Zhuo Huang : Citation Profile


Are you Zhuo Huang?

Peking University

4

H index

3

i10 index

161

Citations

RESEARCH PRODUCTION:

7

Articles

3

Papers

RESEARCH ACTIVITY:

   6 years (2010 - 2016). See details.
   Cites by year: 26
   Journals where Zhuo Huang has often published
   Relations with other researchers
   Recent citing documents: 49.    Total self citations: 3 (1.83 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/phu309
   Updated: 2017-12-09    RAS profile: 2017-06-14    
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Relations with other researchers


Works with:

Hansen, Peter (4)

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 (20)

McAleer, Michael (19)

Omori, Yasuhiro (10)

Baruník, Jozef (10)

Gallo, Giampiero (7)

Takahashi, Makoto (7)

Chang, Chia-Lin (7)

Hansen, Peter (6)

Vander Elst, Harry (6)

Christoffersen, Peter (5)

Voev, Valeri (5)

Cites to:

Bollerslev, Tim (20)

Engle, Robert (13)

Andersen, Torben (12)

Shephard, Neil (10)

Narayan, Paresh (9)

Diebold, Francis (8)

Gallo, Giampiero (7)

Sharma, Susan (7)

Barndorff-Nielsen, Ole (6)

Hansen, Peter (6)

Rahbek, Anders (6)

Main data


Where Zhuo Huang has published?


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

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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2017Generalized Leverage Effects in Asset Returns. (2017). Nakatsuma, Teruo ; McAlinn, Kenichiro ; Ushio, Asahi . In: Papers. RePEc:arx:papers:1605.06482.

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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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2016Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Realized Measures. (2016). Wang, Chao ; Gerlach, Richard . In: Papers. RePEc:arx:papers:1612.08488.

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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.

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2017Dynamic Asset Price Jumps and the Performance of High Frequency Tests and Measures. (2017). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. In: Papers. RePEc:arx:papers:1708.09520.

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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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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.

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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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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.

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2016Modeling and forecasting exchange rate volatility in time-frequency domain. (2016). Vacha, Lukas ; Krehlik, Tomas ; Baruník, Jozef ; Barunik, Jozef . 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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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.

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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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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.

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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.

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2016Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models. (2016). McAleer, Michael ; Asai, Manabu ; Peiris, S. 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). Ielpo, Florian ; Chorro, Christophe ; Lalaharison, Hanjarivo ; 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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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.

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2016Forecasting Covariance Matrices: A Mixed Approach. (2016). Halbleib, Roxana ; Voev, Valeri . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:14:y:2016:i:2:p:383-417..

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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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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.

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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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2016Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers. (2016). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160076.

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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.

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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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2016Estimating and forecasting generalized fractional Long memory stochastic volatility models. (2016). McAleer, Michael ; Asai, Manabu ; Peiris, Shelton . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1608.

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2016Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers. (2016). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1615.

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

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

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

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

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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.

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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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paper27
2012Exponential GARCH Modeling with Realized Measures of Volatility In: CREATES Research Papers.
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paper22
2012Exponential GARCH Modeling with Realized Measures of Volatility.(2012) In: Economics Working Papers.
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This paper has another version. Agregated cites: 22
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: 22
article
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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article4
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.
[Citation analysis]
article102

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