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:
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   Permalink: http://citec.repec.org/pwa530
   Updated: 2020-11-21    RAS profile: 2020-08-09    
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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)

Gonzalez-Rivera, Gloria (1)

Ruiz, Esther (1)

Murugesan, Selvam (1)

Veiga, Helena (1)

JAWADI, Fredj (1)

Xu, Dinghai (1)

Matei, Marius (1)

Cites to:

Bollerslev, Tim (16)

Hansen, Peter (14)

Andersen, Torben (9)

Huang, Zhuo (8)

Shephard, Neil (8)

Lunde, Asger (8)

Diebold, Francis (7)

Engle, Robert (7)

Patton, Andrew (4)

Nason, James (4)

Corsi, Fulvio (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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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

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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.

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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.

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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.

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

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