Zhuo Huang : Citation Profile


Are you Zhuo Huang?

Peking University

4

H index

3

i10 index

131

Citations

RESEARCH PRODUCTION:

6

Articles

3

Papers

RESEARCH ACTIVITY:

   6 years (2010 - 2016). See details.
   Cites by year: 21
   Journals where Zhuo Huang has often published
   Relations with other researchers
   Recent citing documents: 29.    Total self citations: 3 (2.24 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/phu309
   Updated: 2017-06-24    RAS profile: 2017-06-14    
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Relations with other researchers


Works with:

Hansen, Peter (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Zhuo Huang.

Is cited by:

Baruník, Jozef (10)

Omori, Yasuhiro (10)

Asai, Manabu (8)

Gallo, Giampiero (7)

Takahashi, Makoto (7)

McAleer, Michael (6)

Vacha, Lukas (5)

Hansen, Peter (5)

Kristensen, Dennis (5)

Christoffersen, Peter (5)

Avdulaj, Krenar (5)

Cites to:

Bollerslev, Tim (20)

Engle, Robert (13)

Andersen, Torben (12)

Shephard, Neil (10)

Narayan, Paresh (9)

Diebold, Francis (8)

Sharma, Susan (7)

Gallo, Giampiero (7)

Rahbek, Anders (6)

Barndorff-Nielsen, Ole (6)

Hansen, Peter (6)

Main data


Where Zhuo Huang has published?


Journals with more than one article published# docs
Annals of Economics and Finance2
Economic Modelling2

Recent works citing Zhuo Huang (2017 and 2016)


YearTitle of citing document
2016Estimating relative price impact: The case of Brent and WTI. (2016). Karali, Berna ; Ye, Shiyu . In: 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts. RePEc:ags:aaea16:235728.

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2016Quantile Dependence between Stock Markets and its Application in Volatility Forecasting. (2016). Han, Heejoon. In: Papers. RePEc:arx:papers:1608.07193.

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2016Option-Implied Equity Premium Predictions via Entropic TiltinG. (2016). Pettenuzzo, Davide ; Metaxoglou, Konstantinos ; Smith, Aaron . In: Working Papers. RePEc:brd:wpaper:99r.

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2016Realised Variance Forecasting Under Box-Cox Transformations. (2016). Taylor, Nick. In: Bristol Accounting and Finance Discussion Papers. RePEc:bri:accfin:16/4.

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2016Multiplicative Conditional Correlation Models for Realized Covariance Matrices. (2016). Storti, Giuseppe ; Bauwens, Luc ; Braione, Manuela . In: CORE Discussion Papers. RePEc:cor:louvco:2016041.

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2016Tax reforms and stock return volatility: The case of Japan. (2016). Hayashida, Minoru ; Ono, Hiroyuki . In: Journal of Asian Economics. RePEc:eee:asieco:v:45:y:2016:i:c:p:1-14.

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2016Managing risk with a realized copula parameter. (2016). Fengler, Matthias ; Okhrin, Ostap . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:131-152.

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2017Forecasting the realized range-based volatility using dynamic model averaging approach. (2017). , ; Wei, YU ; Liu, Jing ; Ma, Feng . In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:12-26.

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2016Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data. (2016). Kim, Donggyu ; Wang, Yazhen . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:2:p:220-230.

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2016Modeling and forecasting exchange rate volatility in time-frequency domain. (2016). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef ; Krehlik, Tomas . In: European Journal of Operational Research. RePEc:eee:ejores:v:251:y:2016:i:1:p:329-340.

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2016Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX). (2016). Kristensen, Dennis ; Cavaliere, Giuseppe ; Rahbek, Anders ; Agosto, Arianna . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pb:p:640-663.

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2016Asymmetric information, volatility components and the volume–volatility relationship for the CAC40 stocks. (2016). Slim, Skander ; Dahmene, Meriam . In: Global Finance Journal. RePEc:eee:glofin:v:29:y:2016:i:c:p:70-84.

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2016Low and high prices can improve volatility forecasts during periods of turmoil. (2016). Fiszeder, Piotr ; Perczak, Grzegorz . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:2:p:398-410.

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2016Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution. (2016). Takahashi, Makoto ; Omori, Yasuhiro ; Watanabe, Toshiaki . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:2:p:437-457.

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2016Frontiers in VaR forecasting and backtesting. (2016). Ruiz, Esther ; Nieto, Maria Rosa . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:2:p:475-501.

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2017Realized volatility forecasting of agricultural commodity futures using the HAR model with time-varying sparsity. (2017). Chen, Langnan ; Tian, Fengping ; Yang, KE. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:132-152.

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2017Does realized volatility help bond yield density prediction?. (2017). Shin, Minchul ; Zhong, Molin . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:373-389.

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2017An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns. (2017). Sucarrat, Genaro ; Francq, Christian. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:153:y:2017:i:c:p:16-32.

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2016Forecasting stock market volatility using Realized GARCH model: International evidence. (2016). Sharma, Prateek ; Vipul, . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:59:y:2016:i:c:p:222-230.

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2016Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models. (2016). McAleer, Michael ; Asai, Manabu. In: Econometric Institute Research Papers. RePEc:ems:eureir:93114.

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2017A Fast Algorithm for the Computation of HAC Covariance Matrix Estimators. (2017). Heberle, Jochen ; Sattarhoff, Cristina . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:9-:d:88731.

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2017Testing for Leverage Effects in the Returns of US Equities. (2017). Chorro, Christophe ; Lalaharison, Hanjarivo ; Ielpo, Florian ; Guegan, Dominique . In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:14022r.

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2016Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures. (2016). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2016-8.

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2017Information Flow Interpretation of Heteroskedasticity for Capital Asset Pricing: An Expectation-based View of Risk. (2017). Senarathne, Chamil W ; Jayasinghe, Prabhath . In: MPRA Paper. RePEc:pra:mprapa:78771.

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2016Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models. (2016). McAleer, Michael ; Asai, Manabu ; Peiris, Shelton . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160044.

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2016Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model. (2016). Koopman, Siem Jan ; Hansen, Peter ; Janus, Pawel . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160061.

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2016Multiple-block Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity. (2016). Omori, Yasuhiro ; Kurose, Yuta . In: CIRJE F-Series. RePEc:tky:fseres:2016cf1024.

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2016Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations . (2016). Yamauchi, Yuta ; Omori, Yasuhiro . In: CIRJE F-Series. RePEc:tky:fseres:2016cf1029.

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2016Modeling and forecasting exchange rate volatility in time-frequency domain. (2016). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef ; Krehlik, Tomas . In: FinMaP-Working Papers. RePEc:zbw:fmpwps:55.

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Works by Zhuo Huang:


YearTitleTypeCited
2010Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility In: CREATES Research Papers.
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paper21
2012Exponential GARCH Modeling with Realized Measures of Volatility In: CREATES Research Papers.
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paper12
2012Exponential GARCH Modeling with Realized Measures of Volatility.(2012) In: Economics Working Papers.
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This paper has another version. Agregated cites: 12
paper
2012The Relationship between Volatility and Trading Volume in the Chinese Stock Market: A Volatility Decomposition Perspective In: Annals of Economics and Finance.
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article4
2015The Spirit of Capitalism and the Equity Premium In: Annals of Economics and Finance.
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article0
2015Is there a structural change in the persistence of WTI–Brent oil price spreads in the post-2010 period? In: Economic Modelling.
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article1
2016Modeling long memory volatility using realized measures of volatility: A realized HAR GARCH model In: Economic Modelling.
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article1
2014Estimation of extreme value-at-risk: An EVT approach for quantile GARCH model In: Economics Letters.
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article1
2012Realized GARCH: a joint model for returns and realized measures of volatility In: Journal of Applied Econometrics.
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article91

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