Zhuo Huang : Citation Profile


Are you Zhuo Huang?

Peking University

10

H index

10

i10 index

420

Citations

RESEARCH PRODUCTION:

17

Articles

5

Papers

RESEARCH ACTIVITY:

   11 years (2010 - 2021). See details.
   Cites by year: 38
   Journals where Zhuo Huang has often published
   Relations with other researchers
   Recent citing documents: 95.    Total self citations: 7 (1.64 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/phu309
   Updated: 2022-05-21    RAS profile: 2021-12-30    
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Relations with other researchers


Works with:

Wang, Tianyi (5)

Hansen, Peter (2)

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 (19)

McAleer, Michael (15)

Omori, Yasuhiro (12)

Baruník, Jozef (10)

Xu, Dinghai (10)

Takahashi, Makoto (9)

Gallo, Giampiero (8)

Hansen, Peter (8)

Vander Elst, Harry (7)

Chang, Chia-Lin (6)

Wang, Tianyi (6)

Cites to:

Bollerslev, Tim (25)

Hansen, Peter (22)

Engle, Robert (17)

Andersen, Torben (15)

Shephard, Neil (15)

Christoffersen, Peter (11)

Barndorff-Nielsen, Ole (10)

Diebold, Francis (10)

Narayan, Paresh (9)

Gallo, Giampiero (9)

Wang, Tianyi (9)

Main data


Where Zhuo Huang has published?


Journals with more than one article published# docs
Journal of Futures Markets4
Annals of Economics and Finance3
Economics Letters2
Economic Modelling2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org2

Recent works citing Zhuo Huang (2022 and 2021)


YearTitle of citing document
2021The incremental information in the yield curve about future interest rate risk. (2021). Veliyev, Bezirgen ; Kjar, Mads Markvart ; Christensen, Bent Jesper. In: CREATES Research Papers. RePEc:aah:create:2021-11.

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2021Modelling of Daily Price Volatility of South Africa Property Stock Market Using GARCH Analysis. (2021). Ajay, Cyril A ; Fateye, Tosin B. In: AfRES. RePEc:afr:wpaper:2021-013.

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2021A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework. (2018). Chen, Qian ; Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1807.02422.

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2020Tail risk forecasting using Bayesian realized EGARCH models. (2020). Wang, Chao ; Gerlach, Richard ; Tendenan, Vica. In: Papers. RePEc:arx:papers:2008.05147.

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2021Dynamic factor, leverage and realized covariances in multivariate stochastic volatility. (2020). Omori, Yasuhiro ; Yamauchi, Yuta. In: Papers. RePEc:arx:papers:2011.06909.

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2020A Multivariate Realized GARCH Model. (2020). Hansen, Peter Reinhard ; Archakov, Ilya ; Lunde, Asger. In: Papers. RePEc:arx:papers:2012.02708.

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2021Overnight GARCH-It\^o Volatility Models. (2021). Wang, Yazhen ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.13467.

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2021A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting. (2021). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:2106.00288.

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2021Stochastic volatility model with range-based correction and leverage. (2021). Kurose, Yuta. In: Papers. RePEc:arx:papers:2110.00039.

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2021Edgeworth expansions for volatility models. (2021). Jirak, Moritz . In: Papers. RePEc:arx:papers:2111.00529.

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2021Exponential GARCH-Ito Volatility Models. (2021). Kim, Donggyu. In: Papers. RePEc:arx:papers:2111.04267.

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2021Effect of the U.S.--China Trade War on Stock Markets: A Financial Contagion Perspective. (2021). Kim, Donggyu ; Oh, Minseog. In: Papers. RePEc:arx:papers:2111.09655.

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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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2022State Heterogeneity Analysis of Financial Volatility using high?frequency Financial Data. (2022). Kim, Donggyu ; Chun, Dohyun. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:105-124.

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2021The Good and Bad Volatility: A New Class of Asymmetric Heteroskedastic Models. (2021). BenSaïda, Ahmed. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:2:p:540-570.

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2021Augmented Real-Time GARCH: A Joint Model for Returns, Volatility and Volatility of Volatility. (2021). Ding, Y. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2112.

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2022Exponential High-Frequency-Based-Volatility (EHEAVY) Models. (2022). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2022/5.

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2021Predicting risk in energy markets: Low-frequency data still matter. (2021). Výrost, Tomᚠ; Vrost, Toma ; Todorova, Neda ; Lyocsa, Tefan. In: Applied Energy. RePEc:eee:appene:v:282:y:2021:i:pa:s0306261920315567.

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2021An intraday-return-based Value-at-Risk model driven by dynamic conditional score with censored generalized Pareto distribution. (2021). Li, Handong ; Tian, Fei ; Song, Shijia. In: Journal of Asian Economics. RePEc:eee:asieco:v:74:y:2021:i:c:s1049007821000439.

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2021Improving stock price prediction using the long short-term memory model combined with online social networks. (2021). Zhou, Jianan ; Liu, Keyan ; Dong, Dayong. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:30:y:2021:i:c:s2214635021000514.

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2022Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators. (2022). Storti, Giuseppe ; Gerlach, Richard ; Naimoli, Antonio. In: Economic Modelling. RePEc:eee:ecmode:v:107:y:2022:i:c:s026499932100290x.

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2020Does measurement error matter in volatility forecasting? Empirical evidence from the Chinese stock market. (2020). Huang, Zhuo ; Wang, Tianyi ; Liang, Fang. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:148-157.

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2021Identifying bubbles and the contagion effect between oil and stock markets: New evidence from China. (2021). Li, KE ; Wen, Huwei ; Zhao, Zhao. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:780-788.

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2021Skew index: Descriptive analysis, predictive power, and short-term forecast. (2021). Mora-Valencia, Andrés ; Vanegas, Esteban ; Rodriguez-Raga, Santiago . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302370.

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2021Stock market volatility and public information flow: A non-linear perspective. (2021). Borup, Daniel ; Bertelsen, Kristoffer Pons ; Jakobsen, Johan Stax. In: Economics Letters. RePEc:eee:ecolet:v:204:y:2021:i:c:s0165176521001828.

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2021The high frequency risk attitude implied by the volatility risk premium. (2021). zhu, chao ; Yi, Zhen ; Zhang, Yuwei. In: Economics Letters. RePEc:eee:ecolet:v:207:y:2021:i:c:s0165176521003256.

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2021Volatility analysis with realized GARCH-Itô models. (2021). Wang, Yazhen ; Zhou, Yong ; Lu, Zhiping ; Cui, Xiangyu ; Yuan, Huiling ; Kim, Donggyu ; Song, Xinyu. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:393-410.

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2022Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers. (2022). Chang, Chia-Lin ; Asai, Manabu ; McAleer, Michael. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:285-304.

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2020Realized stochastic volatility models with generalized Gegenbauer long memory. (2020). McAleer, Michael ; Asai, Manabu ; Peiris, Shelton. In: Econometrics and Statistics. RePEc:eee:ecosta:v:16:y:2020:i:c:p:42-54.

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2021What drives volatility of the U.S. oil and gas firms?. (2021). Todorova, Neda ; Lyocsa, Tefan. In: Energy Economics. RePEc:eee:eneeco:v:100:y:2021:i:c:s014098832100270x.

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2021Wind generation and the dynamics of electricity prices in Australia. (2021). Konstandatos, Otto ; Nikitopoulos, Christina Sklibosios ; Mwampashi, Muthe Mathias ; Rai, Alan. In: Energy Economics. RePEc:eee:eneeco:v:103:y:2021:i:c:s0140988321004230.

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2020Volatility spillovers in Australian electricity markets. (2020). Trueck, Stefan ; Truck, Stefan ; Kordzakhia, Nino ; Han, Lin. In: Energy Economics. RePEc:eee:eneeco:v:90:y:2020:i:c:s0140988320301225.

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2021Decoupling and recoupling in the crude oil price benchmarks: An investigation of similarity patterns. (2021). Vellucci, Pierluigi ; Quaresima, Greta ; Mazzoccoli, Alessandro ; Mastroeni, Loretta. In: Energy Economics. RePEc:eee:eneeco:v:94:y:2021:i:c:s0140988320303765.

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2021OPEC news and jumps in the oil market. (2021). Yoon, Seong-Min ; Pierdzioch, Christian ; Gupta, Rangan ; Gkillas, Konstantinos. In: Energy Economics. RePEc:eee:eneeco:v:96:y:2021:i:c:s0140988321000013.

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2021Time-varying effects of oil price shocks and economic policy uncertainty on the nonferrous metals industry: From the perspective of industrial security. (2021). Chen, Ying ; Liao, Jianhui ; Zhu, Xuehong. In: Energy Economics. RePEc:eee:eneeco:v:97:y:2021:i:c:s0140988321000979.

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2022The economic value of high-frequency data in equity-oil hedge. (2022). Kuang, Wei. In: Energy. RePEc:eee:energy:v:239:y:2022:i:pa:s0360544221021526.

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2021Realized volatility spillovers between US spot and futures during ECB news: Evidence from the European sovereign debt crisis. (2021). Tsagkanos, Athanasios ; Floros, Christos ; Konstantatos, Christoforos ; Gkillas, Konstantinos. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000491.

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2020Forecasting VaR using realized EGARCH model with skewness and kurtosis. (2020). Zhang, Huanming ; Xia, Michelle ; Wu, Xinyu. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318308067.

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2020Realized GARCH models: Simpler is better. (2020). Yu, Chengtan ; Xie, Haibin. In: Finance Research Letters. RePEc:eee:finlet:v:33:y:2020:i:c:s1544612318308365.

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2021A realized EGARCH-MIDAS model with higher moments. (2021). Wu, Xinyu ; Xie, Haibin. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319308505.

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2021The impact of economic policy uncertainty on volatility of China’s financial stocks: An empirical analysis. (2021). Wu, Congxin ; Xu, Yan ; Wang, Zhuqing ; Luo, YI. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s1544612319314102.

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2021FX market volatility modelling: Can we use low-frequency data?. (2021). Výrost, Tomáš ; Lyócsa, Štefan ; Vrost, Toma ; Plihal, Toma ; Lyocsa, Tefan. In: Finance Research Letters. RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320315907.

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2022Price discovery in the volatility index option market: A univariate GARCH approach. (2022). Mare, Eben ; Venter, Pierre J. In: Finance Research Letters. RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001501.

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2021A DCC-type approach for realized covariance modeling with score-driven dynamics. (2021). Corsi, Fulvio ; Buccheri, Giuseppe ; Vassallo, Danilo. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:569-586.

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2021The uncertainty in extreme risk forecasts from covariate-augmented volatility models. (2021). Hoga, Yannick. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:675-686.

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2021Forecasting the volatility of asset returns: The informational gains from option prices. (2021). Yao, Wenying ; Tang, Chrismin ; Martin, Vance L. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:862-880.

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2021Stock market volatility forecasting: Do we need high-frequency data?. (2021). Molnár, Peter ; Lyócsa, Štefan ; Vrost, Toma ; Molnar, Peter ; Lyocsa, Tefan. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:3:p:1092-1110.

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2022Forecasting in GARCH models with polynomially modified innovations. (2022). Bagnato, Luca ; Zoia, Maria Grazia ; Vacca, Gianmarco. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:1:p:117-141.

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2020Forecasting realized oil-price volatility: The role of financial stress and asymmetric loss. (2020). Pierdzioch, Christian ; GUPTA, RANGAN ; Gkillas, Konstantinos. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:104:y:2020:i:c:s0261560619300075.

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2021Central bank tone and currency risk premia. (2021). Dossani, Asad. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:117:y:2021:i:c:s0261560621000759.

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2021The Brent-WTI spread revisited: A novel approach. (2021). Powell, John ; Ruble, Isabella. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:23:y:2021:i:c:s1703494921000013.

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2021Do iron ore, scrap steel, carbon emission allowance, and seaborne transportation prices drive steel price fluctuations?. (2021). Ma, Yiqun. In: Resources Policy. RePEc:eee:jrpoli:v:72:y:2021:i:c:s030142072100129x.

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2021Policy uncertainty spillovers and financial risk contagion in the Asia-Pacific network. (2021). Jiang, Yongmu ; Luo, Jingqiu ; Li, Yang. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:67:y:2021:i:c:s0927538x21000615.

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2022Canadian stock market volatility under COVID-19. (2022). Xu, Dinghai. In: International Review of Economics & Finance. RePEc:eee:reveco:v:77:y:2022:i:c:p:159-169.

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2021Uncertainty Due to Infectious Diseases and Stock–Bond Correlation. (2021). Gkillas, Konstantinos ; Siriopoulos, Costas ; Konstantatos, Christoforos. In: Econometrics. RePEc:gam:jecnmx:v:9:y:2021:i:2:p:17-:d:539153.

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2022Identifying the Determinants of Crude Oil Market Volatility by the Multivariate GARCH-MIDAS Model. (2022). Yang, Chenxu ; Xuyang, Chen ; Chuang, O-Chia . In: Energies. RePEc:gam:jeners:v:15:y:2022:i:8:p:2945-:d:795842.

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2021Univariate and Multivariate GARCH Models Applied to Bitcoin Futures Option Pricing. (2021). Mare, Eben ; Venter, Pierre J. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:6:p:261-:d:572373.

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2022Measures of Volatility, Crises, Sentiment and the Role of U.S. ‘Fear’ Index (VIX) on Herding in BRICS (2007–2021). (2022). Zhang, Hang ; Giouvris, Evangelos. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:3:p:134-:d:769142.

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2022.

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2020.

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2020Estimating Stochastic Volatility under the Assumption of Stochastic Volatility of Volatility. (2020). Gkillas, Konstantinos ; Floros, Christos ; Alghalith, Moawia. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:2:p:35-:d:344228.

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2021Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility. (2021). Omori, Yasuhiro ; Watanabe, Toshiaki ; Takahashi, Makoto. In: Discussion paper series. RePEc:hit:hiasdp:hias-e-104.

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2020Stock Return Predictability and Variance Risk Premia around the ZLB. (2020). Ogawa, Toshiaki ; Watanabe, Toshiaki ; Ubukata, Masato. In: IMES Discussion Paper Series. RePEc:ime:imedps:20-e-09.

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2021Accelerating FHS Option Pricing Under Linear GARCH. (2021). Wu, Xin Yu ; Xie, Haibin ; Fan, Pengying. In: Computational Economics. RePEc:kap:compec:v:58:y:2021:i:2:d:10.1007_s10614-020-10033-1.

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2022Bayesian Analysis of Realized Matrix-Exponential GARCH Models. (2022). Asai, Manabu ; McAleer, Michael. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:1:d:10.1007_s10614-020-10074-6.

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2021R&D investment intensity and jump volatility of stock price. (2021). Larsen, David ; John, Kose ; Jiang, Cheng. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:57:y:2021:i:1:d:10.1007_s11156-020-00944-3.

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2021Exploring volatility of crude oil intra-day return curves: a functional GARCH-X Model. (2021). Zhao, Yuqian ; Wirjanto, Tony ; Rice, Gregory. In: MPRA Paper. RePEc:pra:mprapa:109231.

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2022The information content of sentiment indices for forecasting Value at Risk and Expected Shortfall in equity markets. (2022). Naimoli, Antonio. In: MPRA Paper. RePEc:pra:mprapa:112588.

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2020OPEC News and Jumps in the Oil Market. (2020). Yoon, Seong-Min ; Pierdzioch, Christian ; GUPTA, RANGAN ; Gkillas, Konstantinos. In: Working Papers. RePEc:pre:wpaper:202053.

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2021Systematic risk and performance of stock market in Kenya. (2021). Wamugo, Lucy ; Omagwa, Job ; Mutwiri, Nathan Mwenda. In: International Journal of Research in Business and Social Science (2147-4478). RePEc:rbs:ijbrss:v:10:y:2021:i:4:p:204-214.

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2021U.S. Economic Uncertainty Shocks and China’s Economic Activities: A Time-Varying Perspective. (2021). Liu, Lin. In: SAGE Open. RePEc:sae:sagope:v:11:y:2021:i:3:p:21582440211032672.

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2022How Does Monetary Policy Uncertainty Influence Firms’ Dynamic Adjustment of Capital Structure. (2022). Li, Shengsheng ; Xu, Yaping ; Jiang, Yan. In: SAGE Open. RePEc:sae:sagope:v:12:y:2022:i:1:p:21582440211068506.

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2020Greek sovereign crisis and European exchange rates: effects of news releases and their providers. (2020). Garefalakis, Alexandros ; Floros, Christos ; Vortelinos, Dimitrios ; Gkillas, Konstantinos ; Sariannidis, Nikolaos. In: Annals of Operations Research. RePEc:spr:annopr:v:294:y:2020:i:1:d:10.1007_s10479-019-03199-x.

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2021The long memory HEAVY process: modeling and forecasting financial volatility. (2021). Karanasos, M ; Christopoulos, A ; Yfanti, S. In: Annals of Operations Research. RePEc:spr:annopr:v:306:y:2021:i:1:d:10.1007_s10479-019-03493-8.

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2022Uncertainty in an emerging market economy: evidence from Thailand. (2022). Manopimoke, Pym ; Luangaram, Pongsak ; Apaitan, Tosapol. In: Empirical Economics. RePEc:spr:empeco:v:62:y:2022:i:3:d:10.1007_s00181-021-02054-y.

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2022Local projection variance impulse response. (2022). Kawakatsu, Hiroyuki. In: Empirical Economics. RePEc:spr:empeco:v:62:y:2022:i:3:d:10.1007_s00181-021-02063-x.

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2022Measuring uncertainty: A streamlined application for the Ecuadorian economy. (2022). Salcedo, Juan Jose ; Gonzalez-Astudillo, Manuel ; Avellan, Guillermo. In: Empirical Economics. RePEc:spr:empeco:v:62:y:2022:i:4:d:10.1007_s00181-021-02069-5.

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2021The relationship between trend and volume on the bitcoin market. (2021). Mentel, Urszula ; Bilan, Yuriy ; Szetela, Beata . In: Eurasian Economic Review. RePEc:spr:eurase:v:11:y:2021:i:1:d:10.1007_s40822-021-00166-5.

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2021Can the Baidu Index predict realized volatility in the Chinese stock market?. (2021). Yan, Kai ; Zhang, Wei ; Shen, Dehua. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-020-00216-y.

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2021BREXIT referendum’s impact on the financial markets in the UK. (2021). Kiohos, Apostolos ; Stoupos, Nikolaos. In: Review of World Economics (Weltwirtschaftliches Archiv). RePEc:spr:weltar:v:157:y:2021:i:1:d:10.1007_s10290-020-00393-z.

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2021Dynamic Factor, Leverage and Realized Covariances in Multivariate Stochastic Volatility. (2021). Omori, Yasuhiro ; Yamauchi, Yuta. In: CIRJE F-Series. RePEc:tky:fseres:2021cf1176.

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2020Canadian Stock Market Volatility under COVID-19. (2020). Xu, Dinghai. In: Working Papers. RePEc:wat:wpaper:2001.

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2021Does volume really matter? A risk management perspective using cross?country evidence. (2021). Bhattacharyya, Malay ; Patra, Saswat. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:118-135.

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2021A study on volatility spurious almost integration effect: A threshold realized GARCH approach. (2021). Xu, Dinghai. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:3:p:4104-4126.

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2022Volatility forecasting revisited using Markov?switching with time?varying probability transition. (2022). Chen, Zhonglu ; Liang, Chao ; Ma, Feng ; Wang, Jiqian. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:1:p:1387-1400.

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2022Information gains from using short?dated options for measuring and forecasting volatility. (2022). Zhang, Yang ; Todorov, Viktor. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:37:y:2022:i:2:p:368-391.

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2021Forecasting volatility with outliers in Realized GARCH models. (2021). Peng, Lei ; Wu, Zhimin ; Cai, Guanghui. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:4:p:667-685.

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2021An empirical study on the role of trading volume and data frequency in volatility forecasting. (2021). Lee, Chien-Chiang ; Choo, Weichong ; Liu, Min. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:5:p:792-816.

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2021Conditional covariance matrix forecast using the hybrid exponentially weighted moving average approach. (2021). Kuang, Wei. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:8:p:1398-1419.

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2022Forecasting expected shortfall and value at risk with a joint elicitable mixed data sampling model. (2022). Liu, Yezheng ; Jiang, Cuixia ; Chen, LU ; Xu, Qifa. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:3:p:407-421.

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2021VIX futures and its closed?form pricing through an affine GARCH model with realized variance. (2021). Wang, Zerong. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:1:p:135-156.

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2021A short cut: Directly pricing VIX futures with discrete?time long memory model and asymmetric jumps. (2021). Wang, Tianyi ; Bian, Yang ; Yin, Fangsheng. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:4:p:458-477.

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2022Volatility spillovers: A sparse multivariate GARCH approach with an application to commodity markets. (2022). Wu, Jianbin ; Sercu, Piet ; Dhaene, Geert. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:5:p:868-887.

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2022Modeling time varying risk of natural resource assets: Implications of climate change. (2022). Leroux, Anke ; st John, Kathryn A ; Martin, Vance L. In: Quantitative Economics. RePEc:wly:quante:v:13:y:2022:i:1:p:225-257.

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2021Large dynamic covariance matrices: enhancements based on intraday data. (2020). Wolf, Michael ; Ledoit, Olivier ; Engle, Robert ; de Nard, Gianluca. In: ECON - Working Papers. RePEc:zur:econwp:356.

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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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2012Exponential GARCH Modeling with Realized Measures of Volatility In: CREATES Research Papers.
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2012Exponential GARCH Modeling with Realized Measures of Volatility.(2012) In: Economics Working Papers.
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This paper has another version. Agregated cites: 66
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2016Exponential GARCH Modeling With Realized Measures of Volatility.(2016) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 66
article
2021Realized GARCH, CBOE VIX, and the Volatility Risk Premium In: Papers.
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2022Option Pricing with State-dependent Pricing Kernel In: Papers.
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2021The predictive power of macroeconomic uncertainty for commodity futures volatility In: International Review of Finance.
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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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article15
2015The Spirit of Capitalism and the Equity Premium In: Annals of Economics and Finance.
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2017The Impact of Privatization on TFP: a Quasi-Experiment in China In: Annals of Economics and Finance.
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article1
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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article18
2016Modeling long memory volatility using realized measures of volatility: A realized HAR GARCH model In: Economic Modelling.
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article20
2014Estimation of extreme value-at-risk: An EVT approach for quantile GARCH model In: Economics Letters.
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article1
2018The spillover of macroeconomic uncertainty between the U.S. and China In: Economics Letters.
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article11
2021Modeling dynamic higher moments of crude oil futures In: Finance Research Letters.
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2018Stock liquidity and firm value: evidence from China In: Applied Economics Letters.
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article1
2020Which volatility model for option valuation in China? Empirical evidence from SSE 50 ETF options In: Applied Economics.
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2012Realized GARCH: a joint model for returns and realized measures of volatility In: Journal of Applied Econometrics.
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article226
2017Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach In: Journal of Futures Markets.
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article11
2017Pricing the CBOE VIX Futures with the Heston–Nandi GARCH Model In: Journal of Futures Markets.
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article15
2019VIX term structure and VIX futures pricing with realized volatility In: Journal of Futures Markets.
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article12
2021Pricing VIX options with realized volatility In: Journal of Futures Markets.
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