Zhiwu Chen : Citation Profile


Are you Zhiwu Chen?

Cheung Kong Graduate School of Business

15

H index

16

i10 index

1875

Citations

RESEARCH PRODUCTION:

18

Articles

20

Papers

1

Chapters

RESEARCH ACTIVITY:

   19 years (1994 - 2013). See details.
   Cites by year: 98
   Journals where Zhiwu Chen has often published
   Relations with other researchers
   Recent citing documents: 112.    Total self citations: 7 (0.37 %)

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   Permalink: http://citec.repec.org/pch1415
   Updated: 2022-10-01    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 (26)

Stentoft, Lars (16)

Garcia, René (13)

Gong, Liutang (12)

Goetzmann, William (11)

Rombouts, Jeroen (11)

Wu, Liuren (11)

Fengler, Matthias (11)

Lo, Andrew (10)

Renault, Eric (10)

Cites to:

Shleifer, Andrei (13)

Constantinides, George (12)

Vishny, Robert (9)

Cao, Charles (9)

Shiller, Robert (7)

Campbell, John (7)

Stulz, René (7)

Prescott, Edward (6)

Fama, Eugene (6)

La Porta, Rafael (6)

Longstaff, Francis (6)

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 (2022 and 2021)


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

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

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2022A 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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2021Rough Heston: the SINC way. (2020). Rossi, Pietro ; Romagnoli, Silvia ; Bormetti, Giacomo ; Baschetti, Fabio. In: Papers. RePEc:arx:papers:2009.00557.

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

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

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

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2021Behavioral Bias Benefits: Beating Benchmarks By Bundling Bouncy Baskets. (2021). Kashyap, Ravi. In: Papers. RePEc:arx:papers:2109.03740.

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2021Pricing S&P 500 Index Options with L\evy Jumps. (2021). Liang, Nan ; Xie, Bin. In: Papers. RePEc:arx:papers:2111.10033.

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2022Option Pricing with State-dependent Pricing Kernel. (2021). Huang, Zhuo ; Hansen, Peter Reinhard ; Tong, Chen. In: Papers. RePEc:arx:papers:2112.05308.

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2022Option Volume Imbalance as a predictor for equity market returns. (2022). Howison, Sam ; Cucuringu, Mihai ; Michael, Nikolas. In: Papers. RePEc:arx:papers:2201.09319.

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2022Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943.

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2022Hedging option books using neural-SDE market models. (2022). Wang, Sheng ; Reisinger, Christoph ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:2205.15991.

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

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2021Option-Implied Network Measures of Tail Contagion and Stock Return Predictability. (2021). Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp21154.

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

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2021Implied 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.

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2021Behavioural Bias Benefits: Beating Benchmarks By Bundling Bouncy Baskets. (2021). Kashyap, Ravi. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:3:p:4885-4921.

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2022Shorting 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.

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2021Informed 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.

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2021The 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.

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2021Option 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.

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2021How do Interest Rate Changes Affect Mortgage Curtailments? Evidence from China. (2021). Zeng, Hongchao ; Wu, Qun ; Liu, Chunlin ; Kuang, Weida ; Dakuang, Wei . In: Real Estate Economics. RePEc:bla:reesec:v:49:y:2021:i:s2:p:395-427.

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2022FX option volume. (2022). Wang, Tianyu ; Huang, Shiyang ; Della Corte, Pasquale ; Czech, Robert. In: Bank of England working papers. RePEc:boe:boeewp:0964.

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2022The Performance of Socially Responsible Investments: A Meta-Analysis. (2022). Yuksel, Gul ; Hornuf, Lars. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9724.

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2021Risk 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.

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

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

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2021Option-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.

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2022The 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.

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

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2022Pricing 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.

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

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

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

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2021Stochastic 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.

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2022Non-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.

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2021Risk 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.

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2021Reserve currency and the volatility of clean energy stocks: The role of uncertainty. (2021). Soytas, Ugur ; Kocaarslan, Baris. In: Energy Economics. RePEc:eee:eneeco:v:104:y:2021:i:c:s014098832100503x.

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2022Chinas 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.

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

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

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2021Trump 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.

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2021VCRIX — 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.

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2022Options 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.

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2022Price 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.

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

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2021The predictive content of oil price and volatility: New evidence on exchange rate forecasting. (2021). Hu, Liang ; Breen, John David. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:75:y:2021:i:c:s1042443121001621.

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2022Does the world smile together? A network analysis of global index option implied volatilities. (2022). Tang, Jing ; Ryu, Doojin ; Han, Qian ; Chen, Jing. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:77:y:2022:i:c:s1042443121002018.

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

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2022Directors’ and officers’ liability insurance: Evidence from independent directors’ voting. (2022). Zhu, Jigao ; Yang, Tina ; Li, Tianshi. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:138:y:2022:i:c:s0378426622000255.

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2021The effect of COVID – 19 pandemic on global stock market volatility: Can economic strength help to manage the uncertainty?. (2021). Chowdhury, Anup ; Uddin, Moshfique ; Chaudhuri, Kausik ; Anderson, Keith. In: Journal of Business Research. RePEc:eee:jbrese:v:128:y:2021:i:c:p:31-44.

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2021Evaluating the performance of U.S. international equity closed-end funds. (2021). Fletcher, Jonathan. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:60:y:2021:i:c:s1042444x21000165.

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2021The implied volatility smirk in the Chinese equity options market. (2021). Zhang, Jin E ; Gehricke, Sebastian A ; Yue, Tian ; Pan, Zheyao. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:69:y:2021:i:c:s0927538x21001311.

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

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2021Chinese Economic Policy Uncertainty and the Cross-Section of U.S. Asset Returns. (2021). Nam, Eun-Young ; Jeon, Yoontae ; Lee, Kiryoung. In: International Review of Economics & Finance. RePEc:eee:reveco:v:76:y:2021:i:c:p:1063-1077.

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2022Information content of order imbalance in the index options market. (2022). Sensoy, Ahmet ; Omole, John. In: International Review of Economics & Finance. RePEc:eee:reveco:v:78:y:2022:i:c:p:418-432.

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2021Stock and bond joint pricing, consumption surplus, and inflation news. (2021). Nazimoff, Jonas J ; Terence, Ka Wai ; Wong, Tat Wing ; Lou, Jun. In: Research in International Business and Finance. RePEc:eee:riibaf:v:58:y:2021:i:c:s0275531921000477.

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2021Wealth in the Utility Function and Consumption Inequality. (2021). zou, heng-fu ; Nie, Jun ; Luo, Yulei. In: Research Working Paper. RePEc:fip:fedkrw:93600.

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2021Maximum Entropy Evaluation of Asymptotic Hedging Error under a Generalised Jump-Diffusion Model. (2021). Sriananthakumar, Sivagowry ; Tchatoka, Firmin Doko ; Alavifard, Farzad. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:3:p:97-:d:507723.

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2022On the Asymptotic Behavior of the Optimal Exercise Price Near Expiry of an American Put Option under Stochastic Volatility. (2022). Zhu, Song-Ping ; Chen, Wenting. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:5:p:189-:d:797113.

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2022The Generalized Gamma Distribution as a Useful RND under Heston’s Stochastic Volatility Model. (2022). Boukai, Benzion. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:6:p:238-:d:824638.

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2021.

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2021Trends and Development of the Directors’ Duty of Loyalty in China: A Case Analysis. (2021). Zhao, Jingchen ; Wen, Shuangge. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:15:p:8589-:d:606713.

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2021Long-run equilibrium in international assets and goods markets: Why is the Law of One Price required?. (2021). Fontaine, Patrice ; Bosi, Stefano ; le Van, Cuong. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-03330856.

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2021Long-run equilibrium in international assets and goods markets: Why is the Law of One Price required?. (2021). Fontaine, Patrice ; Bosi, Stefano ; le Van, Cuong. In: Post-Print. RePEc:hal:journl:hal-03330856.

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2022Pricing for a vulnerable bull spread options using a mixed modified fractional Hull-White-Vasicek model. (2022). Kamdem, Jules Sadefo ; Djeutcha, Eric. In: Post-Print. RePEc:hal:journl:hal-03675886.

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2021Long-run equilibrium in international assets and goods markets: Why is the Law of One Price required?. (2021). Fontaine, Patrice ; Bosi, Stefano ; le Van, Cuong. In: PSE-Ecole d'économie de Paris (Postprint). RePEc:hal:pseptp:hal-03330856.

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

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

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2021Ideal Investment Protection in Optimistic Perceptions: Evidence From the Indian Equity Options Market. (2021). Varghese, James ; Jose, Babu. In: International Journal of Financial Research. RePEc:jfr:ijfr11:v:12:y:2021:i:2:p:327-340.

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2021A Semiparametric Model for Bond Pricing with Life Cycle Fundamental. (2021). Liu, Linlin ; Chen, Jiazi ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202102.

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

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

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

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2022Analytically Pricing European Options under a New Two-Factor Heston Model with Regime Switching. (2022). He, Xin-Jiang ; Lin, Sha. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:3:d:10.1007_s10614-021-10117-6.

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2022Corporate bond yields and returns: a survey. (2022). Heck, Stephanie. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:36:y:2022:i:2:d:10.1007_s11408-021-00394-4.

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2021Quantifying loss aversion: Evidence from a UK population survey. (2021). Cannon, Edmund ; Wright, Douglas ; Blake, David. In: Journal of Risk and Uncertainty. RePEc:kap:jrisku:v:63:y:2021:i:1:d:10.1007_s11166-021-09356-7.

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2022Robust consumption policy with the desire for wealth accumulation. (2022). Gong, Siwen ; Niu, Yingjie ; Wang, Yuanping. In: Review of Economics of the Household. RePEc:kap:reveho:v:20:y:2022:i:3:d:10.1007_s11150-021-09551-0.

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2021Option pricing under stock market cycles with jump risks: evidence from the S&P 500 index. (2021). Lin, Shih-Kuei ; Chuang, Ming-Che ; Shyu, So-De ; Wang, Shin-Yun. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:56:y:2021:i:1:d:10.1007_s11156-020-00885-x.

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2021Joint estimation of volatility risk and tail risk premia with time-varying macro-state-dependent property. (2021). Gu, Yuchi ; Chen, SonNan . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:56:y:2021:i:4:d:10.1007_s11156-020-00925-6.

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2021Assessing models of individual equity option prices. (2021). Zhong, Zhaodong ; Cao, Charles ; Bakshi, Gurdip. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:57:y:2021:i:1:d:10.1007_s11156-020-00951-4.

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2022Option pricing with random risk aversion. (2022). Poon, Ser-Huang ; Vitiello, Luiz. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:58:y:2022:i:4:d:10.1007_s11156-021-01034-8.

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2021Innovation and Informed Trading: Evidence from Industry ETFs. (2021). Ohara, Maureen ; Huang, Shiyang ; Goldstein, Itay ; Zhong, Zhuo. In: Review of Financial Studies. RePEc:oup:rfinst:v:34:y:2021:i:3:p:1280-1316..

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2022Dividend predictability and higher moment risk premia. (2022). Al-Jaaf, Aty. In: Journal of Asset Management. RePEc:pal:assmgt:v:23:y:2022:i:2:d:10.1057_s41260-021-00244-y.

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2022A meta-measure of performance related to both investors and investments characteristics. (2022). Pelizzon, Loriana ; Maillet, Bertrand ; Billio, Monica. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:2:d:10.1007_s10479-020-03771-w.

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2021COVID-19 pandemic and the crude oil market risk: hedging options with non-energy financial innovations. (2021). Salisu, Afees ; Obiora, Kingsley. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00253-1.

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2021The effect of option trading. (2021). Li, Keming. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00279-5.

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2021.

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2021A semianalytical formula for European options under a hybrid Heston–Cox–Ingersoll–Ross model with regime switching. (2021). Chen, Wenting. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:343-352.

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2021The impact of net buying pressure on index options prices. (2021). Ryu, Doowon ; Yang, Heejin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:1:p:27-45.

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2021The implied volatility smirk of commodity options. (2021). Ruan, Xinfeng ; Jia, Xiaolan ; Zhang, Jin E. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:1:p:72-104.

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2021Volatility?of?volatility risk in the crude oil market. (2021). Zhao, Yang ; Xu, Yahua ; Touranirad, Alireza ; Roh, Taiyong. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:2:p:245-265.

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2021The traders rule and long?term options. (2021). Song, In Jung ; Kim, Sol. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:3:p:406-436.

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2021The term structure of the VXX option smirk: Pricing VXX option with a two?factor model and asymmetry jumps. (2021). Zhang, Zili ; Zhao, Xuejun ; Li, Shenghong ; Lin, Wei ; Wang, Chengxiang ; Tan, Xiaoyu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:4:p:439-457.

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2021On the computation of hedging strategies in affine GARCH models. (2021). Badescu, Alexandru ; Augustyniak, Maciej. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:5:p:710-735.

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2021Portfolio of Volatility Smiles versus Volatility Surface: Implications for pricing and hedging options. (2021). Kim, Sol. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:7:p:1154-1176.

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2021Smile?implied hedging with volatility risk. (2021). Stentoft, Lars ; Franois, Pascal. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:8:p:1220-1240.

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2021Investor sentiment, misreaction, and the skewness?return relationship. (2021). Chen, Chinho. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:9:p:1427-1455.

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2022One session options: Playing the announcement lottery?. (2022). Robertson, Cameron D ; Liu, Zhangxin ; Smales, Lee A. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:2:p:192-211.

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2022Speculation or hedging?—Options trading prior to FOMC announcements. (2022). Pan, Guanzhong ; Jiang, George J. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:2:p:212-230.

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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]
article198
1996The Spirit of Capitalism and Stock-Market Prices.(1996) In: CEMA Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 198
paper
1997 Equilibrium Valuation of Foreign Exchange Claims. In: Journal of Finance.
[Full Text][Citation analysis]
article46
1995Equilibrium Valuation of Foreign Exchange Claims.(1995) In: Research in Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 46
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: 46
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: 46
paper
1997 Empirical Performance of Alternative Option Pricing Models. In: Journal of Finance.
[Full Text][Citation analysis]
article783
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: 783
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: 783
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]
article3
2003Capital markets and legal development: The China case In: China Economic Review.
[Full Text][Citation analysis]
article27
2000Pricing and hedging long-term options In: Journal of Econometrics.
[Full Text][Citation analysis]
article88
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: 88
paper
2005Stock valuation in dynamic economies In: Journal of Financial Markets.
[Full Text][Citation analysis]
article24
2001Stock Valuation in Dynamic Economics.(2001) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 24
paper
1995Financial Innovation and Arbitrage Pricing in Frictional Economies In: Journal of Economic Theory.
[Full Text][Citation analysis]
article15
1997An alternative valuation model for contingent claims In: Journal of Financial Economics.
[Full Text][Citation analysis]
article43
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: 43
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]
chapter1
2000Do Call Prices and the Underlying Stock Always Move in the Same Direction? In: Review of Financial Studies.
[Citation analysis]
article72
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: 72
paper
1995Measurement of Market Integration and Arbitrage. In: Review of Financial Studies.
[Full Text][Citation analysis]
article78
1996Inflation, Asset Prices, and the Term Structure of Interest Rates in Monetary Economies. In: Review of Financial Studies.
[Full Text][Citation analysis]
article79
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: 79
paper
1996Portfolio Performance Measurement: Theory and Applications. In: Review of Financial Studies.
[Full Text][Citation analysis]
article117
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: 117
paper
1994Baby Boom, Population Aging, and Capital Markets. In: The Journal of Business.
[Full Text][Citation analysis]
article116
2005Informational Content of Option Volume Prior to Takeovers In: The Journal of Business.
[Full Text][Citation analysis]
article138
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: 138
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]
paper10
2006Price Impact Costs and the Limit of Arbitrage In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
paper22

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