Tianyi Wang : Citation Profile


Are you Tianyi Wang?

University of International Business and Economics (UIBE)

6

H index

6

i10 index

119

Citations

RESEARCH PRODUCTION:

11

Articles

RESEARCH ACTIVITY:

   8 years (2012 - 2020). See details.
   Cites by year: 14
   Journals where Tianyi Wang has often published
   Relations with other researchers
   Recent citing documents: 46.    Total self citations: 2 (1.65 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pwa530
   Updated: 2022-11-19    RAS profile: 2020-08-09    
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Relations with other researchers


Works with:

Huang, Zhuo (5)

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 (8)

Zhang, Yaojie (7)

Lyócsa, Štefan (2)

Kumar, Dilip (2)

Výrost, Tomᚠ(2)

Wang, Yudong (2)

Tsakou, Katerina (2)

Tsouknidis, Dimitris (2)

Xu, Dinghai (2)

VORTELINOS, DIMITRIOS (1)

Mora-Valencia, Andrés (1)

Cites to:

Bollerslev, Tim (18)

Hansen, Peter (14)

Huang, Zhuo (10)

Andersen, Torben (10)

Lunde, Asger (8)

Shephard, Neil (8)

Diebold, Francis (7)

Engle, Robert (7)

Corsi, Fulvio (6)

Nason, James (4)

zou, heng-fu (4)

Main data


Where Tianyi Wang has published?


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

Recent works citing Tianyi Wang (2022 and 2021)


YearTitle of citing document
2021Modelling of Daily Price Volatility of South Africa Property Stock Market Using GARCH Analysis. (2021). Ajay, Cyril A ; Fateye, Tosin B. In: AfRES. RePEc:afr:wpaper:2021-013.

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2022Forecasting agricultural commodity price using different models: a case study of widely consumed grains in Nigeria. (2022). Tabash, Mosab I ; Adeeko, Omotara ; Safi, Samir K ; Sanusi, Olajide I. In: Agricultural and Resource Economics: International Scientific E-Journal. RePEc:ags:areint:322724.

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2022A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting. (2021). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:2106.00288.

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2022Edgeworth expansions for volatility models. (2021). Jirak, Moritz . In: Papers. RePEc:arx:papers:2111.00529.

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2021Realized GARCH, CBOE VIX, and the Volatility Risk Premium. (2021). Huang, Zhuo ; Wang, Tianyi ; Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2112.05302.

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2022Option Pricing with State-dependent Pricing Kernel. (2021). Huang, Zhuo ; Hansen, Peter Reinhard ; Tong, Chen. In: Papers. RePEc:arx:papers:2112.05308.

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

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2021Predicting risk in energy markets: Low-frequency data still matter. (2021). Výrost, Tomᚠ; Vrost, Toma ; Todorova, Neda ; Lyocsa, Tefan. In: Applied Energy. RePEc:eee:appene:v:282:y:2021:i:pa:s0306261920315567.

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2022Probability density forecasts for natural gas demand in China: Do mixed-frequency dynamic factors matter?. (2022). Wang, Lei ; Zhao, Zhongchao ; Ding, Lili. In: Applied Energy. RePEc:eee:appene:v:312:y:2022:i:c:s0306261922002100.

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2022Valuation of European-style vulnerable options under the non-affine stochastic volatility and double exponential jump. (2022). Guo, Xunxiang ; Huang, Shoude. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:158:y:2022:i:c:s0960077922002132.

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2021Skew index: Descriptive analysis, predictive power, and short-term forecast. (2021). Mora-Valencia, Andrés ; Vanegas, Esteban ; Rodriguez-Raga, Santiago . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302370.

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2022VIX term structure forecasting: New evidence based on the realized semi-variances. (2022). Qiao, Gaoxiu ; Yang, Jiyu ; Jiang, Gongyue. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001600.

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2022Futures volatility forecasting based on big data analytics with incorporating an order imbalance effect. (2022). Zhang, Yongmin ; Cui, Tianxiang ; Ding, Shusheng. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002137.

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2022Price discovery in the volatility index option market: A univariate GARCH approach. (2022). Mare, Eben ; Venter, Pierre J. In: Finance Research Letters. RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001501.

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2021Forecasting the volatility of asset returns: The informational gains from option prices. (2021). Yao, Wenying ; Tang, Chrismin ; Martin, Vance L. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:862-880.

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2021Stock market volatility forecasting: Do we need high-frequency data?. (2021). Molnár, Peter ; Lyócsa, Štefan ; Vrost, Toma ; Molnar, Peter ; Lyocsa, Tefan. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:3:p:1092-1110.

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2022Dynamic forecasting performance and liquidity evaluation of financial market by Econophysics and Bayesian methods. (2022). Li, Hai-Feng ; Tao, Chen. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:588:y:2022:i:c:s0378437121008190.

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2022Forecasting realised volatility from search volume and overnight sentiment: Evidence from China. (2022). Duong, Duy ; Huang, Chengcheng ; Han, Wei ; Wang, Ping. In: Research in International Business and Finance. RePEc:eee:riibaf:v:62:y:2022:i:c:s0275531922001222.

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2022Identifying the Determinants of Crude Oil Market Volatility by the Multivariate GARCH-MIDAS Model. (2022). Yang, Chenxu ; Xuyang, Chen ; Chuang, O-Chia . In: Energies. RePEc:gam:jeners:v:15:y:2022:i:8:p:2945-:d:795842.

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2021Univariate and Multivariate GARCH Models Applied to Bitcoin Futures Option Pricing. (2021). Mare, Eben ; Venter, Pierre J. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:6:p:261-:d:572373.

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2022Measures of Volatility, Crises, Sentiment and the Role of U.S. ‘Fear’ Index (VIX) on Herding in BRICS (2007–2021). (2022). giouvris, evangelos ; Zhang, Hang. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:3:p:134-:d:769142.

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2021Accelerating FHS Option Pricing Under Linear GARCH. (2021). Fan, Pengying ; Wu, Xinyu ; Xie, Haibin. In: Computational Economics. RePEc:kap:compec:v:58:y:2021:i:2:d:10.1007_s10614-020-10033-1.

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2021R&D investment intensity and jump volatility of stock price. (2021). Larsen, David ; John, Kose ; Jiang, Cheng. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:57:y:2021:i:1:d:10.1007_s11156-020-00944-3.

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2021Systematic risk and performance of stock market in Kenya. (2021). Wamugo, Lucy ; Omagwa, Job ; Mutwiri, Nathan Mwenda. In: International Journal of Research in Business and Social Science (2147-4478). RePEc:rbs:ijbrss:v:10:y:2021:i:4:p:204-214.

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2021The long memory HEAVY process: modeling and forecasting financial volatility. (2021). Christopoulos, A ; Yfanti, S ; Karanasos, M. In: Annals of Operations Research. RePEc:spr:annopr:v:306:y:2021:i:1:d:10.1007_s10479-019-03493-8.

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2021The relationship between trend and volume on the bitcoin market. (2021). Mentel, Urszula ; Bilan, Yuriy ; Szetela, Beata . In: Eurasian Economic Review. RePEc:spr:eurase:v:11:y:2021:i:1:d:10.1007_s40822-021-00166-5.

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2021Does volume really matter? A risk management perspective using cross?country evidence. (2021). Bhattacharyya, Malay ; Patra, Saswat. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:118-135.

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2021A study on volatility spurious almost integration effect: A threshold realized GARCH approach. (2021). Xu, Dinghai. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:3:p:4104-4126.

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2022Volatility forecasting revisited using Markov?switching with time?varying probability transition. (2022). Chen, Zhonglu ; Liang, Chao ; Ma, Feng ; Wang, Jiqian. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:1:p:1387-1400.

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2022A three?dimensional asymmetric power HEAVY model. (2022). Noikokyris, Emmanouil ; Karanasos, Menelaos ; Chortareas, Georgios ; Yfanti, Stavroula. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:3:p:2737-2761.

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2021Forecasting volatility with outliers in Realized GARCH models. (2021). Peng, Lei ; Wu, Zhimin ; Cai, Guanghui. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:4:p:667-685.

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2021Forecasting US stock market volatility: How to use international volatility information. (2021). Ma, Feng ; Wang, Yudong ; Zhang, Yaojie. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:5:p:733-768.

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2021An empirical study on the role of trading volume and data frequency in volatility forecasting. (2021). Lee, Chien-Chiang ; Choo, Weichong ; Liu, Min. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:5:p:792-816.

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2021Forecasting Chinas Crude Oil Futures Volatility: The Role of the Jump, Jumps Intensity, and Leverage Effect. (2021). Huang, Dengshi ; M. I. M. Wahab, ; Ma, Feng ; Wang, Jiqian. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:5:p:921-941.

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2021Shocks to the equity capital ratio of financial intermediaries and the predictability of stock return volatility. (2021). Yin, Libo ; He, Feng. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:6:p:945-962.

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2021The information content of uncertainty indices for natural gas futures volatility forecasting. (2021). Zeng, Qing ; Wang, LU ; Ma, Feng ; Liang, Chao. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:7:p:1310-1324.

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2021Forecasting stock return volatility using a robust regression model. (2021). He, Mengxi ; Meng, Fanyi ; Zhang, Yaojie ; Hao, Xianfeng. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:8:p:1463-1478.

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2022Forecasting realized volatility of Chinese stock market: A simple but efficient truncated approach. (2022). Wang, Yudong ; Zhang, Yaojie ; He, Mengxi ; Wen, Danyan. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:2:p:230-251.

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2021VIX futures and its closed?form pricing through an affine GARCH model with realized variance. (2021). Wang, Zerong. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:1:p:135-156.

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2021A short cut: Directly pricing VIX futures with discrete?time long memory model and asymmetric jumps. (2021). Wang, Tianyi ; Bian, Yang ; Yin, Fangsheng. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:4:p:458-477.

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2021Pricing VIX options with realized volatility. (2021). Huang, Zhuo ; Tong, Chen. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:8:p:1180-1200.

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2022GARCH pricing and hedging of VIX options. (2022). Guo, Shuxin ; Jiao, Yuhan ; Liu, Qiang. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:6:p:1039-1066.

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2022Overnight volatility, realized volatility, and option pricing. (2022). Yu, Mei ; Yin, Fangsheng ; Cheng, Sicong ; Wang, Tianyi. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:7:p:1264-1283.

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2022Option pricing with state?dependent pricing kernel. (2022). Huang, Zhuo ; Hansen, Peter Reinhard ; Tong, Chen. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:8:p:1409-1433.

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2022Directly pricing VIX futures with observable dynamic jumps based on high?frequency VIX. (2022). Wang, LU ; Ma, Feng ; Qiao, Gaoxiu ; Jiang, Gongyue. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:8:p:1518-1548.

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2022Do VIX futures contribute to the valuation of VIX options?. (2022). Wang, Tianyi ; Huang, Zhuo ; Tong, Chen. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:9:p:1644-1664.

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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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article14
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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article21
2020Does measurement error matter in volatility forecasting? Empirical evidence from the Chinese stock market In: Economic Modelling.
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article2
2012Price Volatility Forecast for Agricultural Commodity Futures? The Role of High Frequency Data In: Journal for Economic Forecasting.
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article1
2020Which volatility model for option valuation in China? Empirical evidence from SSE 50 ETF options In: Applied Economics.
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article4
2015Impact of exchange rate regime reform on asset returns in China In: The European Journal of Finance.
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article3
2019Out?of?sample volatility prediction: A new mixed?frequency approach In: Journal of Forecasting.
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article18
2017Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach In: Journal of Futures Markets.
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article18
2017Pricing the CBOE VIX Futures with the Heston–Nandi GARCH Model In: Journal of Futures Markets.
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article21
2019VIX term structure and VIX futures pricing with realized volatility In: Journal of Futures Markets.
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article16

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