Zhiwu Chen : Citation Profile


Are you Zhiwu Chen?

Cheung Kong Graduate School of Business

14

H index

15

i10 index

1582

Citations

RESEARCH PRODUCTION:

18

Articles

20

Papers

1

Chapters

RESEARCH ACTIVITY:

   19 years (1994 - 2013). See details.
   Cites by year: 83
   Journals where Zhiwu Chen has often published
   Relations with other researchers
   Recent citing documents: 129.    Total self citations: 7 (0.44 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pch1415
   Updated: 2020-10-24    RAS profile: 2015-02-04    
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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 Zhiwu Chen.

Is cited by:

Christoffersen, Peter (28)

zou, heng-fu (23)

Stentoft, Lars (12)

Gong, Liutang (12)

Garcia, René (12)

Wu, Liuren (11)

Alexander, Carol (10)

Goetzmann, William (10)

Scholes, Myron (9)

Renault, Eric (9)

Nikitopoulos-Sklibosios, Christina (9)

Cites to:

Cao, Charles (9)

Shleifer, Andrei (9)

Constantinides, George (9)

Vishny, Robert (7)

Prescott, Edward (6)

Shiller, Robert (6)

Fama, Eugene (6)

Longstaff, Francis (5)

merton, robert (5)

Stulz, René (5)

La Porta, Rafael (5)

Main data


Where Zhiwu Chen has published?


Journals with more than one article published# docs
Review of Financial Studies4
Journal of Finance2
The Journal of Business2

Working Papers Series with more than one paper published# docs
Yale School of Management Working Papers / Yale School of Management15

Recent works citing Zhiwu Chen (2020 and 2019)


YearTitle of citing document
2019Optimal life-cycle consumption and investment decisions under age-dependent risk preferences. (2019). Zagst, Rudi ; Shevchenko, Pavel V ; Lichtenstern, Andreas. In: Papers. RePEc:arx:papers:1908.09976.

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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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2020Trading Strategies and Market Color: The Benefits of Friendship with Quantitative Analysts and Financial Engineers. (2019). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1910.02144.

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2019The Microstructure of Stochastic Volatility Models with Self-Exciting Jump Dynamics. (2019). Xu, Wei ; Horst, Ulrich. In: Papers. RePEc:arx:papers:1911.12969.

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2019Comparative Study of Two Extensions of Heston Stochastic Volatility Model. (2019). Taneja, H C ; Srivastava, R ; Malhotra, Gifty. In: Papers. RePEc:arx:papers:1912.10237.

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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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2020Hedging 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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2020A 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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2020Rough Heston: the SINC way. (2020). Rossi, Pietro ; Romagnoli, Silvia ; Bormetti, Giacomo ; Baschetti, Fabio. In: Papers. RePEc:arx:papers:2009.00557.

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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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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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2019Evaluating fund capacity: issues and methods. (2019). O'Neill, Michael J ; Warren, Geoffrey J. In: Accounting and Finance. RePEc:bla:acctfi:v:59:y:2019:i:s1:p:773-800.

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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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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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2019EVALUATING VOLTALITY PERSISTENCE OF STOCK RETURTN IN THE PRE AND POST 2008-2009 FINANCIAL MELTDOWN. (2019). Nageri, Kamaldeen Ibraheem. In: Copernican Journal of Finance & Accounting. RePEc:cpn:umkcjf:v:8:y:2019:i:3:p:75-94.

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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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2020The spirit of capitalism and optimal capital taxation. (2020). zou, heng-fu ; Wang, Gaowang ; Li, Fanghui. In: CEMA Working Papers. RePEc:cuf:wpaper:614.

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2020Conditional capital asset pricing model, long-run risk, and stock valuation. (2020). Gueyie, Jean-Pierre ; Assogbavi, Tov ; Bergeron, Claude. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-01100.

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2020Demographic Shifts and Asset Returns in Japan. (2020). Chen, Jau-er ; Mitra, Rajarshi. In: Economics Bulletin. RePEc:ebl:ecbull:eb-20-00133.

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2020The effect of culture on consumption: A behavioral approach. (2020). Zheng, Jie ; Lian, Zeng. In: Journal of Asian Economics. RePEc:eee:asieco:v:67:y:2020:i:c:s1049007820300245.

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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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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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2020Dynamic asset allocation with relative wealth concerns in incomplete markets. (2020). Seifried, Frank Thomas ; Meyer-Wehmann, Andre ; Kraft, Holger. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300270.

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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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2019Valuation of collateralized debt obligations: An equilibrium model. (2019). Park, Jason ; Hu, May. In: Economic Modelling. RePEc:eee:ecmode:v:82:y:2019:i:c:p:119-135.

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2020A Keynesian Dynamic Stochastic Disequilibrium model for business cycle analysis. (2020). Schoder, Christian. In: Economic Modelling. RePEc:eee:ecmode:v:86:y:2020:i:c:p:117-132.

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2020Consumption aspirations in dirty and clean goods and economic growth. (2020). Chang, Juin-Jen ; Shieh, Jhy-Yuan ; Yang, Chih-Yu ; Chen, Jhy-hwa . In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:254-266.

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2019Term structure dynamics in a monetary economy with learning. (2019). Ono, Sadayuki . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:730-745.

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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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2020The spirit of capitalism and optimal capital taxation. (2020). zou, heng-fu ; Wang, Gaowang ; Li, Fanghui. In: Economics Letters. RePEc:eee:ecolet:v:192:y:2020:i:c:s0165176520301695.

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2020Nonparametric assessment of hedge fund performance. (2020). Garcia, René ; Ardison, Kym ; Almeida, Caio. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:349-378.

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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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2019Macroeconomic environment, money demand and portfolio choice. (2019). Lioui, Abraham ; Tarelli, Andrea. In: European Journal of Operational Research. RePEc:eee:ejores:v:274:y:2019:i:1:p:357-374.

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2019Large data sets and machine learning: Applications to statistical arbitrage. (2019). Huck, Nicolas . In: European Journal of Operational Research. RePEc:eee:ejores:v:278:y:2019:i:1:p:330-342.

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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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2019Option prices and implied volatility in the crude oil market. (2019). Lorentzen, Sindre ; Soini, Vesa. In: Energy Economics. RePEc:eee:eneeco:v:83:y:2019:i:c:p:515-539.

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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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2019Review of new trends in the literature on factor models and mutual fund performance. (2019). Mateus, Cesario ; Todorovic, Natasa. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:344-354.

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2019Valuation of catastrophe equity put options with correlated default risk and jump risk. (2019). Wang, Xingchun ; Bi, Hongwei. In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:323-329.

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2019Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 options market. (2019). Skiadopoulos, George ; Neumann, Michael ; Konstantinidi, Eirini ; Kapetanios, George. In: Journal of Financial Markets. RePEc:eee:finmar:v:46:y:2019:i:c:s1386418118300168.

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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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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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2019Does the volatility of volatility risk forecast future stock returns?. (2019). JAWADI, Fredj ; Fu, XI ; Bu, Ruijun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:61:y:2019:i:c:p:16-36.

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2019Price discrimination against retail Investors: Evidence from mini options. (2019). Zhong, Zhaodong ; Zhao, Chen ; Li, Yubin . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:106:y:2019:i:c:p:50-64.

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2019Explaining CDS prices with Merton’s model before and after the Lehman default. (2019). Marra, Miriam ; Gemmill, Gordon . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:106:y:2019:i:c:p:93-109.

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2019An equilibrium model of risk management spillover. (2019). Ye, Zhiqiang ; Qiu, Zhigang ; Jiang, Ying ; Huang, Shiyang. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:107:y:2019:i:c:3.

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2019Endogenous asymmetric money illusion. (2019). Saporito, Yuri F ; Duarte, Diogo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:109:y:2019:i:c:s0378426619302559.

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2019Stock vs. Bond yields and demographic fluctuations. (2019). Morin, Annaig ; Gozluklu, Arie . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:109:y:2019:i:c:s0378426619302572.

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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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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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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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2019Occupation-induced status, social norms, and economic growth. (2019). Litina, Anastasia ; Kontogiannis, Nikolaos ; Varvarigos, Dimitrios. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:163:y:2019:i:c:p:348-360.

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2019Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets. (2019). Leippold, Markus ; Gourier, Elise ; Bardgett, Chris. In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:3:p:593-618.

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2019Industry familiarity and trading: Evidence from the personal portfolios of industry insiders. (2019). Rossi, Andrea ; Birru, Justin ; Ben-David, Itzhak. In: Journal of Financial Economics. RePEc:eee:jfinec:v:132:y:2019:i:1:p:49-75.

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2019Volatility and the cross-section of corporate bond returns. (2019). Wu, Chunchi ; Wang, Junbo ; Chung, Kee H. In: Journal of Financial Economics. RePEc:eee:jfinec:v:133:y:2019:i:2:p:397-417.

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2019The impact of ownership structure on conditional and unconditional conservatism in China: Some new evidence. (2019). Liu, Sun. In: Journal of International Accounting, Auditing and Taxation. RePEc:eee:jiaata:v:34:y:2019:i:c:p:49-68.

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2019Early 60s is not old enough: Evidence from twenty-one countries’ equity fund markets. (2019). Kim, Young-Min ; Lee, Bong-Soo. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:92:y:2019:i:c:p:62-74.

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2019VIX derivatives: Valuation models and empirical evidence. (2019). Yu, Min-Teh ; Wang, Yaw-Huei ; Shih, Pai-Ta ; Lo, Chien-Ling. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:53:y:2019:i:c:p:1-21.

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2019Downside jump risk and the levels of futures-cash basis. (2019). Chen, Chin-Ho. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:57:y:2019:i:c:s0927538x19300745.

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2019Policy uncertainty exposure and market value: Evidence from China. (2019). Zhou, Sili ; Zhang, Yubing ; Yu, Yiwei ; Yang, Zhenyi . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:57:y:2019:i:c:s0927538x1930126x.

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2019Do multiple large shareholders reduce agency problems in state-controlled listed firms? Evidence from China. (2019). Wang, Lihong ; Lin, Sen ; Huyghebaert, Nancy ; Chen, Fengqin. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:57:y:2019:i:c:s0927538x19301805.

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2019Bayesian statistical inference for European options with stock liquidity. (2019). Lin, Lisha ; Gao, Rui. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:518:y:2019:i:c:p:312-322.

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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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2019Testing the alternative two-state options pricing models: An empirical analysis on TXO. (2019). Su, EnDer ; Wong, Kai Wen . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:72:y:2019:i:c:p:101-116.

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2019Pricing discrete barrier options under jump-diffusion model with liquidity risk. (2019). Li, Zhe ; Zhang, Yue ; Liu, Yong-Jun. In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:347-368.

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2019Volatility information trading in the index options market: An intraday analysis. (2019). Ryu, Doojin ; Kutan, Ali M ; Yang, Heejin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:64:y:2019:i:c:p:412-426.

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2019Price discovery in the price disagreement between equity and option markets: Evidence from SSE ETF50 options of China. (2019). Lung, Peter ; Hughen, Christopher J ; Qiu, QI ; Liu, Dehong . In: International Review of Economics & Finance. RePEc:eee:reveco:v:64:y:2019:i:c:p:557-571.

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2019An Empirical Investigation of the Performance of Japanese Mutual Funds: Skill or Luck?. (2019). Pilbeam, Keith ; Preston, Hamish. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:7:y:2019:i:1:p:6-:d:198648.

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2019Volatility Integration in Spot, Futures and Options Markets: A Regulatory Perspective. (2019). Athaley, Chaitaly ; Rastogi, Shailesh . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:98-:d:238426.

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2019Population Aging, Household Savings and Asset Prices: A Study Based on Urban Commercial Housing Prices. (2019). Zeng, Guowang ; Wang, Xiaowei ; Zhang, Xinwei . In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:11:p:3194-:d:238051.

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2020Risk-Intolerant but Risk-Taking—Towards a Better Understanding of Inconsistent Survey Responses of the Euro Area Households. (2020). Ulman, Pawe ; Kochaniak, Katarzyna. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:17:p:6912-:d:403913.

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2020The Investment Performance of U.S. Islamic Mutual Funds. (2020). Soriano, Pilar ; Molla, Paula ; Climent, Francisco. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:9:p:3530-:d:350530.

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2019Option Trading Volumes and Their Impact on Stock Prices at Earnings’ Announcements: A Study of S & P100 Stocks in the Post Crisis Era 2010-2017. (2019). Huynh, Thuy Khang ; Shenai, Vijay. In: International Journal of Academic Research in Accounting, Finance and Management Sciences. RePEc:hur:ijaraf:v:9:y:2019:i:3:p:83-103.

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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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2019Preferences over wealth. (2019). Gechert, Sebastian ; Siebert, Jan. In: IMK Working Paper. RePEc:imk:wpaper:200-2019.

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2019Informed Options Trading Prior to Takeover Announcements: Insider Trading?. (2019). Subrahmanyam, Marti G ; Brenner, Menachem ; Augustin, Patrick. In: Management Science. RePEc:inm:ormnsc:v:65:y:2019:i:12:p:5697-5720.

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2019Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in an Incomplete Market. (2019). Jarrow, Robert ; Hsieh, Peilin. In: Management Science. RePEc:inm:ormnsc:v:65:y:2019:i:4:p:1833-1854.

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2019The Pricing of Jump Propagation: Evidence from Spot and Options Markets. (2019). Luo, Dan ; Du, Du. In: Management Science. RePEc:inm:ormnsc:v:65:y:2019:i:5:p:2360-2387.

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2019Good and Bad Variance Premia and Expected Returns. (2019). Shaliastovich, Ivan ; Kilic, Mete . In: Management Science. RePEc:inm:ormnsc:v:65:y:2019:i:6:p:2522-2544.

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2019Market Timing with Option-Implied Distributions in an Exponentially Tempered Stable Lévy Market. (2019). Polaski, Zachary ; Guerra, Manuel. In: Working Papers REM. RePEc:ise:remwps:wp0742019.

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2020.

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2019Optimal demand in a mispriced asymmetric Carr–Geman–Madan–Yor (CGMY) economy. (2019). Perera, Sandun ; Buckley, Winston. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:3:d:10.1007_s10436-018-0335-2.

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2019Dynamic portfolio strategies under a fully correlated jump-diffusion process. (2019). Moreno-Franco, Harold A ; Escobar-Anel, Marcos. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:3:d:10.1007_s10436-019-00350-3.

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2019Testing the Predictive Ability of Corridor Implied Volatility Under GARCH Models. (2019). Lu, Shan. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:26:y:2019:i:2:d:10.1007_s10690-018-9262-5.

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2019Quanto Option Pricing with Lévy Models. (2019). Park, Jiho ; Fabozzi, Frank J ; Kim, Young S ; Fallahgoul, Hasan A. In: Computational Economics. RePEc:kap:compec:v:53:y:2019:i:3:d:10.1007_s10614-018-9807-8.

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2019A general closed form option pricing formula. (2019). Necula, Ciprian ; Farkas, Walter ; Drimus, Gabriel . In: Review of Derivatives Research. RePEc:kap:revdev:v:22:y:2019:i:1:d:10.1007_s11147-018-9144-z.

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2019Empirical performance of reduced-form models for emission permit prices. (2019). Uhrig-Homburg, Marliese ; Hitzemann, Steffen. In: Review of Derivatives Research. RePEc:kap:revdev:v:22:y:2019:i:3:d:10.1007_s11147-018-09152-7.

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2019Relative option liquidity and price efficiency. (2019). Du, Brian. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:52:y:2019:i:4:d:10.1007_s11156-018-0738-1.

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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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2019Inequality, the risk of secular stagnation and the increase in household deb. (2019). Rannenberg, Ansgar. In: Working Paper Research. RePEc:nbb:reswpp:201908-375.

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2020A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims. (2020). Zhuo, Xiaoyang ; Nawalkha, Sanjay K. In: OSF Preprints. RePEc:osf:osfxxx:hsxtu.

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2020Do smart beta ETFs deliver persistent performance?. (2020). Soggiu, Marco ; Mateus, Irina B. In: Journal of Asset Management. RePEc:pal:assmgt:v:21:y:2020:i:5:d:10.1057_s41260-020-00174-1.

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2019Capitalist Views and Religion. (2019). Burrus, Robert T ; Hadsell, Lester ; Jones, Adam T. In: Eastern Economic Journal. RePEc:pal:easeco:v:45:y:2019:i:3:d:10.1057_s41302-019-00138-3.

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2020The spirit of capitalism and optimal capital taxation. (2020). zou, heng-fu ; Wang, Gaowang ; Li, Fanghui. In: MPRA Paper. RePEc:pra:mprapa:100539.

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

Works by Zhiwu Chen:


YearTitleTypeCited
1996The Spirit of Capitalism and Stock-Market Prices. In: American Economic Review.
[Full Text][Citation analysis]
article163
1996The Spirit of Capitalism and Stock-Market Prices.(1996) In: CEMA Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 163
paper
1997 Equilibrium Valuation of Foreign Exchange Claims. In: Journal of Finance.
[Full Text][Citation analysis]
article41
1995Equilibrium Valuation of Foreign Exchange Claims.(1995) In: Research in Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 41
paper
1996Equilibrium Valuation of Foreign Exchange Claims.(1996) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 41
paper
1996Equilibrium Valuation of Foreign Exchange Claims.(1996) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 41
paper
1997 Empirical Performance of Alternative Option Pricing Models. In: Journal of Finance.
[Full Text][Citation analysis]
article666
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: 666
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: 666
paper
1994A PRICING OPERATOR‐BASED TESTING FOUNDATION FOR A CLASS OF FACTOR PRICING MODELS In: Mathematical Finance.
[Full Text][Citation analysis]
article0
2013Capital Freedom in China as Viewed from the Evolution of the Stock Market In: Cato Journal.
[Full Text][Citation analysis]
article0
2001Viable Costs and Equilibrium Prices in Frictional Securities Markets In: Annals of Economics and Finance.
[Full Text][Citation analysis]
article2
2003Capital markets and legal development: The China case In: China Economic Review.
[Full Text][Citation analysis]
article23
2000Pricing and hedging long-term options In: Journal of Econometrics.
[Full Text][Citation analysis]
article84
1998Pricing and Hedging Long-Term Options.(1998) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 84
paper
2005Stock valuation in dynamic economies In: Journal of Financial Markets.
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article17
2001Stock Valuation in Dynamic Economics.(2001) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 17
paper
1995Financial Innovation and Arbitrage Pricing in Frictional Economies In: Journal of Economic Theory.
[Full Text][Citation analysis]
article12
1997An alternative valuation model for contingent claims In: Journal of Financial Economics.
[Full Text][Citation analysis]
article36
1996An Alternative Valuation Model for Contingent Claims.(1996) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 36
paper
1995Production-based asset pricing in Japan In: Pacific-Basin Finance Journal.
[Full Text][Citation analysis]
article5
2005Volatility of the Stochastic Discount Factor, and the Distinction between Risk-Neutral and Objective Probability Measures In: Working Papers in Economics.
[Full Text][Citation analysis]
paper1
2012Financial Strategies for Nation Building In: NBER Chapters.
[Full Text][Citation analysis]
chapter0
2000Do Call Prices and the Underlying Stock Always Move in the Same Direction? In: Review of Financial Studies.
[Citation analysis]
article58
1999Do 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: 58
paper
1995Measurement of Market Integration and Arbitrage. In: Review of Financial Studies.
[Full Text][Citation analysis]
article67
1996Inflation, Asset Prices, and the Term Structure of Interest Rates in Monetary Economies. In: Review of Financial Studies.
[Full Text][Citation analysis]
article62
1998Inflation, Asset Prices and the Term Structure of Interest Rates in Monetary Economies.(1998) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 62
paper
1996Portfolio Performance Measurement: Theory and Applications. In: Review of Financial Studies.
[Full Text][Citation analysis]
article105
1998Portfolio Performance Measurement: Theory and Applications.(1998) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 105
paper
1994Baby Boom, Population Aging, and Capital Markets. In: The Journal of Business.
[Full Text][Citation analysis]
article90
2005Informational Content of Option Volume Prior to Takeovers In: The Journal of Business.
[Full Text][Citation analysis]
article110
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: 110
paper
1995An Alternative Model for Contingent Claims In: Research in Financial Economics.
[Full Text][Citation analysis]
paper0
2004Stock Valuation and Investment Strategies In: Finance.
[Full Text][Citation analysis]
paper5
2001Stock Valuation and Investment Strategies.(2001) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper
2001A Valuation Study of Stock-Market Seasonality and Firm Size In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
paper4
2002Discounts On Illiquid Stocks: Evidence From China In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
paper8
2006Price Impact Costs and the Limit of Arbitrage In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
paper23

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