Tianyi Wang : Citation Profile


Are you Tianyi Wang?

University of International Business and Economics (UIBE)

5

H index

2

i10 index

49

Citations

RESEARCH PRODUCTION:

11

Articles

RESEARCH ACTIVITY:

   8 years (2012 - 2020). See details.
   Cites by year: 6
   Journals where Tianyi Wang has often published
   Relations with other researchers
   Recent citing documents: 22.    Total self citations: 2 (3.92 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pwa530
   Updated: 2020-10-24    RAS profile: 2020-08-09    
   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 Tianyi Wang.

Is cited by:

Tsouknidis, Dimitris (2)

Lin, Boqiang (2)

Tsakou, Katerina (2)

Taylor, Nick (2)

Caporale, Guglielmo Maria (1)

Gonzalez-Rivera, Gloria (1)

Xu, Dinghai (1)

JAWADI, Fredj (1)

Veiga, Helena (1)

Matei, Marius (1)

Murugesan, Selvam (1)

Cites to:

Bollerslev, Tim (16)

Hansen, Peter (14)

Andersen, Torben (9)

Shephard, Neil (8)

Lunde, Asger (8)

Huang, Zhuo (8)

Engle, Robert (7)

Diebold, Francis (7)

Patton, Andrew (4)

Barndorff-Nielsen, Ole (4)

Nason, James (4)

Main data


Where Tianyi Wang has published?


Journals with more than one article published# docs
Journal of Futures Markets3
Annals of Economics and Finance2
Economic Modelling2

Recent works citing Tianyi Wang (2020 and 2019)


YearTitle of citing document
2019Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility. (2019). Caporale, Guglielmo Maria ; Yfanti, Stavroula ; Karanasos, Menelaos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8000.

Full description at Econpapers || Download paper

2019The comovement and causality between stock market cycle and business cycle in China: Evidence from a wavelet analysis. (2019). Kong, Xianli ; Liu, Xi-Hua ; Si, Deng-Kui. In: Economic Modelling. RePEc:eee:ecmode:v:83:y:2019:i:c:p:17-30.

Full description at Econpapers || Download paper

2019Reasonable evaluation of VIX options for the Taiwan stock index. (2019). Wang, Chiu-Ping ; Lin, Shin-Hung ; Huang, Hung-Hsi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:111-130.

Full description at Econpapers || Download paper

2020Forecasting the Chinese stock market volatility with international market volatilities: The role of regime switching. (2020). Wei, YU ; Lei, Likun ; Zhang, Yaojie. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819302293.

Full description at Econpapers || Download paper

2020Improving the realized GARCH’s volatility forecast for Bitcoin with jump-robust estimators. (2020). Yang, Jimmy J ; Liu, Hung-Chun ; Hung, Jui-Cheng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300620.

Full description at Econpapers || Download paper

2020VIX forecasting based on GARCH-type model with observable dynamic jumps: A new perspective. (2020). Li, Weiping ; Yang, Jiyu ; Qiao, Gaoxiu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820300838.

Full description at Econpapers || Download paper

2019Out-of-sample prediction of the oil futures market volatility: A comparison of new and traditional combination approaches. (2019). Ma, Feng ; Zhang, Yaojie ; Wei, YU. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:1109-1120.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Forecasting returns in the VIX futures market. (2019). Taylor, Nick. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1193-1210.

Full description at Econpapers || Download paper

2020VIX valuation and its futures pricing through a generalized affine realized volatility model with hidden components and jump. (2020). Wang, Zerong. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:116:y:2020:i:c:s0378426620301114.

Full description at Econpapers || Download paper

2019Modeling stock market volatility using new HAR-type models. (2019). Lin, Boqiang ; Gong, XU. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:516:y:2019:i:c:p:194-211.

Full description at Econpapers || Download paper

2020Forecasting Chinese industry return volatilities with RMB/USD exchange rate. (2020). Dong, Xiaodi ; Zhu, Huan ; Dai, Zhifeng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:539:y:2020:i:c:s0378437119316929.

Full description at Econpapers || Download paper

2020Heterogeneous market hypothesis approach for modeling unbiased extreme value volatility estimator in presence of leverage effect: An individual stock level study with economic significance analysis. (2020). Kumar, Dilip ; Zargar, Faisal Nazir. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:77:y:2020:i:c:p:271-285.

Full description at Econpapers || Download paper

2019Bivariate Volatility Modeling with High-Frequency Data. (2019). Agell, Nuria ; Rovira, Xari ; Matei, Marius. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:3:p:41-:d:267457.

Full description at Econpapers || Download paper

2020GARCH Option Pricing Models and the Variance Risk Premium. (2020). Zhang, Jin E. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:3:p:51-:d:330107.

Full description at Econpapers || Download paper

2020Can the Introduction of an Environmental Target Assessment Policy Improve the TFP of Textile Enterprises? A Quasi-Natural Experiment Based on the Huai River Basin in China. (2020). Ding, Lili ; Li, YI ; Yang, Yongliang. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:4:p:1696-:d:324633.

Full description at Econpapers || Download paper

2019Closed-form variance swap prices under general affine GARCH models and their continuous-time limits. (2019). Ortega, Juan-Pablo ; Cui, Zhenyu ; Badescu, Alexandru. In: Annals of Operations Research. RePEc:spr:annopr:v:282:y:2019:i:1:d:10.1007_s10479-018-2941-9.

Full description at Econpapers || Download paper

2019A Study on Volatility Spurious Almost Integration Effect: A Threshold Realized GARCH Approach. (2019). Xu, Dinghai. In: Working Papers. RePEc:wat:wpaper:1903.

Full description at Econpapers || Download paper

2019Instantaneous squared VIX and VIX derivatives. (2019). Zhang, Jin E ; Luo, Xingguo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:10:p:1193-1213.

Full description at Econpapers || Download paper

2019Options valuation and calibration for leveraged exchange-traded funds with Heston–Nandi and inverse Gaussian GARCH models. (2019). Cui, Zhenyu ; Chatterjee, Rupak ; Cao, Hongkai. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:06:y:2019:i:03:n:s2424786319500270.

Full description at Econpapers || Download paper

2020Willow tree algorithms for pricing VIX derivatives under stochastic volatility models. (2020). Kwok, Yue Kuen ; Xu, Wei ; Ma, Changfu. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:07:y:2020:i:01:n:s2424786320500036.

Full description at Econpapers || Download paper

Works by Tianyi Wang:


YearTitleTypeCited
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
2017The Impact of Privatization on TFP: a Quasi-Experiment in China In: Annals of Economics and Finance.
[Full Text][Citation analysis]
article1
2016Modeling long memory volatility using realized measures of volatility: A realized HAR GARCH model In: Economic Modelling.
[Full Text][Citation analysis]
article13
2020Does measurement error matter in volatility forecasting? Empirical evidence from the Chinese stock market In: Economic Modelling.
[Full Text][Citation analysis]
article1
2012Price Volatility Forecast for Agricultural Commodity Futures: The Role of High Frequency Data In: Journal for Economic Forecasting.
[Full Text][Citation analysis]
article0
2020Which volatility model for option valuation in China? Empirical evidence from SSE 50 ETF options In: Applied Economics.
[Full Text][Citation analysis]
article0
2015Impact of exchange rate regime reform on asset returns in China In: The European Journal of Finance.
[Full Text][Citation analysis]
article1
2019Out‐of‐sample volatility prediction: A new mixed‐frequency approach In: Journal of Forecasting.
[Full Text][Citation analysis]
article3
2017Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach In: Journal of Futures Markets.
[Full Text][Citation analysis]
article6
2017Pricing the CBOE VIX Futures with the Heston–Nandi GARCH Model In: Journal of Futures Markets.
[Full Text][Citation analysis]
article10
2019VIX term structure and VIX futures pricing with realized volatility In: Journal of Futures Markets.
[Full Text][Citation analysis]
article8

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2020. Contact: CitEc Team