Tianyi Wang : Citation Profile

Are you Tianyi Wang?

University of International Business and Economics (UIBE)

6

H index

5

i10 index

144

Citations

RESEARCH PRODUCTION:

23

Articles

2

Papers

RESEARCH ACTIVITY:

   11 years (2012 - 2023). See details.
   Cites by year: 13
   Journals where Tianyi Wang has often published
   Relations with other researchers
   Recent citing documents: 32.    Total self citations: 7 (4.64 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pwa530
   Updated: 2024-12-03    RAS profile: 2023-10-09    
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Relations with other researchers

Works with:

Huang, Zhuo (4)

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

Is cited by:

Huang, Zhuo (6)

Hansen, Peter (5)

Tzavalis, Elias (3)

Papantonis, Ioannis (3)

Lee, Chien-Chiang (2)

Rompolis, Leonidas (2)

Tsakou, Katerina (2)

Frijns, Bart (2)

Kumar, Dilip (2)

Tsouknidis, Dimitris (2)

Chen, Cathy W. S. (2)

Cites to:

Bollerslev, Tim (36)

Huang, Zhuo (33)

Hansen, Peter (32)

Andersen, Torben (22)

Diebold, Francis (17)

Lunde, Asger (14)

Shephard, Neil (13)

Corsi, Fulvio (11)

Engle, Robert (10)

Bekaert, Geert (9)

Jagannathan, Ravi (8)

Main data

Where Tianyi Wang has published?

Journals with more than one article published# docs
Journal of Futures Markets6
Economic Modelling3
Applied Economics3
Finance Research Letters3
Annals of Economics and Finance2
China Economic Journal2

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

Recent works citing Tianyi Wang (2024 and 2023)

YearTitle of citing document
2024Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943.

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2023Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects. (2023). Papantonis, Ioannis ; Orestis, Agapitos ; Elias, Tzavalis ; Ioannis, Papantonis ; Leonidas, Rompolis. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:2:p:171-198:n:8.

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2023Price Risk Analysis using GARCH Family Models: Evidence from Shanghai Crude Oil Futures Market. (2023). Si, Xiaoli ; Pei, Haotian ; Yang, Aijun ; Bei, Shuhua. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001797.

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2023Do exchange-traded fund activities destabilize the stock market? Evidence from the China securities index 300 stocks. (2023). Xu, Liao ; Chen, Jilong. In: Economic Modelling. RePEc:eee:ecmode:v:127:y:2023:i:c:s0264999323002626.

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2023Forecasting VIX using two-component realized EGARCH model. (2023). Liu, LI ; Zhao, AN ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000578.

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2023Bayesian estimation of realized GARCH-type models with application to financial tail risk management. (2023). , Edward ; Watanabe, Toshiaki. In: Econometrics and Statistics. RePEc:eee:ecosta:v:28:y:2023:i:c:p:30-46.

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2023Empirical performance of component GARCH models in pricing VIX term structure and VIX futures. (2023). Tsai, Jeffrey Tzuhao ; Lo, Chien-Ling ; Chang, Li-Han ; Cheng, Hung-Wen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:122-142.

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2023Facilitating the implementation of neural network-based predictive control to optimize building heating operation. (2023). Casals, Miquel ; Macarulla, Marcel ; Savadkoohi, Marjan. In: Energy. RePEc:eee:energy:v:263:y:2023:i:pb:s0360544222025890.

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2024On practitioners closed-form GARCH option pricing. (2024). Kabir, Humayun M ; Talukdar, Bakhtear ; Frijns, Bart ; Mozumder, Sharif. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s105752192400228x.

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2023Does realized skewness predict the cross-section of Chinese stock returns?. (2023). Long, Huaigang ; Jiang, Yuexiang ; Dai, Yiming ; Zaremba, Adam ; Wang, Hui. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pb:s1544612323007353.

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2024Pricing CBOE VIX in non-affine GARCH models with variance risk premium. (2024). Tong, Chen. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324001454.

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2023Improving variance forecasts: The role of Realized Variance features. (2023). Papantonis, Ioannis ; Tzavalis, Elias ; Rompolis, Leonidas. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1221-1237.

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2023GARCH option pricing with volatility derivatives. (2023). Park, Yang-Ho ; Oh, Dong Hwan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002989.

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2024Dual effects of investor sentiment and uncertainty in financial markets. (2024). Ryu, Doojin ; Cho, Hoon ; Seok, Sangik. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:95:y:2024:i:c:p:300-315.

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2023Spillovers in the joint system of conditional higher-order moments: US evidence from green energy, brown energy, and technology stocks. (2023). Bouri, Elie. In: Renewable Energy. RePEc:eee:renene:v:210:y:2023:i:c:p:507-523.

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2023Diversification benefits of NFTs for conventional asset investors: Evidence from CoVaR with higher moments and optimal hedge ratios. (2023). Rice, John ; Choi, Sun-Yong ; Usman, Muhammad ; Umar, Zaghum. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000831.

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2023An Investigation of the Predictability of Uncertainty Indices on Bitcoin Returns. (2023). Ngene, Geoffrey M ; Wang, Jinghua ; Mungai, Ann Nduati ; Shi, Yan. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:10:p:461-:d:1265145.

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2023.

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2023The asymmetric effects of climate risk on higher-moment connectedness among carbon, energy and metals markets. (2023). Wu, Shan ; Zhou, Yuqin ; Rognone, Lavinia ; Liu, Zhenhua. In: Nature Communications. RePEc:nat:natcom:v:14:y:2023:i:1:d:10.1038_s41467-023-42925-9.

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2023VIX to S&P 500 Correlation Over the Weekend: Are Market Makers Using S&P 500 Weekend Returns to Price VIX on Monday Morning?. (2023). Lin, Wan Jia. In: Applied Economics and Finance. RePEc:rfa:aefjnl:v:10:y:2023:i:1:p:3843.

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2023Trading volume and realized volatility forecasting: Evidence from the China stock market. (2023). Lee, Chien-Chiang ; Choo, Weichong ; Liu, Min. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:1:p:76-100.

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2023Option pricing with overnight and intraday volatility. (2023). Du, Lingshan ; Liang, Fang ; Huang, Zhuo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:11:p:1576-1614.

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2023Trading around the clock: Revisit volatility spillover between crude oil and equity markets in different trading sessions. (2023). Fu, Tong ; Ma, Feng ; He, Feng ; Hao, Jing. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:6:p:771-791.

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2024VIX futures pricing based on high?frequency VIX: A hybrid approach combining SVR with parametric models. (2023). Jiang, Gongyue ; Qiao, Gaoxiu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:9:p:1238-1260.

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2023Unspanned macro risks in VIX futures. (2023). Yang, Xinglin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:9:p:1305-1328.

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2024Can technical indicators based on underlying assets help to predict implied volatility index. (2024). Shi, Yanlong ; Yafeng, Shi ; Tingting, Ying. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:1:p:57-74.

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Works by Tianyi Wang:

YearTitleTypeCited
2021Liquidation, Leverage and Optimal Margin in Bitcoin Futures Markets In: Papers.
[Full Text][Citation analysis]		paper0
2021Liquidation, leverage and optimal margin in bitcoin futures markets.(2021) In: Applied Economics.
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This paper has nother version. Agregated cites: 0		article
2021Realized GARCH, CBOE VIX, and the Volatility Risk Premium In: Papers.
[Full Text][Citation analysis]		paper2
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]		article15
2017The Impact of Privatization on TFP: a Quasi-Experiment in China In: Annals of Economics and Finance.
[Full Text][Citation analysis]		article1
2022Do realized higher moments have information content? - VaR forecasting based on the realized GARCH-RSRK model In: Economic Modelling.
[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]		article26
2020Does measurement error matter in volatility forecasting? Empirical evidence from the Chinese stock market In: Economic Modelling.
[Full Text][Citation analysis]		article3
2023The effects of economic uncertainty on financial volatility: A comprehensive investigation In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article1
2021Modeling dynamic higher moments of crude oil futures In: Finance Research Letters.
[Full Text][Citation analysis]		article6
2021Measuring investors’ risk aversion in China’s stock market In: Finance Research Letters.
[Full Text][Citation analysis]		article0
2023Pricing VIX futures: A framework with random level shifts In: Finance Research Letters.
[Full Text][Citation analysis]		article0
2023Factor-timing in the Chinese factor zoo: The role of economic policy uncertainty In: Journal of International Financial Markets, Institutions and Money.
[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]		article4
2020Which volatility model for option valuation in China? Empirical evidence from SSE 50 ETF options In: Applied Economics.
[Full Text][Citation analysis]		article4
2022Directly pricing VIX futures: the role of dynamic volatility and jump intensity In: Applied Economics.
[Full Text][Citation analysis]		article3
2015Impact of exchange rate regime reform on asset returns in China In: The European Journal of Finance.
[Full Text][Citation analysis]		article3
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2017Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach In: Journal of Futures Markets.
[Full Text][Citation analysis]		article22
2017Pricing the CBOE VIX Futures with the Heston–Nandi GARCH Model In: Journal of Futures Markets.
[Full Text][Citation analysis]		article24
2019VIX term structure and VIX futures pricing with realized volatility In: Journal of Futures Markets.
[Full Text][Citation analysis]		article21
2021A short cut: Directly pricing VIX futures with discrete‐time long memory model and asymmetric jumps In: Journal of Futures Markets.
[Full Text][Citation analysis]		article3
2022Overnight volatility, realized volatility, and option pricing In: Journal of Futures Markets.
[Full Text][Citation analysis]		article4
2022Do VIX futures contribute to the valuation of VIX options? In: Journal of Futures Markets.
[Full Text][Citation analysis]		article0

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