Zhiwu Chen : Citation Profile


Are you Zhiwu Chen?

Cheung Kong Graduate School of Business

14

H index

15

i10 index

1453

Citations

RESEARCH PRODUCTION:

18

Articles

20

Papers

1

Chapters

RESEARCH ACTIVITY:

   19 years (1994 - 2013). See details.
   Cites by year: 76
   Journals where Zhiwu Chen has often published
   Relations with other researchers
   Recent citing documents: 168.    Total self citations: 7 (0.48 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pch1415
   Updated: 2019-11-10    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 (14)

Stentoft, Lars (12)

Garcia, René (11)

Wu, Liuren (11)

Alexander, Carol (10)

Goetzmann, William (10)

Nikitopoulos-Sklibosios, Christina (9)

Lo, Andrew (9)

merton, robert (9)

Rombouts, Jeroen (9)

Cites to:

Shleifer, Andrei (9)

Cao, Charles (9)

Constantinides, George (9)

Vishny, Robert (7)

Prescott, Edward (6)

Shiller, Robert (6)

Fama, Eugene (6)

Hansen, Lars (5)

Lopez-de-Silanes, Florencio (5)

French, Kenneth (5)

Longstaff, Francis (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 (2018 and 2017)


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

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2017What drives the regional integration of agribusiness stocks? Evidence in worldwide perspective. (2017). Valdes, Rodrigo . In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:258265.

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2018How Natural Disasters Affect the Evolution of Grain Markets: Evidence from 18th Century China. (2018). Ye, C ; Ruan, J ; Li, Y. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:277346.

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

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

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2017Option pricing with Legendre polynomials. (2017). Hok, Julien. In: Papers. RePEc:arx:papers:1610.03086.

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

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

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

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

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

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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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2019Trading 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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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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2017Retracted: Portfolio Allocation and Asset Returns in an OLG Economy with Increasing Risk Aversion. (2017). DaSilva, Amadeu ; Farka, Mira. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:4:p:836-836.

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

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

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2017Duration Dependence, Behavioral Restrictions, and the Market Timing Ability of Commodity Trading Advisors. (2017). Frömmel, Michael ; Mende, Alexander ; Frommel, Michael ; Elaut, Gert. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:3:p:427-450.

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2017“Love of wealth” and economic growth. (2017). Rehme, Günther. In: Review of Development Economics. RePEc:bla:rdevec:v:21:y:2017:i:4:p:1305-1326.

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

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

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

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

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

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2018Threshold effects of population aging on stock prices. (2018). Zhuo, Juanjuan ; Kumamoto, Masao . In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00962.

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

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2017Borrowing beyond borders: Foreign assets, lender choice, and loan pricing in the syndicated bank loan market. (2017). Houston, Joel F ; Naranjo, Andy ; Itzkowitz, Jennifer . In: Journal of Corporate Finance. RePEc:eee:corfin:v:42:y:2017:i:c:p:315-334.

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

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

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

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

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

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2018Does an aging population influence stock markets? Evidence from New Zealand. (2018). Hettihewa, Samanthala ; Zhang, Hanxiong ; Saha, Shrabani. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:142-158.

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

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

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

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

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

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

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2018On the theory of international currency portfolios. (2018). Kumhof, Michael. In: European Economic Review. RePEc:eee:eecrev:v:101:y:2018:i:c:p:376-396.

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

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

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

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

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

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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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2018Higher-moment liquidity risks and the cross-section of stock returns. (2018). Kim, Soonho ; Na, Haejung. In: Journal of Financial Markets. RePEc:eee:finmar:v:38:y:2018:i:c:p:39-59.

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2017National culture, population age, and other country factors in volume–price volatility relationship. (2017). Hua, Wei ; Wei, Peihwang . In: Global Finance Journal. RePEc:eee:glofin:v:32:y:2017:i:c:p:83-96.

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

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

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

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

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

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

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

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

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

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

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

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

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2018Oil volatility risk and expected stock returns. (2018). Christoffersen, Peter ; Pan, Xuhui . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:95:y:2018:i:c:p:5-26.

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

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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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2018Secular stagnation: Theory and remedies. (2018). Michau, Jean-Baptiste. In: Journal of Economic Theory. RePEc:eee:jetheo:v:176:y:2018:i:c:p:552-618.

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

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

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2018Asset pricing with beliefs-dependent risk aversion and learning. (2018). Berrada, Tony ; Rindisbacher, Marcel ; Detemple, Jerome ; De Temple, Jerome. In: Journal of Financial Economics. RePEc:eee:jfinec:v:128:y:2018:i:3:p:504-534.

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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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2018Household tenure choice and housing price volatility under a binding home-purchase limit policy constraint. (2018). Chen, Jiawei ; Zhang, Hong ; Seiler, Michael J ; Hui, Eddie Chi-Man. In: Journal of Housing Economics. RePEc:eee:jhouse:v:41:y:2018:i:c:p:124-134.

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2017The impact of equity incentive plans on analysts’ earnings forecasts and stock recommendations for Chinese listed firms: An empirical study. (2017). Liu, Sun. In: Journal of International Accounting, Auditing and Taxation. RePEc:eee:jiaata:v:29:y:2017:i:c:p:1-13.

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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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2017Contribution of R&D capital to differences in Tobins q among Japanese manufacturing firms: Evidence from an investment-based asset pricing model. (2017). Suzuki, Kazuyuki ; Chida, Ryokichi . In: Journal of the Japanese and International Economies. RePEc:eee:jjieco:v:43:y:2017:i:c:p:38-58.

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2018Keeping up with the Zhangs: Relative income and wealth, and household saving behavior. (2018). Gruber, Noam. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:55:y:2018:i:c:p:77-95.

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2017After the tide: Commodity currencies and global trade. (2017). Roussanov, Nikolai ; Ready, Robert ; Ward, Colin. In: Journal of Monetary Economics. RePEc:eee:moneco:v:85:y:2017:i:c:p:69-86.

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2017The cross-section and time series of stock and bond returns. (2017). Van Nieuwerburgh, Stijn ; Lustig, Hanno. In: Journal of Monetary Economics. RePEc:eee:moneco:v:88:y:2017:i:c:p:50-69.

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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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2018Testing CEV stochastic volatility models using implied volatility index data. (2018). Kim, Jungmu ; Ryu, Doojin ; Park, Yuen Jung. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:499:y:2018:i:c:p:224-232.

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2018Evidence of infinite and finite jump processes in commodity futures prices: Crude oil and natural gas. (2018). Linn, Scott ; Guernsey, Scott B ; Cao, Wenbin. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:502:y:2018:i:c:p:629-641.

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2018Estimating option greeks under the stochastic volatility using simulation. (2018). Shafi, Khuram ; Gulzar, Saqib ; Idrees, Zahra ; Shad, Shafqat Ali ; Latif, Natasha. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:503:y:2018:i:c:p:1288-1296.

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2018Wavelet analysis of the co-movement and lead–lag effect among multi-markets. (2018). Sun, QI ; Xu, Weidong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:512:y:2018:i:c:p:489-499.

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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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2018State-controlled companies and political risk: Evidence from the 2014 Brazilian election. (2018). guimaraes, bernardo ; Carvalho, Augusto. In: Journal of Public Economics. RePEc:eee:pubeco:v:159:y:2018:i:c:p:66-78.

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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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2018Economic analysis of a residential PV system from the timing perspective: A real option model. (2018). Moon, Yongma ; Baran, Mesut. In: Renewable Energy. RePEc:eee:renene:v:125:y:2018:i:c:p:783-795.

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2018Pricing and hedging barrier options under a Markov-modulated double exponential jump diffusion-CIR model. (2018). Chen, Son-Nan ; Hsu, Pao-Peng. In: International Review of Economics & Finance. RePEc:eee:reveco:v:56:y:2018:i:c:p:330-346.

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2018Financial liberalization and cross-border market integration: Evidence from Chinas stock market. (2018). Yao, Shujie ; Ou, Jinghua ; Chen, Shou. In: International Review of Economics & Finance. RePEc:eee:reveco:v:58:y:2018:i:c:p:220-245.

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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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2017Assessing financial and housing wealth effects through the lens of a nonlinear framework. (2017). Sousa, Ricardo ; JAWADI, Fredj ; Soparnot, Richard. In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pb:p:840-850.

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2017State-controlled companies and political risk: evidence from the 2014 Brazilian election. (2017). guimaraes, bernardo ; Carvalho, Augusto. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:86172.

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2017Reversals in Global Market Integration and Funding Liquidity. (2017). Malkhozov, Aytek ; Carrieri, Francesca ; Akbari, Amir. In: International Finance Discussion Papers. RePEc:fip:fedgif:1202.

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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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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.
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article146
1996The Spirit of Capitalism and Stock-Market Prices.(1996) In: CEMA Working Papers.
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This paper has another version. Agregated cites: 146
paper
1997 Equilibrium Valuation of Foreign Exchange Claims. In: Journal of Finance.
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article38
1995Equilibrium Valuation of Foreign Exchange Claims.(1995) In: Research in Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 38
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: 38
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: 38
paper
1997 Empirical Performance of Alternative Option Pricing Models. In: Journal of Finance.
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article620
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: 620
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: 620
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.
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article0
2001Viable Costs and Equilibrium Prices in Frictional Securities Markets In: Annals of Economics and Finance.
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article2
2003Capital markets and legal development: The China case In: China Economic Review.
[Full Text][Citation analysis]
article20
2000Pricing and hedging long-term options In: Journal of Econometrics.
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article78
1998Pricing and Hedging Long-Term Options.(1998) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 78
paper
2005Stock valuation in dynamic economies In: Journal of Financial Markets.
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article16
2001Stock Valuation in Dynamic Economics.(2001) In: Yale School of Management Working Papers.
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This paper has another version. Agregated cites: 16
paper
1995Financial Innovation and Arbitrage Pricing in Frictional Economies In: Journal of Economic Theory.
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article12
1997An alternative valuation model for contingent claims In: Journal of Financial Economics.
[Full Text][Citation analysis]
article33
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: 33
paper
1995Production-based asset pricing in Japan In: Pacific-Basin Finance Journal.
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article5
2005Volatility of the Stochastic Discount Factor, and the Distinction between Risk-Neutral and Objective Probability Measures In: Working Papers in Economics.
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paper1
2012Financial Strategies for Nation Building In: NBER Chapters.
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chapter0
2000Do Call Prices and the Underlying Stock Always Move in the Same Direction? In: Review of Financial Studies.
[Citation analysis]
article55
1999Do Call Prices and the Underlying Stock Always Move in the Same Direction?.(1999) In: Yale School of Management Working Papers.
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This paper has another version. Agregated cites: 55
paper
1995Measurement of Market Integration and Arbitrage. In: Review of Financial Studies.
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article66
1996Inflation, Asset Prices, and the Term Structure of Interest Rates in Monetary Economies. In: Review of Financial Studies.
[Full Text][Citation analysis]
article59
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: 59
paper
1996Portfolio Performance Measurement: Theory and Applications. In: Review of Financial Studies.
[Full Text][Citation analysis]
article96
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: 96
paper
1994Baby Boom, Population Aging, and Capital Markets. In: The Journal of Business.
[Full Text][Citation analysis]
article87
2005Informational Content of Option Volume Prior to Takeovers In: The Journal of Business.
[Full Text][Citation analysis]
article83
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: 83
paper
1995An Alternative Model for Contingent Claims In: Research in Financial Economics.
[Full Text][Citation analysis]
paper0
2004Stock Valuation and Investment Strategies In: Finance.
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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.
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paper4
2002Discounts On Illiquid Stocks: Evidence From China In: Yale School of Management Working Papers.
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paper6
2006Price Impact Costs and the Limit of Arbitrage In: Yale School of Management Working Papers.
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paper21

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