2022). Howison, Sam ; Cucuringu, Mihai ; Michael, Nikolas. In: Papers. RePEc:arx:papers:2201.09319. Full description at Econpapers || Download paper | |
2022 | Are all Credit Default Swap Databases equal?. (2022). Mayordomo, Sergio ; Schwartz, Eduardo S ; Pena, Juan Ignacio. In: Papers. RePEc:arx:papers:2202.02273. Full description at Econpapers || Download paper | |
2022 | Threshold Asymmetric Conditional Autoregressive Range (TACARR) Model. (2022). Ratnayake, Isuru ; Samaranayake, V A. In: Papers. RePEc:arx:papers:2202.03351. Full description at Econpapers || Download paper | |
2022 | Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943. Full description at Econpapers || Download paper | |
2022 | Hedging option books using neural-SDE market models. (2022). Wang, Sheng ; Reisinger, Christoph ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:2205.15991. Full description at Econpapers || Download paper | |
2022 | Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation. (2022). Vladimirov, Evgenii ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2210.06217. Full description at Econpapers || Download paper | |
2022 | Bayesian Forecasting in the 21st Century: A Modern Review. (2022). Nibbering, Didier ; Maheu, John ; Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios. In: Papers. RePEc:arx:papers:2212.03471. Full description at Econpapers || Download paper | |
2021 | Option-Implied Network Measures of Tail Contagion and Stock Return Predictability. (2021). Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp20154. Full description at Econpapers || Download paper | |
2021 | Option-Implied Network Measures of Tail Contagion and Stock Return Predictability. (2021). Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp21154. Full description at Econpapers || Download paper | |
2021 | Brexit: Cyclical dependence in market neutral hedge funds. (2021). Galvez, Julio ; Crego, Julio A. In: Working Papers. RePEc:bde:wpaper:2141. Full description at Econpapers || Download paper | |
2021 | A composite indicator of sovereign bond market liquidity in the euro area. (2021). Taboga, Marco ; Poli, Riccardo. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_663_21. Full description at Econpapers || Download paper | |
2021 | Volatility 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. Full description at Econpapers || Download paper | |
2022 | Ofertas Públicas de Adquisición y su efecto sobre las rentabilidades en el mercado accionario: El caso de NUTRESA y SURA en Colombia. (2022). Parra-Amado, Daniel ; Melo-Velandia, Luis ; Orozco-Vanegas, Camilo Andres. In: Borradores de Economia. RePEc:bdr:borrec:1195. Full description at Econpapers || Download paper | |
2022 | Misvaluation and the Asset Growth Anomaly. (2022). Lambertides, Neophytos. In: Abacus. RePEc:bla:abacus:v:58:y:2022:i:1:p:105-141. Full description at Econpapers || Download paper | |
2021 | Implied volatility smirk in the Australian dollar market. (2021). Ruan, Xinfeng ; Zhang, Jin E ; Gehricke, Sebastian A. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:3:p:4573-4599. Full description at Econpapers || Download paper | |
2021 | Liquidity Formation and Preopening Periods in Financial Markets. (2021). Pouget, Sebastien ; Hong, Jieying. In: Economica. RePEc:bla:econom:v:88:y:2021:i:351:p:697-723. Full description at Econpapers || Download paper | |
2022 | Shorting activity and stock return predictability: Evidence from a mandatory disclosure shock. (2022). Kim, Jeongbon ; Kalcheva, Ivalina ; Hong, Hyun A ; Griffin, Paul A. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:1:p:27-71. Full description at Econpapers || Download paper | |
2022 | The role of credit default swaps in determining corporate payout policy. (2022). Oh, Frederick Dongchuhl ; Lee, Hwang Hee. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:2:p:635-661. Full description at Econpapers || Download paper | |
2022 | Should hedge funds deviate from the benchmark?. (2022). Voukelatos, Nikolaos ; Panopoulou, Ekaterini. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:3:p:767-795. Full description at Econpapers || Download paper | |
2021 | Informed options trading prior to insider trades. (2021). Li, Keming ; Hao, Qing. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:3:p:459-480. Full description at Econpapers || Download paper | |
2022 | Dealers incentives to reveal their names. (2022). Karam, Arze. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:1:p:27-44. Full description at Econpapers || Download paper | |
2022 | Disagreement between hedge funds and other institutional investors and the cross?section of expected stock returns. (2022). Sonaer, Gokhan ; Celiker, Umut ; Caglayan, Mustafa O. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:3:p:663-689. Full description at Econpapers || Download paper | |
2021 | The Sarbanes?Oxley act and informed trading in the options market: Evidence from share repurchase announcements. (2021). Badshah, Ihsan ; Kolari, James ; Koerniadi, Hardjo. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:2:p:645-652. Full description at Econpapers || Download paper | |
2022 | COVID?19 and hedge fund equity ownership. (2022). Singh, Amanjot ; Samarbakhsh, Laleh. In: International Review of Finance. RePEc:bla:irvfin:v:22:y:2022:i:2:p:356-364. Full description at Econpapers || Download paper | |
2022 | Informed options trading prior to FDA announcements. (2022). Patel, Vinay. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:49:y:2022:i:7-8:p:1211-1236. Full description at Econpapers || Download paper | |
2022 | Euro Area: Towards a European Common Bond? – Empirical Evidence from the Sovereign Debt Markets. (2022). Kiohos, Apostolos ; Stoupos, Nikolaos. In: Journal of Common Market Studies. RePEc:bla:jcmkts:v:60:y:2022:i:4:p:1019-1046. Full description at Econpapers || Download paper | |
2022 | Liquidity measurement: A comparative review of the literature with a focus on high frequency. (2022). Ekinci, Cumhur ; Guloglu, Zeynep Cobandag. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:36:y:2022:i:1:p:41-74. Full description at Econpapers || Download paper | |
2021 | The Economics of Hedge Fund Startups: Theory and Empirical Evidence. (2021). Zhang, Hong ; Farnsworth, Grant ; Cao, Charles. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:3:p:1427-1469. Full description at Econpapers || Download paper | |
2021 | Sentiment Trading and Hedge Fund Returns. (2021). han, bing ; Chen, Yong ; Pan, Jing. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:4:p:2001-2033. Full description at Econpapers || Download paper | |
2022 | Luck versus Skill in the Cross Section of Mutual Fund Returns: Reexamining the Evidence. (2022). Liu, Yan ; Harvey, Campbell R. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:3:p:1921-1966. Full description at Econpapers || Download paper | |
2022 | Informed trading of out?of?the?money options and market efficiency. (2022). Kim, Dong Hyun ; Kang, Changmo ; Lee, Geul. In: Journal of Financial Research. RePEc:bla:jfnres:v:45:y:2022:i:2:p:247-279. Full description at Econpapers || Download paper | |
2021 | Option Trading and REIT Returns. (2021). Sheng, Hainan ; Harrison, David M ; Cashman, George D. In: Real Estate Economics. RePEc:bla:reesec:v:49:y:2021:i:1:p:332-389. Full description at Econpapers || Download paper | |
2022 | Foreign exchange interventions under a minimum exchange rate regime and the Swiss franc. (2022). Hertrich, Markus. In: Review of International Economics. RePEc:bla:reviec:v:30:y:2022:i:2:p:450-489. Full description at Econpapers || Download paper | |
2022 | FX option volume. (2022). Wang, Tianyu ; Huang, Shiyang ; Della Corte, Pasquale ; Czech, Robert. In: Bank of England working papers. RePEc:boe:boeewp:0964. Full description at Econpapers || Download paper | |
2021 | Risk modeling with option-implied correlations and score-driven dynamics. (2021). Herrera, Rodrigo ; Pia, Marco. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:932. Full description at Econpapers || Download paper | |
2021 | A 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. Full description at Econpapers || Download paper | |
2021 | A 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. Full description at Econpapers || Download paper | |
2021 | A 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. Full description at Econpapers || Download paper | |
2021 | Major 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. Full description at Econpapers || Download paper | |
2021 | Outsourcing 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. Full description at Econpapers || Download paper | |
2021 | CEO mobility and corporate policy risk. (2021). Korkeamaki, Timo ; Olak, Gonul. In: Journal of Corporate Finance. RePEc:eee:corfin:v:69:y:2021:i:c:s0929119921001590. Full description at Econpapers || Download paper | |
2021 | Option-implied skewness: Insights from ITM-options. (2021). Schneider, Judith C ; Mohrschladt, Hannes. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:131:y:2021:i:c:s0165188921001627. Full description at Econpapers || Download paper | |
2022 | The stock implied volatility and the implied dividend volatility. (2022). Tunaru, Radu ; Quaye, Enoch. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:134:y:2022:i:c:s0165188921002116. Full description at Econpapers || Download paper | |
2021 | What 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. Full description at Econpapers || Download paper | |
2021 | Contagion 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. Full description at Econpapers || Download paper | |
2022 | Pricing vulnerable options with stochastic liquidity risk. (2022). Wang, Xingchun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940821002278. Full description at Econpapers || Download paper | |
2022 | Does investor sentiment affect fund crashes? Evidence from Chinese open-end funds. (2022). Jiang, Shuyang ; Ma, Yuyin ; Li, Shouwei ; Wang, HU. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000213. Full description at Econpapers || Download paper | |
2021 | A novel explanation for idiosyncratic volatility anomaly: An asset decomposition perspective. (2021). Zhang, Qun ; Wan, Wei ; Chen, Yue ; Liu, Hao. In: Economics Letters. RePEc:eee:ecolet:v:206:y:2021:i:c:s0165176521002718. Full description at Econpapers || Download paper | |
2021 | Closed-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. Full description at Econpapers || Download paper | |
2022 | The Fama-French model for estimating the cost of equity capital: The impact of real options of investment projects. (2022). Zarzecki, Dariusz ; Urbaski, Stanisaw. In: Economic Systems. RePEc:eee:ecosys:v:46:y:2022:i:1:s0939362521000224. Full description at Econpapers || Download paper | |
2021 | Option 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. Full description at Econpapers || Download paper | |
2021 | Option 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. Full description at Econpapers || Download paper | |
2022 | Optimal liquidation problem in illiquid markets. (2022). Vecer, Jan ; Sadoghi, Amirhossein. In: European Journal of Operational Research. RePEc:eee:ejores:v:296:y:2022:i:3:p:1050-1066. Full description at Econpapers || Download paper | |
2021 | On 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. Full description at Econpapers || Download paper | |
2021 | Ability parity model for optimal fund allocation: Evidence from Chinas mutual fund markets. (2021). Ding, Yue ; Luo, Ronghua ; Liu, Yangyi. In: Emerging Markets Review. RePEc:eee:ememar:v:48:y:2021:i:c:s1566014121000121. Full description at Econpapers || Download paper | |
2021 | Timing 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. Full description at Econpapers || Download paper | |
2021 | Endogeneity in the mutual fund flow–performance relationship: An instrumental variables solution. (2021). Rakowski, David ; Yamani, Ehab. In: Journal of Empirical Finance. RePEc:eee:empfin:v:64:y:2021:i:c:p:247-271. Full description at Econpapers || Download paper | |
2021 | Stochastic volatility: A tale of co-jumps, non-normality, GMM and high frequency data. (2021). Ewald, Christian-Oliver ; Zou, Yihan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:64:y:2021:i:c:p:37-52. Full description at Econpapers || Download paper | |
2022 | Non-marketability and one-day selling lockup. (2022). Wang, Jun ; Su, Tie ; Bian, Jiangze. In: Journal of Empirical Finance. RePEc:eee:empfin:v:65:y:2022:i:c:p:1-23. Full description at Econpapers || Download paper | |
2022 | Mispricing chasing and hedge fund returns. (2022). Tee, Kai-Hong ; Li, Baibing ; Ma, Tianyi. In: Journal of Empirical Finance. RePEc:eee:empfin:v:68:y:2022:i:c:p:34-49. Full description at Econpapers || Download paper | |
2021 | Risk premia in electricity derivatives markets. (2021). Leccadito, Arturo ; Algieri, Bernardina ; Tunaru, Diana. In: Energy Economics. RePEc:eee:eneeco:v:100:y:2021:i:c:s014098832100205x. Full description at Econpapers || Download paper | |
2022 | Oil uncertainty and firms risk-taking. (2022). Lu, Man ; Yin, Libo. In: Energy Economics. RePEc:eee:eneeco:v:108:y:2022:i:c:s0140988322001025. Full description at Econpapers || Download paper | |
2022 | Chinas energy stock market jumps: To what extent does the COVID-19 pandemic play a part?. (2022). Wang, Qunwei ; Bi, Xiaoyi ; Dai, Xingyu ; Tong, Yuan. In: Energy Economics. RePEc:eee:eneeco:v:109:y:2022:i:c:s0140988322001153. Full description at Econpapers || Download paper | |
2021 | Electricity 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. Full description at Econpapers || Download paper | |
2021 | The 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. Full description at Econpapers || Download paper | |
2021 | Trading 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. Full description at Econpapers || Download paper | |
2021 | Firm 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. Full description at Econpapers || Download paper | |
2021 | Trump vs. Paris: The impact of climate policy on U.S. listed oil and gas firm returns and volatility. (2021). Gehricke, Sebastian A ; Diaz-Rainey, Ivan ; Zhang, Renzhu ; Roberts, Helen. In: International Review of Financial Analysis. RePEc:eee:finana:v:76:y:2021:i:c:s1057521921000880. Full description at Econpapers || Download paper | |
2021 | VCRIX — A volatility index for crypto-currencies. (2021). Härdle, Wolfgang ; Hardle, Wolfgang Karl ; Trimborn, Simon ; Kim, Alisa. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002416. Full description at Econpapers || Download paper | |
2022 | Timing the volatility risk of beta anomaly: Evidence from hedge fund strategies. (2022). Li, Baibing ; Tee, Kai-Hong ; Ma, Tianyi. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000667. Full description at Econpapers || Download paper | |
2022 | An empirical evaluation of alternative fundamental models of credit spreads. (2022). Headley, Adrian ; Murphy, Austin. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000904. Full description at Econpapers || Download paper | |
2022 | Flight-to-safety and retail investor behavior. (2022). Lehnert, Thorsten. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922001090. Full description at Econpapers || Download paper | |
2022 | The liquidity and trading activity effects of acquisition payment methods: Evidence from the announcements of private firms acquisitions. (2022). Zhang, Zeyu ; Monaco, Eleonora ; Ibikunle, Gbenga ; Palumbo, Riccardo. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s105752192200148x. Full description at Econpapers || Download paper | |
2022 | Hedge fund networks, information dissemination, and stock price comovement: Evidence from China. (2022). Zhu, Hongjun ; Xiao, Tusheng ; Wang, Xueding ; Li, Yihang. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922001855. Full description at Econpapers || Download paper | |
2022 | Opening price manipulation and its value influences. (2022). Liu, Jia ; Yuan, Lin ; Wu, Chonglin. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002149. Full description at Econpapers || Download paper | |
2022 | The information content of CDS implied volatility and associated trading strategies. (2022). Yan, Cheng ; Xu, Yaofei ; Guo, Biao ; Chen, Ding ; Shi, Yukun. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002502. Full description at Econpapers || Download paper | |
2021 | Cokurtosis and the Ability of Mutual Fund Managers. (2021). Padungsaksawasdi, Chaiyuth ; Wattanatorn, Woraphon. In: Finance Research Letters. RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320315919. Full description at Econpapers || Download paper | |
2021 | Asymmetric relationship between green bonds and commodities: Evidence from extreme quantile approach. (2021). TAGHIZADEH-HESARY, Farhad ; Ngo, Thanh ; Nepal, Rabindra ; Taghizadehhesary, Farhad ; Ha, Thi Thu ; Naeem, Muhammad Abubakr. In: Finance Research Letters. RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321000647. Full description at Econpapers || Download paper | |
2022 | Timing of tick size reduction: Threshold and smooth transition model analysis. (2022). Tabata, Tomoaki ; Maruyama, Hiroyuki. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002233. Full description at Econpapers || Download paper | |
2022 | Can the portfolio excess growth rate explain the predictive power of idiosyncratic volatility?. (2022). Aldana-Galindo, Julian R ; Malagon, Juliana ; Mantilla-Garcia, Daniel . In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005286. Full description at Econpapers || Download paper | |
2021 | Financial oligopolies and parallel exclusion in the credit default swap markets. (2021). Perrakis, Stylianos ; Zhong, Rui ; Kryzanowski, Lawrence. In: Journal of Financial Markets. RePEc:eee:finmar:v:56:y:2021:i:c:s1386418120300756. Full description at Econpapers || Download paper | |
2022 | Options listings and loan contract terms: Information versus risk-shifting. (2022). Vu, Tram ; Truong, Cameron ; Do, Viet. In: Journal of Financial Markets. RePEc:eee:finmar:v:58:y:2022:i:c:s138641812100029x. Full description at Econpapers || Download paper | |
2022 | Call auction design and closing price manipulation: Evidence from the Hong Kong stock exchange. (2022). Park, Seongkyu (Gilbert) ; Wan, Kam-Ming ; Suen, Wing. In: Journal of Financial Markets. RePEc:eee:finmar:v:58:y:2022:i:c:s1386418121000732. Full description at Econpapers || Download paper | |
2022 | Price impact versus bid–ask spreads in the index option market. (2022). van Kervel, Vincent ; Seeger, Norman J ; Kaeck, Andreas. In: Journal of Financial Markets. RePEc:eee:finmar:v:59:y:2022:i:pa:s1386418121000550. Full description at Econpapers || Download paper | |
2022 | Price discovery during parallel stocks and options preopening: Information distortion and hints of manipulation. (2022). Milo, Orit ; Kedar-Levy, Haim ; Hauser, Shmuel . In: Journal of Financial Markets. RePEc:eee:finmar:v:59:y:2022:i:pa:s1386418122000015. Full description at Econpapers || Download paper | |
2021 | Short 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. Full description at Econpapers || Download paper | |
2021 | Sovereign CDS and mutual funds: Global evidence. (2021). Vivian, Andrew ; Calice, Giovanni ; Alsubaiei, Bader J. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:73:y:2021:i:c:s1042443121000731. Full description at Econpapers || Download paper | |
2021 | Corporate social responsibility and the term structure of CDS spreads. (2021). Zhong, Zhaodong ; Wang, Xinjie ; Li, Yubin ; Gao, Feng. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121001232. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
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1992 | Inequality Constraints in the Univariate GARCH Model. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 218 |
1997 | Does the Specialist Matter? Differential Execution Costs and Intersecurity Subsidization on the New York Stock Exchange. In: Journal of Finance. [Full Text][Citation analysis] | article | 20 |
1997 | Empirical Performance of Alternative Option Pricing Models. In: Journal of Finance. [Full Text][Citation analysis] | article | 795 |
1997 | Empirical 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: 795 | paper | |
1997 | Empirical 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: 795 | paper | |
2000 | Price Discovery without Trading: Evidence from the Nasdaq Preopening In: Journal of Finance. [Full Text][Citation analysis] | article | 99 |
2008 | ORDER PLACEMENT STRATEGIES IN A PURE LIMIT ORDER BOOK MARKET In: Journal of Financial Research. [Full Text][Citation analysis] | article | 26 |
2001 | Derivatives Do Affect Mutual Funds Returns : How and When? In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 0 |
1998 | Why Is the Bid Price Greater than the Ask? Price Discovery during the Nasdaq Pre-Opening In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 2 |
2000 | Evolution of Transitory Volatility over the Week In: Annals of Economics and Finance. [Full Text][Citation analysis] | article | 0 |
2004 | Does Insider Trading Impair Market Liquidity? Evidence from IPO Lockup Expirations In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 40 |
2000 | Pricing and hedging long-term options In: Journal of Econometrics. [Full Text][Citation analysis] | article | 88 |
1998 | Pricing and Hedging Long-Term Options.(1998) In: Yale School of Management Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 88 | paper | |
2010 | The information content of option-implied volatility for credit default swap valuation In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 102 |
2013 | Do mutual fund managers time market liquidity? In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 30 |
1998 | Decimalization and competition among stock markets: Evidence from the Toronto Stock Exchange cross-listed securities In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 48 |
2001 | Share repurchase tender offers and bid-ask spreads In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 7 |
2008 | An empirical analysis of the dynamic relationship between mutual fund flow and market return volatility In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 46 |
2013 | Can hedge funds time market liquidity? In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 86 |
1996 | Tick Size, Spread, and Volume In: Journal of Financial Intermediation. [Full Text][Citation analysis] | article | 58 |
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2007 | Determinants of S&P 500 index option returns In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 4 |
2000 | Do Call Prices and the Underlying Stock Always Move in the Same Direction? In: Review of Financial Studies. [Citation analysis] | article | 72 |
1999 | Do Call Prices and the Underlying Stock Always Move in the Same Direction?.(1999) In: Yale School of Management Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 72 | paper | |
2008 | Can Growth Options Explain the Trend in Idiosyncratic Risk? In: Review of Financial Studies. [Full Text][Citation analysis] | article | 89 |
2005 | Informational Content of Option Volume Prior to Takeovers In: The Journal of Business. [Full Text][Citation analysis] | article | 142 |
2003 | Informational 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: 142 | paper |
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