Tianyi Wang : Citation Profile

University of International Business and Economics (UIBE)

7

H index

6

i10 index

198

Citations

RESEARCH PRODUCTION:

24

Articles

2

Papers

RESEARCH ACTIVITY:

   12 years (2011 - 2023). See details.
   Cites by year: 16
   Journals where Tianyi Wang has often published
   Relations with other researchers
   Recent citing documents: 35.    Total self citations: 7 (3.41 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pwa530
   Updated: 2025-12-13    RAS profile: 2023-10-09    
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Relations with other researchers

Works with:

Huang, Zhuo (3)

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

Is cited by:

Zhang, Yaojie (7)

Huang, Zhuo (6)

Hansen, Peter (5)

Lu, Shan (3)

Papantonis, Ioannis (3)

Tzavalis, Elias (3)

Rompolis, Leonidas (2)

Lee, Chien-Chiang (2)

Wang, Yudong (2)

Tsakou, Katerina (2)

Tsouknidis, Dimitris (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)

Bekaert, Geert (10)

Engle, Robert (10)

Jagannathan, Ravi (8)

Main data

Where Tianyi Wang has published?

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

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

Recent works citing Tianyi Wang (2025 and 2024)

YearTitle of citing document
2025Option Pricing with Time-Varying Volatility Risk Aversion. (2025). Hansen, Peter ; Tong, Chen. In: Papers. RePEc:arx:papers:2204.06943.

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2024Loss-based Bayesian Sequential Prediction of Value at Risk with a Long-Memory and Non-linear Realized Volatility Model. (2024). Gerlach, Richard ; Peiris, Rangika ; Tran, Minh-Ngoc ; Wang, Chao. In: Papers. RePEc:arx:papers:2408.13588.

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2025Asymmetric Causality between Economic Uncertainty and Financial Development: Empirical Evidence. (2025). Murdipi, Rafiqa. In: International Journal of Research and Innovation in Social Science. RePEc:bcp:journl:v:9:y:2025:i:15:p:1308-1314.

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2025Economic policy uncertainty, investor sentiment and systemic financial risk: Evidence from China. (2025). Zhao, Xiaofang ; Fang, Guobin ; Zhou, Xuehua ; Ma, Huimin ; Deng, Yaoxun ; Xie, Luoyan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s106294082400281x.

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2025Real-time GARCH@CARR: A joint model of returns, realized measure of volatility and current intraday information. (2025). Xu, Buyun ; Wu, Zhimin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940825000087.

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2025A RGARCH-CARR-SK model: A new high-frequency volatility forecasting and risk measurement model based on dynamic higher moments and generalized realized measures. (2025). Chen, Zhenlong ; Zhou, Qingnan ; Liu, Junjie. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:77:y:2025:i:c:s1062940825000488.

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2025A hybrid model for intraday volatility prediction in Bitcoin markets. (2025). Selvaraju, N ; Bera, Koushik. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:78:y:2025:i:c:s106294082500066x.

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2024Option valuation via nonaffine dynamics with realized volatility. (2024). Wang, Zerong ; Zhang, Yuanyuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000215.

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2025Forecasting financial volatility: An approach based on Parkinson volatility measure with long memory stochastic range model. (2025). de Khoo, Zhi ; Ng, Kok Haur ; Koh, You Beng. In: Journal of Empirical Finance. RePEc:eee:empfin:v:82:y:2025:i:c:s0927539825000398.

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2025Environmental attention and the predictability of crude oil volatility: Evidence from a new MIDAS multifractal model. (2025). Dong, Xin ; Gong, Jinguo ; Wang, Qin. In: Energy Economics. RePEc:eee:eneeco:v:143:y:2025:i:c:s0140988325000507.

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2025Can climate factors improve the forecasting of electricity price volatility? Evidence from Australia. (2025). Cao, Shanwei ; Zhai, Xiangyang ; Ji, Qiang ; Guo, Kun ; Liu, YU. In: Energy. RePEc:eee:energy:v:315:y:2025:i:c:s0360544224041100.

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2025Discovering nonlinear interactions between Chinas financial markets: A data-driven approach. (2025). Sornette, Didier ; Zhang, Hao. In: International Review of Financial Analysis. RePEc:eee:finana:v:101:y:2025:i:c:s1057521925000626.

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

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2024How useful are energy-related uncertainty for oil price volatility forecasting?. (2024). Zhang, Xiaoyun ; Guo, Qiang. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323013259.

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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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2024Momentum and reversal strategies with low uncertainty. (2024). Cai, Feifei ; An, Pengda ; Zhang, Qingyi ; Wang, Wenhao. In: Finance Research Letters. RePEc:eee:finlet:v:68:y:2024:i:c:s1544612324010006.

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2024Arbitrage opportunities and efficiency tests in crypto derivatives. (2024). Chen, XI ; Alexander, Carol ; Wang, Tianyi ; Deng, Jun. In: Journal of Financial Markets. RePEc:eee:finmar:v:71:y:2024:i:c:s138641812400048x.

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2024Evaluating the impact of multiple uncertainty shocks on Chinas airline stocks volatility: A novel joint quantile perspective. (2024). Su, Chi Wei ; Li, Xin. In: Journal of Air Transport Management. RePEc:eee:jaitra:v:121:y:2024:i:c:s0969699724001534.

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2025Trading-hour and nontrading-hour volatility in crude oil and U.S. dollar markets and its implications for portfolio optimization. (2025). Lai, Yu-Sheng. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:38:y:2025:i:c:s2405851325000236.

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2025Analytical computation of conditional moments in the extended Cox–Ingersoll–Ross process with regime switching: Hybrid PDE system solutions with financial applications. (2025). Thamrongrat, Nopporn ; Rujivan, Sanae ; Djehiche, Boualem ; Juntanon, Parun. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:229:y:2025:i:c:p:176-202.

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2024Forecasting Chinese stock market volatility with high-frequency intraday and current return information. (2024). Wang, Yuyao ; Han, Yang ; Wu, Xinyu ; Zhao, AN. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:86:y:2024:i:c:s0927538x24002099.

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2025Asymmetric connectedness in the Chinese stock sectors: Overnight and daytime return spillovers. (2025). Yuan, Xianghui ; Zhao, Chencheng ; Long, Jun ; Li, Xiang. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:89:y:2025:i:c:s0927538x24003378.

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2025Option profit and loss attribution and pricing in the Chinese options market. (2025). Ruan, Xinfeng ; Fan, Zheqi ; Jia, Xiaolan. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:91:y:2025:i:c:s0927538x25000198.

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

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2025Market volatility and skewness risks in China. (2025). Zhen, Fang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:99:y:2025:i:c:s1059056025001315.

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2025Using Daily Stock Returns to Estimate the Unconditional and Conditional Variances of Lower-Frequency Stock Returns. (2025). Kirby, Chris. In: Risks. RePEc:gam:jrisks:v:13:y:2025:i:10:p:190-:d:1764267.

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2025Weekly Seasonality in Overnight Effects of the Stock Market. (2025). Lin, Wan Jia. In: Applied Economics and Finance. RePEc:rfa:aefjnl:v:12:y:2025:i:3:p:30-46.

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2024Hybrid forecasting of crude oil volatility index: The cross‐market effects of stock market jumps. (2024). Wang, LU ; Jiang, Gongyue ; Qiao, Gaoxiu ; Ma, Feng. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:6:p:2378-2398.

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

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2024Option pricing with dynamic conditional skewness. (2024). Du, Lingshan ; Liang, Fang. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:7:p:1154-1188.

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2024VIX option pricing through nonaffine GARCH dynamics and semianalytical formula. (2024). Zhang, Yuanyuan ; Wang, QI ; Liu, Junting. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:7:p:1189-1223.

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2025Unveiling Bidirectional Forecasting Between Volatility of VIX and Stock Market: Insights From Asymmetric Jumps and Cojumps. (2025). Jiang, Gongyue ; Qiao, Gaoxiu ; Liang, Chao. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:10:p:1717-1739.

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2025Volatility of Volatility and VIX Forecasting: New Evidence Based on Jumps, the Short‐Term and Long‐Term Volatility. (2025). Qiao, Gaoxiu ; Cui, Wanmei ; Zhou, Yijie ; Liang, Chao. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:1:p:23-46.

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2025The Variance Risk Premium Over Trading and Nontrading Periods. (2025). Dotsis, George ; Papagelis, Lucas. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:7:p:752-770.

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2025Pricing VXX Options With Observable Volatility Dynamics From High‐Frequency VIX Index. (2025). Lu, Shan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:7:p:771-801.

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Works by Tianyi Wang:

YearTitleTypeCited
2021Liquidation, Leverage and Optimal Margin in Bitcoin Futures Markets In: Papers.
[Full Text][Citation analysis]		paper1
2021Liquidation, leverage and optimal margin in bitcoin futures markets.(2021) In: Applied Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2021Realized GARCH, CBOE VIX, and the Volatility Risk Premium In: Papers.
[Full Text][Citation analysis]		paper4
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]		article3
2016Modeling long memory volatility using realized measures of volatility: A realized HAR GARCH model In: Economic Modelling.
[Full Text][Citation analysis]		article31
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]		article4
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]		article1
2023Pricing VIX futures: A framework with random level shifts In: Finance Research Letters.
[Full Text][Citation analysis]		article1
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]		article2
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]		article7
2022Directly pricing VIX futures: the role of dynamic volatility and jump intensity In: Applied Economics.
[Full Text][Citation analysis]		article5
2015Impact of exchange rate regime reform on asset returns in China In: The European Journal of Finance.
[Full Text][Citation analysis]		article4
2011Chinas macroeconomic stability – an empirical study based on survey data In: China Economic Journal.
[Full Text][Citation analysis]		article0
2016Revisiting the risk-return relation in the Chinese stock market: Decomposition of risk premium and volatility feedback effect In: China Economic Journal.
[Full Text][Citation analysis]		article0
2019Out‐of‐sample volatility prediction: A new mixed‐frequency approach In: Journal of Forecasting.
[Full Text][Citation analysis]		article22
2017Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach In: Journal of Futures Markets.
[Full Text][Citation analysis]		article23
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]		article6
2022Overnight volatility, realized volatility, and option pricing In: Journal of Futures Markets.
[Full Text][Citation analysis]		article9
2022Do VIX futures contribute to the valuation of VIX options? In: Journal of Futures Markets.
[Full Text][Citation analysis]		article1

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