Zhuo Huang : Citation Profile


Are you Zhuo Huang?

Peking University

6

H index

3

i10 index

202

Citations

RESEARCH PRODUCTION:

7

Articles

3

Papers

RESEARCH ACTIVITY:

   6 years (2010 - 2016). See details.
   Cites by year: 33
   Journals where Zhuo Huang has often published
   Relations with other researchers
   Recent citing documents: 55.    Total self citations: 3 (1.46 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/phu309
   Updated: 2019-05-18    RAS profile: 2017-06-14    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

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

Is cited by:

Asai, Manabu (25)

McAleer, Michael (23)

Omori, Yasuhiro (13)

Baruník, Jozef (10)

Chang, Chia-Lin (7)

Takahashi, Makoto (7)

Gallo, Giampiero (7)

Hansen, Peter (6)

Vander Elst, Harry (6)

Krehlik, Tomas (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)

Hansen, Peter (6)

Rahbek, Anders (6)

Barndorff-Nielsen, Ole (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 (2018 and 2017)


YearTitle of citing document
2018Realizing Correlations Across Asset Classes. (2018). Elst, Harry Vander ; Olesen, Kasper V ; Lunde, Asger ; Gronborg, Niels S. In: CREATES Research Papers. RePEc:aah:create:2018-37.

Full description at Econpapers || Download paper

2017Volatility Forecasts Using Nonlinear Leverage Effects. (2017). Nakatsuma, Teruo ; McAlinn, Kenichiro ; Ushio, Asahi . In: Papers. RePEc:arx:papers:1605.06482.

Full description at Econpapers || Download paper

2017Bayesian Realized-GARCH Models for Financial Tail Risk Forecasting Incorporating Two-sided Weibull Distribution. (2017). Wang, Chao ; Gerlach, Richard ; Chen, Qian. In: Papers. RePEc:arx:papers:1707.03715.

Full description at Econpapers || Download paper

2018Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. In: Papers. RePEc:arx:papers:1708.09520.

Full description at Econpapers || Download paper

2018A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework. (2018). Wang, Chao ; Chen, Qian ; Gerlach, Richard. In: Papers. RePEc:arx:papers:1807.02422.

Full description at Econpapers || Download paper

2019Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations. (2018). Yamauchi, Yuta ; Omori, Yasuhiro. In: Papers. RePEc:arx:papers:1809.09928.

Full description at Econpapers || Download paper

2019Time series models for realized covariance matrices based on the matrix-F distribution. (2019). Zhu, Ke ; Li, Wai Keung ; Jiang, Feiyu ; Zhou, Jiayuan. In: Papers. RePEc:arx:papers:1903.12077.

Full description at Econpapers || Download paper

2018Forecasting Methods in Finance. (2018). Timmermann, Allan G. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12692.

Full description at Econpapers || Download paper

2018Anticipating electricity prices for future needs – Implications for liberalised retail markets. (2018). Allan, Tian Sheng ; le Ng, Jia. In: Applied Energy. RePEc:eee:appene:v:212:y:2018:i:c:p:244-264.

Full description at Econpapers || Download paper

2018News and expected returns in East Asian equity markets: The RV-GARCHM model. (2018). Yao, Wenying ; Tang, Chrismin ; Martin, Vance L. In: Journal of Asian Economics. RePEc:eee:asieco:v:57:y:2018:i:c:p:36-52.

Full description at Econpapers || Download paper

2018Model Complexity and Out-of-Sample Performance: Evidence from S&P 500 Index Returns. (2018). Kaeck, Andreas ; Seeger, Norman J ; Rodrigues, Paulo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:90:y:2018:i:c:p:1-29.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2017Forecasting the oil futures price volatility: A new approach. (2017). Ma, Feng ; Chen, Wang ; Huang, Dengshi ; Liu, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:560-566.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2017Realized stochastic volatility with general asymmetry and long memory. (2017). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:2:p:202-212.

Full description at Econpapers || Download paper

2018Multivariate models with long memory dependence in conditional correlation and volatility. (2018). Dark, Jonathan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:162-180.

Full description at Econpapers || Download paper

2018Testing for leverage effects in the returns of US equities. (2018). Chorro, Christophe ; Lalaharison, Hanjarivo ; Ielpo, Florian ; Guegan, Dominique. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:290-306.

Full description at Econpapers || Download paper

2018Forecasting the WTI crude oil price by a hybrid-refined method. (2018). Chai, Jian ; Li, Jie-Xun ; Zhang, Zhe George ; Zhou, Xiao-Yang ; Xing, Li-Min. In: Energy Economics. RePEc:eee:eneeco:v:71:y:2018:i:c:p:114-127.

Full description at Econpapers || Download paper

2018WTI and Brent futures pricing structure. (2018). Scheitrum, Daniel ; Revoredo-Giha, Cesar ; Carter, Colin A. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:462-469.

Full description at Econpapers || Download paper

2019Liquidity, surprise volume and return premia in the oil market. (2019). Batten, Jonathan A ; Wagner, Niklas F ; Szilagyi, Peter G ; Kinateder, Harald. In: Energy Economics. RePEc:eee:eneeco:v:77:y:2019:i:c:p:93-104.

Full description at Econpapers || Download paper

2019Do high-frequency stock market data help forecast crude oil prices? Evidence from the MIDAS models. (2019). Zhang, Yue-Jun ; Wang, Jin-Li. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:192-201.

Full description at Econpapers || Download paper

2019A new variant of RealGARCH for volatility modeling. (2019). Xie, Haibin ; Wang, Shouyang ; Qi, Nan. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:438-443.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2017Realised variance forecasting under Box-Cox transformations. (2017). Taylor, Nick. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:770-785.

Full description at Econpapers || Download paper

2018Forecasting realized variance measures using time-varying coefficient models. (2018). Bekierman, Jeremias ; Manner, Hans. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:2:p:276-287.

Full description at Econpapers || Download paper

2018An approximate long-memory range-based approach for value at risk estimation. (2018). Meng, Xiaochun ; Taylor, James W. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:3:p:377-388.

Full description at Econpapers || Download paper

2019Approximate Bayesian forecasting. (2019). Frazier, David T ; Martin, Gael M ; Maneesoonthorn, Worapree. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:521-539.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2018Relating group size and posting activity of an online community of financial investors: Regularities and seasonal patterns. (2018). Racca, P ; Squazzoni, F ; Dondio, P ; Casarin, R. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:493:y:2018:i:c:p:458-466.

Full description at Econpapers || Download paper

2018Trading intensity and the volume-volatility relationship on the Tunis Stock Exchange. (2018). Karaa, Rabaa ; Hmaied, Dorra Mezzez ; Slim, Skander. In: Research in International Business and Finance. RePEc:eee:riibaf:v:44:y:2018:i:c:p:88-99.

Full description at Econpapers || Download paper

2018Volatility forecasting across tanker freight rates: The role of oil price shocks. (2018). Tsouknidis, Dimitris ; Gavriilidis, Konstantinos ; Tsakou, Katerina ; Kambouroudis, Dimos S. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:118:y:2018:i:c:p:376-391.

Full description at Econpapers || Download paper

2017Realized Stochastic Volatility with General Asymmetry and Long Memory. (2017). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Econometric Institute Research Papers. RePEc:ems:eureir:100161.

Full description at Econpapers || Download paper

2017Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory. (2017). McAleer, Michael ; Asai, Manabu ; Peiris, S. In: Econometric Institute Research Papers. RePEc:ems:eureir:102576.

Full description at Econpapers || Download paper

2018Bayesian Analysis of Realized Matrix-Exponential GARCH Models. (2018). McAleer, Michael ; Asai, Manabu. In: Econometric Institute Research Papers. RePEc:ems:eureir:104259.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2018Dynamic Connectedness of International Crude Oil Prices: The Diebold–Yilmaz Approach. (2018). Xiao, Xiaoyong ; Huang, Jing. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:9:p:3298-:d:169990.

Full description at Econpapers || Download paper

2018Dynamic hedging with futures: a copula-based GARCH model with high-frequency data. (2018). Lai, Yu-Sheng . In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:3:d:10.1007_s11147-018-9142-1.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2017Dynamic asset price jumps and the performance of high frequency tests and measures. (2017). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2017-14.

Full description at Econpapers || Download paper

2018Dynamic price jumps: The performance of high frequency tests and measures, and the robustness of inference. (2018). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2018-17.

Full description at Econpapers || Download paper

2018Approximate Bayesian forecasting. (2018). McCabe, Brendan ; Martin, Gael M ; Maneesoonthorn, Worapree ; Frazier, David T. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2018-2.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2018Time Varying Heteroskedastic Realized GARCH models for tracking measurement error bias in volatility forecasting. (2018). Gerlach, Richard ; Storti, Giuseppe ; Naimoli, Antonio. In: MPRA Paper. RePEc:pra:mprapa:83893.

Full description at Econpapers || Download paper

2018Do Global Crude Oil Markets Behave as One Great Pool? A Cyclical Analysis. (2018). Dar, Arif ; Bhanja, Niyati ; Tiwari, Aviral Kumar. In: Journal of Business Cycle Research. RePEc:spr:jbuscr:v:14:y:2018:i:2:d:10.1007_s41549-018-0028-y.

Full description at Econpapers || Download paper

2017Improving (E)GARCH forecasts with robust realized range measures: Evidence from international markets. (2017). de Melo, Beatriz Vaz ; Accioly, Victor Bello. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:41:y:2017:i:4:d:10.1007_s12197-017-9386-x.

Full description at Econpapers || Download paper

2018Fourier inference for stochastic volatility models with heavy-tailed innovations. (2018). Ebner, Bruno ; Meintanis, Simos G ; Klar, Bernhard . In: Statistical Papers. RePEc:spr:stpapr:v:59:y:2018:i:3:d:10.1007_s00362-016-0803-6.

Full description at Econpapers || Download paper

2018Volatility forecasting across tanker freight rates: the role of oil price shocks. (2018). Tsouknidis, Dimitris ; Tsakou, Katerina ; Kambouroudis, Dimos S ; Gavriilidis, Konstantinos. In: Working Papers. RePEc:swn:wpaper:2018-27.

Full description at Econpapers || Download paper

2017Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory. (2017). McAleer, Michael ; Asai, Manabu ; Peiris, Shelton. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170105.

Full description at Econpapers || Download paper

2018Bayesian Analysis of Realized Matrix-Exponential GARCH Models. (2018). McAleer, Michael ; Asai, Manabu. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180005.

Full description at Econpapers || Download paper

2017Forecasting the volatility of Nikkei 225 futures. (2017). McAleer, Michael ; Asai, Manabu. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1707.

Full description at Econpapers || Download paper

2017Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory. (2017). McAleer, Michael ; Asai, Manabu ; Peiris, Shelton. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1726.

Full description at Econpapers || Download paper

2018Bayesian analysis of realized matrix-exponential GARCH models. (2018). McAleer, Michael ; Asai, Manabu. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1804.

Full description at Econpapers || Download paper

2017A Bootstrap Approach for Generalized Autocontour Testing. Implications for VIX Forecast Densities. (2017). Veiga, Helena ; Ruiz, Esther ; Gonzalez-Rivera, Gloria ; Mazzeu, Joao Henrique . In: Working Papers. RePEc:ucr:wpaper:201709.

Full description at Econpapers || Download paper

2017Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Adaptive Mixing of High- and Low-Frequency Information. (2017). Hautsch, Nikolaus ; Voigt, Stefan. In: Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking. RePEc:zbw:vfsc17:168222.

Full description at Econpapers || Download paper

Works by Zhuo Huang:


YearTitleTypeCited
2010Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility In: CREATES Research Papers.
[Full Text][Citation analysis]
paper27
2012Exponential GARCH Modeling with Realized Measures of Volatility In: CREATES Research Papers.
[Full Text][Citation analysis]
paper27
2012Exponential GARCH Modeling with Realized Measures of Volatility.(2012) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27
paper
2016Exponential GARCH Modeling With Realized Measures of Volatility.(2016) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27
article
2012The Relationship between Volatility and Trading Volume in the Chinese Stock Market: A Volatility Decomposition Perspective In: Annals of Economics and Finance.
[Full Text][Citation analysis]
article6
2015The Spirit of Capitalism and the Equity Premium In: Annals of Economics and Finance.
[Full Text][Citation analysis]
article0
2015Is there a structural change in the persistence of WTI–Brent oil price spreads in the post-2010 period? In: Economic Modelling.
[Full Text][Citation analysis]
article7
2016Modeling long memory volatility using realized measures of volatility: A realized HAR GARCH model In: Economic Modelling.
[Full Text][Citation analysis]
article7
2014Estimation of extreme value-at-risk: An EVT approach for quantile GARCH model In: Economics Letters.
[Full Text][Citation analysis]
article1
2012Realized GARCH: a joint model for returns and realized measures of volatility In: Journal of Applied Econometrics.
[Citation analysis]
article127

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 4 2019. Contact: CitEc Team