Ke Tang : Citation Profile


Are you Ke Tang?

Tsinghua University

8

H index

6

i10 index

271

Citations

RESEARCH PRODUCTION:

20

Articles

5

Papers

RESEARCH ACTIVITY:

   10 years (2008 - 2018). See details.
   Cites by year: 27
   Journals where Ke Tang has often published
   Relations with other researchers
   Recent citing documents: 52.    Total self citations: 7 (2.52 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pta430
   Updated: 2019-04-20    RAS profile: 2019-01-25    
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Relations with other researchers


Works with:

Casassus, Jaime (3)

Wang, Changyun (2)

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

Is cited by:

Prokopczuk, Marcel (9)

Vacha, Lukas (6)

Kočenda, Evžen (6)

Irwin, Scott (6)

Baruník, Jozef (6)

Kearney, Fearghal (5)

Nikitopoulos-Sklibosios, Christina (5)

Sévi, Benoît (4)

Xiong, Wei (4)

Vayanos, Dimitri (4)

Chevallier, Julien (4)

Cites to:

Casassus, Jaime (9)

Singleton, Kenneth (9)

Duffie, Darrell (9)

pan, jun (6)

Chen, Zhiwu (5)

Basak, Suleyman (5)

Bessembinder, Hendrik (5)

Routledge, Bryan (5)

Rouwenhorst, K. (5)

Tauchen, George (4)

Hayashi, Fumio (4)

Main data


Where Ke Tang has published?


Journals with more than one article published# docs
Quantitative Finance5
Journal of Banking & Finance4
Emerging Markets Finance and Trade3
Review of Financial Studies2

Working Papers Series with more than one paper published# docs
Documentos de Trabajo / Instituto de Economia. Pontificia Universidad Catlica de Chile.2

Recent works citing Ke Tang (2018 and 2017)


YearTitle of citing document
2018Hedging Positions, Basis, and Futures Risk Premium: A Disaggregated Data Analysis on US Wheat Markets. (2018). Hoang, Nam ; Grieb, Terrance . In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:273799.

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2018On the spot-futures no-arbitrage relations in commodity markets. (2018). Lautier, Delphine ; Ren'e A"id, ; Campi, Luciano . In: Papers. RePEc:arx:papers:1501.00273.

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2017An equilibrium model for spot and forward prices of commodities. (2017). Anthropelos, Michail ; Papapantoleon, Antonis ; Kupper, Michael. In: Papers. RePEc:arx:papers:1502.00674.

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2018Analyzing the structural transformation of commodity markets: financialization revisited. (2018). Natoli, Filippo. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_419_18.

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2018Monetary policy uncertainty, positions of traders and changes in commodity futures prices. (2018). Gospodinov, Nikolay ; Jamali, Ibrahim. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:2:p:239-260.

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2018Speculative activity and returns volatility of Chinese agricultural commodity futures. (2018). Siklos, Pierre ; Wellenreuther, Claudia ; Bohl, Martin T. In: Journal of Asian Economics. RePEc:eee:asieco:v:54:y:2018:i:c:p:69-91.

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2017Empirical properties of a heterogeneous agent model in large dimensions. (2017). Coqueret, Guillaume. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:77:y:2017:i:c:p:180-201.

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2017Financial contagion and volatility spillover: An exploration into Indian commodity derivative market. (2017). Sinha Roy, Saikat ; Sinharoy, Saikat. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:368-380.

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2018Convenience yield, realised volatility and jumps: Evidence from non-ferrous metals. (2018). Omura, Akihiro ; Todorova, Neda ; Chung, Richard ; Li, Bin. In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:496-510.

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2018Measuring the response of gold prices to uncertainty: An analysis beyond the mean. (2018). Wohar, Mark ; Selmi, Refk ; bouoiyour, jamal. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:105-116.

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2017All about fun(ds) in emerging markets? The case of equity mutual funds. (2017). Wagner, Moritz ; Margaritis, Dimitris. In: Emerging Markets Review. RePEc:eee:ememar:v:33:y:2017:i:c:p:62-78.

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2017A multifactor stochastic volatility model of commodity prices. (2017). Naranjo, Lorenzo ; Lopez, Matias ; Cortazar, Gonzalo. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:182-201.

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2017Dynamic spillover effects across petroleum spot and futures volatilities, trading volume and open interest. (2017). Tsouknidis, Dimitris ; Magkonis, Georgios. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:104-118.

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2017Futures markets and real estate public equity: Connectivity of lumber futures and Timber REITs. (2017). Clements, Sherwood ; Jin, Changha ; Tidwell, Alan. In: Journal of Forest Economics. RePEc:eee:foreco:v:28:y:2017:i:c:p:70-79.

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2017A two-factor cointegrated commodity price model with an application to spread option pricing. (2017). Necula, Ciprian ; Huitema, Robert ; Gourier, Elise ; Farkas, Walter . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:77:y:2017:i:c:p:249-268.

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2017Determinants of the crude oil futures curve: Inventory, consumption and volatility. (2017). Yeung, Danny ; Thorp, Susan ; Nikitopoulos-Sklibosios, Christina ; Squires, Matthew. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:84:y:2017:i:c:p:53-67.

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2018Introduction—special issue on commodity and energy markets in the Journal of Banking and Finance. (2018). Roncoroni, Andrea ; Ronn, Ehud I ; Prokopczuk, Marcel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:95:y:2018:i:c:p:1-4.

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2018Equilibrium commodity prices with irreversible investment and non-linear technologies. (2018). Casassus, Jaime ; Routledge, Bryan R ; Collin-Dufresne, Pierre. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:95:y:2018:i:c:p:128-147.

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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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2018Cross-commodity news transmission and volatility spillovers in the German energy markets. (2018). Green, Rikard ; Nilsson, Birger ; Lunina, Veronika ; Larsson, Karl . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:95:y:2018:i:c:p:231-243.

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2018Carry. (2018). , Ralph ; Vrugt, Evert B ; Pedersen, Lasse Heje ; Moskowitz, Tobias J. In: Journal of Financial Economics. RePEc:eee:jfinec:v:127:y:2018:i:2:p:197-225.

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2017A tale of two tails: Explaining extreme events in financialized agricultural markets. (2017). Algieri, Bernardina ; Koch, Nicolas ; Kalkuhl, Matthias. In: Food Policy. RePEc:eee:jfpoli:v:69:y:2017:i:c:p:256-269.

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2018A particle filtering approach to oil futures price calibration and forecasting. (2018). Sgarra, Carlo ; Fileccia, Gaetano . In: Journal of Commodity Markets. RePEc:eee:jocoma:v:9:y:2018:i:c:p:21-34.

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2018Latent jump diffusion factor estimation for commodity futures. (2018). Tang, KE ; Medova, Elena ; Dempster, M. A. H., . In: Journal of Commodity Markets. RePEc:eee:jocoma:v:9:y:2018:i:c:p:35-54.

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2017Recent experiences of copper on the Shanghai futures exchange: Some lessons for warehouse monitoring. (2017). Geman, Helyette ; Scheiber, Matthias . In: Resources Policy. RePEc:eee:jrpoli:v:54:y:2017:i:c:p:130-136.

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2017Mutual fund managers timing abilities. (2017). Zhang, Yeqing ; Liao, LI. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:44:y:2017:i:c:p:80-96.

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2018Do Chinese mutual funds time the market?. (2018). Yi, LI ; Gan, Shunli ; Qin, Zilong ; He, Lei ; Liu, Zilan. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:47:y:2018:i:c:p:1-19.

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2018Modeling extreme risks in commodities and commodity currencies. (2018). Herrera, Rodrigo ; Clements, Adam ; Fuentes, Fernanda . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:51:y:2018:i:c:p:108-120.

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2017Invariance, observational equivalence, and identification: Some implications for the empirical performance of affine term structure models. (2017). Juneja, Januj. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:64:y:2017:i:c:p:292-305.

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2017How Germany benefits the most from its Eurozone membership. (2017). Juneja, Januj. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:1074-1088.

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2018Can inflation expectations be measured using commodity futures prices?. (2018). Saleuddin, Rasheed ; Coffman, Dmaris. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:45:y:2018:i:c:p:37-48.

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2017Corporate governance strength and stock market liquidity in Malaysia. (2017). Al-Jaifi, Hamdan Amer ; Al-Qadasi, Adel Ali ; Al-Rassas, Ahmed Hussein. In: International Journal of Managerial Finance. RePEc:eme:ijmfpp:ijmf-10-2016-0195.

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2018Why did Warrant Markets Close in China but not Taiwan?. (2018). Wong, Wing-Keung ; McAleer, Michael ; Lean, Hooi Hooi ; Tsai, F.-T., ; Wong, W.-K., . In: Econometric Institute Research Papers. RePEc:ems:eureir:107291.

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2017Determinants of power spreads in electricity futures markets: A multinational analysis. (2017). Spodniak, Petr ; Bertsch, Valentin. In: Papers. RePEc:esr:wpaper:wp580.

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2017Commodity Spot, Forward, and Futures Prices with a Firms Optimal Strategy. (2017). Katsushi, Nakajima . In: Discussion papers. RePEc:eti:dpaper:17008.

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2017Mutual Funds: Does the Performance Erosion Effect Exist? Evidence from the Czech Republic, Hungary and Poland. (2017). Filip, Dariusz. In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:67:y:2017:i:6:p:512-538.

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2017Information Flows across the Futures Term Structure: Evidence from Crude Oil Prices. (2017). Robe, Michel ; Raynaud, Franck ; Lautier, Delphine. In: Post-Print. RePEc:hal:journl:hal-01781761.

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2017Shocks propagation across the futures term structure : evidence from crude oil prices. (2017). Robe, Michel ; Raynaud, Franck ; Lautier, Delphine. In: Post-Print. RePEc:hal:journl:hal-01781765.

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2018Dynamic Equicorrelation between S&P500 Index and S&P GSCI. (2018). Derbali, Abdelkader ; Chebbi, Tarek. In: Working Papers. RePEc:hal:wpaper:hal-01695995.

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2017A four-factor stochastic volatility model of commodity prices. (2017). Schone, Max F ; Spinler, Stefan. In: Review of Derivatives Research. RePEc:kap:revdev:v:20:y:2017:i:2:d:10.1007_s11147-016-9126-y.

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2017The affine styled-facts price dynamics for the natural gas: evidence from daily returns and option prices. (2017). Hsu, Chih-Chen ; Chen, Ting-Fu ; Lin, Shih-Kuei. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:48:y:2017:i:3:d:10.1007_s11156-016-0569-x.

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2018Empirical performance of Gaussian affine dynamic term structure models in the presence of autocorrelation misspecification bias. (2018). Juneja, Januj. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:50:y:2018:i:3:d:10.1007_s11156-017-0643-z.

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2018The Financialization of Commodity Markets: A Short-lived Phenomenon?. (2018). Jegourel, Yves. In: Books & Reports. RePEc:ocp:dbbook:9-789954-971789.

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2017Are recent tanker freight rates stationary?. (2017). Poblacion, Javier. In: Maritime Economics & Logistics. RePEc:pal:marecl:v:19:y:2017:i:4:d:10.1057_mel.2016.7.

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2018The impact of fund attributes on performance: Empirical evidence for Polish equity funds. (2018). Filip, Dariusz. In: Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics. RePEc:rfe:zbefri:v:36:y:2018:i:2:p:465-488.

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2018Performance and Persistence in Performance of Actively Managed Chinese Equity Funds. (2018). Zia-Ur-Rehman Rao, ; Umar, Muhammad ; Tauni, Muhammad Zubair ; Ahsan, Tanveer. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:16:y:2018:i:3:d:10.1007_s40953-017-0104-5.

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2018Misinvoicing in mineral trade: what do we really know?. (2018). Ostensson, Olle . In: Mineral Economics. RePEc:spr:minecn:v:31:y:2018:i:1:d:10.1007_s13563-018-0141-3.

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2017Dynamics of volatility transmission between the U.S. and the Chinese agricultural futures markets. (2017). Roca, Eduardo ; Su, Jen-Je ; Todorova, Neda ; Jiang, Huayun . In: Applied Economics. RePEc:taf:applec:v:49:y:2017:i:34:p:3435-3452.

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2017Valuing cargo flexibility in oil transportation. (2017). Adland, Roar ; von der Wense, Levin ; Hansson, David. In: Maritime Policy & Management. RePEc:taf:marpmg:v:44:y:2017:i:7:p:803-814.

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2018Why did Warrant Markets Close in China but not Taiwan?. (2018). Wong, Wing-Keung ; McAleer, Michael ; Lean, Hooi Hooi ; Tsai, Feng-Tse. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180051.

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2018Speculative Activity and Returns to Volatility of Chinese Major Agricultural Commodity Futures. (2018). Siklos, Pierre ; Martin, Pierre Siklos. In: LCERPA Working Papers. RePEc:wlu:lcerpa:0111.

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2018EMPIRICAL ANALYSIS OF THE RELATIONSHIP BETWEEN OIL AND PRECIOUS METALS MARKETS. (2018). Mokni, Khaled. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:13:y:2018:i:01:n:s2010495218500033.

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Works by Ke Tang:


YearTitleTypeCited
2012Commodity Investing In: Annual Review of Financial Economics.
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article13
2017Political Uncertainty and Commodity Prices In: Working Paper Series.
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paper1
2011The stochastic behavior of commodity prices with heteroskedasticity in the convenience yield In: Journal of Empirical Finance.
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article20
2008Long term spread option valuation and hedging In: Journal of Banking & Finance.
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article19
2010No-arbitrage conditions for storable commodities and the modeling of futures term structures In: Journal of Banking & Finance.
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article7
2011Estimating exponential affine models with correlated measurement errors: Applications to fixed income and commodities In: Journal of Banking & Finance.
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article9
2013Asset pricing with heterogeneous beliefs and relative performance In: Journal of Banking & Finance.
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article1
2012The determinants of homebuilder stock price exposure to lumber: Production cost versus housing demand In: Journal of Housing Economics.
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article1
2012Size and performance of Chinese mutual funds: The role of economy of scale and liquidity In: Pacific-Basin Finance Journal.
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article12
2011Relative Scarcity of Commodities with a Long-Term Economic Relationship and the Correlation of Futures Returns In: Documentos de Trabajo.
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paper1
2014Maximal Gaussian Affine Models for Multiple Commodities: A Note In: Documentos de Trabajo.
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paper0
2015Maximal Gaussian Affine Models for Multiple Commodities: A Note.(2015) In: Journal of Futures Markets.
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This paper has another version. Agregated cites: 0
article
2011Corporate Governance and Firm Liquidity: Evidence from the Chinese Stock Market In: Emerging Markets Finance and Trade.
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article6
2014Chinas Imported Inflation and Global Commodity Prices In: Emerging Markets Finance and Trade.
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article1
2014Guest Editors’ Introduction: Chinese Exploration and World Economic Order In: Emerging Markets Finance and Trade.
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article0
2010Index Investment and Financialization of Commodities In: NBER Working Papers.
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paper134
2013Economic Linkages, Relative Scarcity, and Commodity Futures Returns In: Review of Financial Studies.
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article21
2016Commodities as Collateral In: Review of Financial Studies.
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article3
2011The chinese financial system at the Dawn of the 21st century: An Overview In: MPRA Paper.
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paper2
2016China’s road to modernization In: Journal of Chinese Economic and Business Studies.
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article0
2012Determinants of oil futures prices and convenience yields In: Quantitative Finance.
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article8
2012Time-varying long-run mean of commodity prices and the modeling of futures term structures In: Quantitative Finance.
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article5
2013Cross-market soybean futures price discovery: does the Dalian Commodity Exchange affect the Chicago Board of Trade? In: Quantitative Finance.
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article4
2013Are Chinese warrants derivatives? Evidence from connections to their underlying stocks In: Quantitative Finance.
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article3
2018Special Issue of Quantitative Finance on ‘Chinese Derivatives Markets’ In: Quantitative Finance.
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article0

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