19
H index
22
i10 index
2894
Citations
Tsinghua University | 19 H index 22 i10 index 2894 Citations RESEARCH PRODUCTION: 16 Articles 39 Papers 2 Chapters RESEARCH ACTIVITY: 23 years (1997 - 2020). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pzh134 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Hao Zhou. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Econometrics | 5 |
Journal of Banking & Finance | 2 |
Journal of Business & Economic Statistics | 2 |
Review of Financial Studies | 2 |
Year | Title of citing document | |
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2023 | Is Climate Transition Risk Priced into Corporate Credit Risk? Evidence from Credit Default Swaps. (2023). Ugolini, Andrea ; Ojea-Ferreiro, Javier ; Reboredo, Juan Carlos. In: FEEM Working Papers. RePEc:ags:feemwp:330720. Full description at Econpapers || Download paper | |
2023 | Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267. Full description at Econpapers || Download paper | |
2023 | Generalized Autoregressive Score Trees and Forests. (2023). Simsek, Yasin ; Patton, Andrew J. In: Papers. RePEc:arx:papers:2305.18991. Full description at Econpapers || Download paper | |
2023 | Bayesian SAR model with stochastic volatility and multiple time-varying weights. (2023). Iacopini, Matteo ; Costola, Michele ; Wichers, Casper. In: Papers. RePEc:arx:papers:2310.17473. Full description at Econpapers || Download paper | |
2023 | Optimal Consumption--Investment Problems under Time-Varying Incomplete Preferences. (2023). Xia, Weixuan. In: Papers. RePEc:arx:papers:2312.00266. Full description at Econpapers || Download paper | |
2023 | Estimation of Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2309. Full description at Econpapers || Download paper | |
2023 | Time-Varying Risk Aversion and International Stock Returns. (2023). Guidolin, Massimo ; Cabrera, Gabriel ; Hansen, Erwin. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp23203. Full description at Econpapers || Download paper | |
2023 | Generalized Autoregressive Gamma Processes. (2023). Feunou, Bruno. In: Staff Working Papers. RePEc:bca:bocawp:23-40. Full description at Econpapers || Download paper | |
2023 | Interdependence between assets and liabilities in the banking system: changes in the last two decades. (2023). Piersanti, Fabio Massimo ; Michelangeli, Valentina. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_752_23. Full description at Econpapers || Download paper | |
2023 | The effects of two-way lending between financial conglomerates in bilateral repo markets. (2023). Florez-Acosta, Jorge ; Caon, Carlos ; Gomez, Karoll. In: Borradores de Economia. RePEc:bdr:borrec:1246. Full description at Econpapers || Download paper | |
2023 | Audit Effort and Stock Price Crash Risk. (2023). Zhou, Wei ; Wu, Liansheng ; Luo, Wei ; Han, Xiaomei. In: Abacus. RePEc:bla:abacus:v:59:y:2023:i:1:p:230-257. Full description at Econpapers || Download paper | |
2023 | Bank systemic risk: An analysis of the sovereign rating ceiling policy and rating downgrades. (2023). Pham, Thu Phuong ; Zurbruegg, Ralf ; Wasi, Md Abdul. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:50:y:2023:i:1-2:p:411-440. Full description at Econpapers || Download paper | |
2023 | Equilibrium investment with random risk aversion. (2023). Steffensen, Mogens ; Desmettre, Sascha. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:946-975. Full description at Econpapers || Download paper | |
2023 | Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data. (2023). GUPTA, RANGAN ; Dimitrios, Vortelinos ; Konstantinos, Gkillas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:1:p:25-47:n:8. Full description at Econpapers || Download paper | |
2023 | Anticipating extreme losses using score-driven shape filters. (2023). Blazsek, Szabolcs ; Alvaro, Escribano ; Szabolcs, Blazsek ; Astrid, Ayala. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:4:p:449-484:n:1. Full description at Econpapers || Download paper | |
2023 | Differences between NZ and U.S. individual investor sentiment: More noise or more information?. (2023). Wei, Xiaopeng ; Wagner, Moritz ; Biakowski, Jdrzej. In: Working Papers in Economics. RePEc:cbt:econwp:23/11. Full description at Econpapers || Download paper | |
2023 | MEASURING ASYMMETRIC VOLATILITY OF UK, FRANCE, AND GERMAN STOCK MARKETS. (2023). Iacob, Anca Ioana ; Trivedi, Jatin ; Hawaldar, Iqbal Thonse ; Birau, Ramona ; Spulbar, Cristi. In: Annals - Economy Series. RePEc:cbu:jrnlec:y:2023:v:1:p:134-146. Full description at Econpapers || Download paper | |
2023 | Monitoring Banking System Connectedness with Big Data. (2023). Lopez, Jose ; Hale, Galina. In: Santa Cruz Department of Economics, Working Paper Series. RePEc:cdl:ucscec:qt17h5v7rj. Full description at Econpapers || Download paper | |
2023 | Global Production Linkages and Stock Market Comovement. (2023). Auer, Raphael A ; Wagner, Alexander F ; Schrimpf, Andreas ; Iwadate, Bruce. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10492. Full description at Econpapers || Download paper | |
2023 | Macroprudential Regulation: A Risk Management Approach. (2023). van Wijnbergen, Sweder ; Dimitrov, Daniel. In: Working Papers. RePEc:dnb:dnbwpp:765. Full description at Econpapers || Download paper | |
2023 | Quantifying Systemic Risk in the Presence of Unlisted Banks: Application to the European Banking Sector. (2023). van Wijnbergen, Sweder ; Dimitrov, Daniel. In: Working Papers. RePEc:dnb:dnbwpp:768. Full description at Econpapers || Download paper | |
2023 | Using machine learning to measure financial risk in China. (2023). Ricci, Martino ; Azqueta-Gavaldon, Andres ; Apostolou, Apostolos ; Al-Haschimi, Alexander. In: Working Paper Series. RePEc:ecb:ecbwps:20232767. Full description at Econpapers || Download paper | |
2023 | Credit default swaps, the leverage effect, and cross-sectional predictability of equity and firm asset volatility. (2023). Lovreta, Lidija ; Forte, Santiago. In: Journal of Corporate Finance. RePEc:eee:corfin:v:79:y:2023:i:c:s0929119922001900. Full description at Econpapers || Download paper | |
2023 | Testing factor models when asset bubbles occur: A time-varying perspective. (2023). Li, Yanglin ; Yu, LU. In: Economic Modelling. RePEc:eee:ecmode:v:124:y:2023:i:c:s0264999323001232. Full description at Econpapers || Download paper | |
2023 | The role of uncertainty in forecasting volatility comovements across stock markets. (2023). Palomba, Giulio ; Rossi, Eduardo ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001219. Full description at Econpapers || Download paper | |
2023 | A description of the COVID-19 outbreak role in financial risk forecasting. (2023). Righi, Marcelo Brutti ; Santos, Samuel Solgon ; Muller, Fernanda Maria. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000177. Full description at Econpapers || Download paper | |
2023 | Research on the time-varying effects among green finance markets in China: A fresh evidence from multi-frequency scale perspective. (2023). Chen, Ling ; Fu, Yating ; Xia, Yufei ; Liu, Rongyan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000372. Full description at Econpapers || Download paper | |
2023 | Forecasting 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. Full description at Econpapers || Download paper | |
2023 | Cross-industry asset allocation with the spatial interaction on multiple risk transmission channels. (2023). Jin, Xiu ; Chen, NA. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s106294082300058x. Full description at Econpapers || Download paper | |
2023 | A discrete-time hedging framework with multiple factors and fat tails: On what matters. (2023). Begin, Jean-Franois ; Badescu, Alexandru ; Augustyniak, Maciej. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:416-444. Full description at Econpapers || Download paper | |
2023 | A GMM approach to estimate the roughness of stochastic volatility. (2023). Veliyev, Bezirgen ; Pakkanen, Mikko S ; Christensen, Kim ; Bolko, Anine E. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:745-778. Full description at Econpapers || Download paper | |
2023 | Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation. (2023). Ma, Tiejun ; Xu, Huifu ; Wang, Wei. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:1:p:322-347. Full description at Econpapers || Download paper | |
2023 | Tail-event driven NETwork dependence in emerging markets. (2023). Yousaf, Imran ; Ali, Shoaib ; Yarovaya, Larisa ; Karim, Sitara ; Naeem, Muhammad Abubakr. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014122000887. Full description at Econpapers || Download paper | |
2023 | Leverage made at home: Investors margin loan usage and firm leverage. (2023). Niu, Zilong ; Liu, Chunbo. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000158. Full description at Econpapers || Download paper | |
2023 | Out-of-sample equity premium prediction: The role of option-implied constraints. (2023). Zhou, TI ; Wang, Yunqi. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:199-226. Full description at Econpapers || Download paper | |
2023 | Detecting jumps amidst prevalent zero returns: Evidence from the U.S. Treasury securities. (2023). Park, Jeayoung ; Huh, Sahn-Wook ; Han, Seung-Oh. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:276-307. Full description at Econpapers || Download paper | |
2023 | Burned by leverage? Flows and fragility in bond mutual funds. (2023). Wedow, Michael ; Weistroffer, Christian ; Vivar, Luis Molestina. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:354-380. Full description at Econpapers || Download paper | |
2023 | Oil price assumptions for macroeconomic policy. (2023). Filis, George ; Degiannakis, Stavros. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005540. Full description at Econpapers || Download paper | |
2023 | Do oil shocks affect the green bond market?. (2023). Ahmad, Nasir ; Vo, Xuan Vinh ; Zeitun, Rami ; Raheem, Ibrahim D ; Ur, Mobeen. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005588. Full description at Econpapers || Download paper | |
2023 | The connectedness of oil shocks, green bonds, sukuks and conventional bonds. (2023). Sokolova, Tatiana ; Hadhri, Sinda ; Abrar, Afsheen ; Umar, Zaghum. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000609. Full description at Econpapers || Download paper | |
2023 | Multilayer network analysis for measuring the inter-connectedness between the oil market and G20 stock markets. (2023). Zhang, Xinhua ; Tang, Rui ; Dai, Zhifeng. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001378. Full description at Econpapers || Download paper | |
2023 | Climate transition risk in U.S. loan portfolios: Are all banks the same?. (2023). , Eric ; McCarten, Matthew ; Kuruppuarachchi, Duminda ; Diaz-Rainey, Ivan ; Nguyen, Quyen. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922003519. Full description at Econpapers || Download paper | |
2023 | Measuring financial soundness around the world: A machine learning approach. (2023). Mertzanis, Charilaos ; Cerchiello, Paola ; Bitetto, Alessandro. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s105752192200401x. Full description at Econpapers || Download paper | |
2023 | The change in stock-selection risk and stock market returns. (2023). Liang, Chao ; Toan, Luu Duc ; He, Qiubei ; Liu, Jing. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004070. Full description at Econpapers || Download paper | |
2023 | On the right jump tail inferred from the VIX market. (2023). Izzeldin, Marwan ; Yao, Xingzhi ; Li, Zhenxiong. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000236. Full description at Econpapers || Download paper | |
2023 | Long-term adjusted volatility: Powerful capability in forecasting stock market returns. (2023). Li, Yan ; Liu, Jing ; Qiu, Rui. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000467. Full description at Econpapers || Download paper | |
2023 | Risk appetite and option prices: Evidence from the Chinese SSE50 options market. (2023). Sui, Cong ; Wang, Shouyang ; Liu, Qing. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000571. Full description at Econpapers || Download paper | |
2023 | A comprehensive investigation on the predictive power of economic policy uncertainty from non-U.S. countries for U.S. stock market returns. (2023). Huang, Dengshi ; Bouri, Elie ; Ma, Feng. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001722. Full description at Econpapers || Download paper | |
2023 | Good volatility, bad volatility, and the cross section of cryptocurrency returns. (2023). Zhao, Ran ; Zhang, Zehua. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002284. Full description at Econpapers || Download paper | |
2023 | Applications of high-frequency data in finance: A bibliometric literature review. (2023). Ahmad, Nisar ; Ahmed, Sheraz ; Hussain, Syed Mujahid. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s105752192300306x. Full description at Econpapers || Download paper | |
2023 | Predicting inflation expectations: A habit-based explanation under hedging. (2023). Owusu-Amoako, Johnson ; Dunbar, Kwamie. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003320. Full description at Econpapers || Download paper | |
2023 | Can geopolitical risks excite Germany economic policy uncertainty: Rethinking in the context of the Russia-Ukraine conflict. (2023). Hong, Yanran ; Shen, Lihua. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005979. Full description at Econpapers || Download paper | |
2023 | Sectoral spillovers and systemic risks: Evidence from China. (2023). Liu, Xutang ; Yue, Dianmin ; Goodell, John W ; Chen, Shoudong. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003902. Full description at Econpapers || Download paper | |
2023 | Uncertainty in systemic risks rankings: Bayesian and frequentist analysis. (2023). Goldman, Elena. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004002. Full description at Econpapers || Download paper | |
2023 | Stock illiquidity and option returns. (2023). Uhrig-Homburg, Marliese ; Korn, Olaf ; Kanne, Stefan. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000556. Full description at Econpapers || Download paper | |
2023 | Options market ambiguity and its information content. (2023). Han, YU ; Chen, Qiang. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000799. Full description at Econpapers || Download paper | |
2023 | Equity premium prediction: The role of information from the options market. (2023). Voukelatos, Nikolaos ; Panopoulou, Ekaterini ; Apergis, Iraklis ; Alexandridis, Antonios K. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000908. Full description at Econpapers || Download paper | |
2023 | Job postings and aggregate stock returns. (2023). Odoherty, Michael S ; Kothari, Pratik. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418123000022. Full description at Econpapers || Download paper | |
2023 | Systemic risk and CO2 emissions in the U.S.. (2023). Zervopoulos, Panagiotis ; Molyneux, Philip ; Kanas, Angelos. In: Journal of Financial Stability. RePEc:eee:finsta:v:64:y:2023:i:c:s1572308922001097. Full description at Econpapers || Download paper | |
2023 | What is mine is yours: Sovereign risk transmission during the European debt crisis. (2023). Shin, Yongcheol ; Nguyen, Viet Hoang ; Greenwood-Nimmo, Matthew. In: Journal of Financial Stability. RePEc:eee:finsta:v:65:y:2023:i:c:s1572308923000037. Full description at Econpapers || Download paper | |
2023 | Bank resolution mechanisms revisited: Towards a new era of restructuring. (2023). Tsomocos, Dimitrios P ; Kryg, Natalia ; Hryckiewicz, Aneta. In: Journal of Financial Stability. RePEc:eee:finsta:v:67:y:2023:i:c:s157230892300058x. Full description at Econpapers || Download paper | |
2023 | Discovering the drivers of stock market volatility in a data-rich world. (2023). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001561. Full description at Econpapers || Download paper | |
2023 | Spreading of cross-market volatility information: Evidence from multiplex network analysis of volatility spillovers. (2023). Foglia, Matteo ; Xie, Chi ; Zhu, You ; Zhou, Yang ; Wang, Gang-Jin ; Gong, Jue. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:83:y:2023:i:c:s104244312300001x. Full description at Econpapers || Download paper | |
2023 | International stock volatility predictability: New evidence from uncertainties. (2023). Wu, Lan ; Wang, Tianyang ; Ma, Feng. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000495. Full description at Econpapers || Download paper | |
2023 | Predictability of bull and bear markets: A new look at forecasting stock market regimes (and returns) in the US. (2023). Neuenkirch, Matthias ; Haase, Felix. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:587-605. Full description at Econpapers || Download paper | |
2023 | Impact of international expansion strategy on the performance of Japanese banks. (2023). Harimaya, Kozo. In: Japan and the World Economy. RePEc:eee:japwor:v:65:y:2023:i:c:s0922142522000585. Full description at Econpapers || Download paper | |
2023 | Option Returns, Risk Premiums, and Demand Pressure in Energy Markets. (2023). Li, Bingxin ; Jacobs, Kris. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002679. Full description at Econpapers || Download paper | |
2023 | The sum of all fears: Forecasting international returns using option-implied risk measures. (2023). Toupin, Dominique ; Power, Gabriel J ; Gagnon, Marie-Helene. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002813. Full description at Econpapers || Download paper | |
2023 | Efficient Quasi-Bayesian Estimation of Affine Option Pricing Models Using Risk-Neutral Cumulants. (2023). Lutkebohmert, Eva ; Gonzato, Luca ; Brignone, Riccardo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:148:y:2023:i:c:s0378426622003259. Full description at Econpapers || Download paper | |
2023 | Share pledge financing network and systemic risks: Evidence from China. (2023). Wang, ZE ; Qin, Xiao. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:152:y:2023:i:c:s037842662300095x. Full description at Econpapers || Download paper | |
2023 | Biased risk perceptions: Evidence from the laboratory and financial markets. (2023). Putni, Tlis J ; Pradier, Lionnel ; Payzan-Lenestour, Elise. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426622002655. Full description at Econpapers || Download paper | |
2023 | Downside variance premium, firm fundamentals, and expected corporate bond returns. (2023). Li, Junye ; Jiang, Liang ; Huang, Tao. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001516. Full description at Econpapers || Download paper | |
2023 | Institutional investors, the dollar, and U.S. credit conditions. (2023). Schmidt-Eisenlohr, Tim ; Niepmann, Friederike. In: Journal of Financial Economics. RePEc:eee:jfinec:v:147:y:2023:i:1:p:198-220. Full description at Econpapers || Download paper | |
2023 | What are the events that shake our world? Measuring and hedging global COVOL. (2023). Campos-Martins, Susana ; Engle, Robert F. In: Journal of Financial Economics. RePEc:eee:jfinec:v:147:y:2023:i:1:p:221-242. Full description at Econpapers || Download paper | |
2023 | Asset holders’ consumption risk and tests of conditional CCAPM. (2023). Jo, Chanik ; Elkamhi, Redouane. In: Journal of Financial Economics. RePEc:eee:jfinec:v:148:y:2023:i:3:p:220-244. Full description at Econpapers || Download paper | |
2023 | Debt dynamics and credit risk. (2023). Schaefer, Stephen ; Feldhutter, Peter. In: Journal of Financial Economics. RePEc:eee:jfinec:v:149:y:2023:i:3:p:497-535. Full description at Econpapers || Download paper | |
2023 | Volatility in US dairy futures markets. (2023). Yu, Linda ; Tse, Yiuman ; Jump, Jeff ; Fan, Zaifeng. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:29:y:2023:i:c:s2405851322000666. Full description at Econpapers || Download paper | |
2023 | Carr and Wu’s (2020) framework in the oil ETF option market. (2023). Zhang, Jin E ; Ruan, Xinfeng ; Jia, Xiaolan. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851323000247. Full description at Econpapers || Download paper | |
2023 | Quantile connectedness between oil price shocks and exchange rates. (2023). Bossman, Ahmed ; Umar, Zaghum. In: Resources Policy. RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723003690. Full description at Econpapers || Download paper | |
2023 | Return spillover across Chinas financial markets. (2023). Yang, Jimmy J ; Qin, Rong-Ling ; Mo, Wan-Shin ; Chen, Yu-Lun. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:80:y:2023:i:c:s0927538x23001233. Full description at Econpapers || Download paper | |
2023 | The asymmetric impact of oil price shocks on China stock market: Evidence from quantile-on-quantile regression. (2023). Ge, Zhenyu. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:89:y:2023:i:c:p:120-125. Full description at Econpapers || Download paper | |
2023 | The volatility index and volatility risk premium in China. (2023). Zhang, Jin E ; Gehricke, Sebastian ; Ruan, Xinfeng ; Yue, Tian. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:91:y:2023:i:c:p:40-55. Full description at Econpapers || Download paper | |
2023 | Foreign exchange market efficiency during COVID-19 pandemic. (2023). El-Masry, Ahmed ; Azzam, Islam ; Yamani, Ehab. In: International Review of Economics & Finance. RePEc:eee:reveco:v:86:y:2023:i:c:p:717-730. Full description at Econpapers || Download paper | |
2023 | Central bank asset purchases, banks’ risky security holdings and profitability: Macro and micro evidence from Japan and the U.S.. (2023). Wang, Ling. In: International Review of Economics & Finance. RePEc:eee:reveco:v:87:y:2023:i:c:p:347-364. Full description at Econpapers || Download paper | |
2023 | Stock market volatility prediction: Evidence from a new bagging model. (2023). Huang, Dengshi ; Xu, Weiju ; Bu, Jinfeng ; Luo, Qin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:87:y:2023:i:c:p:445-456. Full description at Econpapers || Download paper | |
2023 | The predictability of skewness risk premium on stock returns: Evidence from Chinese market. (2023). Wang, Linyu ; Ni, Zhongxin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:87:y:2023:i:c:p:576-594. Full description at Econpapers || Download paper | |
2023 | Belief-based momentum indicator and stock market return predictability. (2023). Liang, Chao ; Xu, Yongan ; Huo, Jiale. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002112. Full description at Econpapers || Download paper | |
2023 | Return–volume nexus in financial markets: A survey of research. (2023). Yamani, Ehab. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000363. Full description at Econpapers || Download paper | |
2023 | Corporate bond liquidity and yield spreads: A review. (2023). Namin, Elmira Shekari ; Goldstein, Michael A. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s027553192300051x. Full description at Econpapers || Download paper | |
2023 | Financial networks and systemic risk vulnerabilities: A tale of Indian banks. (2023). Bekiros, Stelios ; Khan, Mohammad Azeem ; Wadhwani, Akshay ; Tiwari, Shiv Ratan ; Ahmad, Wasim. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000880. Full description at Econpapers || Download paper | |
2023 | Parameter estimation for integrated Ornstein–Uhlenbeck processes with small Lévy noises. (2023). Zhang, Xuekang ; Jiang, Ziwei ; Shu, Huisheng. In: Statistics & Probability Letters. RePEc:eee:stapro:v:199:y:2023:i:c:s0167715223000755. Full description at Econpapers || Download paper | |
2023 | Carbon default swap – disentangling the exposure to carbon risk through CDS. (2023). Taschini, Luca ; Kiesel, Rudiger ; Blasberg, Alexander. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:118092. Full description at Econpapers || Download paper | |
2023 | Carbon default swap – disentangling the exposure to carbon risk through CDS. (2023). Taschini, Luca ; Kiesel, Rudiger ; Blasberg, Alexander. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:118096. Full description at Econpapers || Download paper | |
2023 | Is Climate Transition Risk Priced into Corporate Credit Risk? Evidence from Credit Default Swaps. (2023). Ugolini, Andrea ; Ojea-Ferreiro, Javier ; Reboredo, Juan C. In: Working Papers. RePEc:fem:femwpa:2023.04. Full description at Econpapers || Download paper | |
2023 | The Pricing Kernel in Options. (2023). Kim, Hyung Joo ; Jacobs, Kris ; Heston, Steven. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:96652. Full description at Econpapers || Download paper | |
2023 | The Price of Macroeconomic Uncertainty: Evidence from Daily Options. (2023). Samadi, Mehrdad ; Londono, Juan M. In: International Finance Discussion Papers. RePEc:fip:fedgif:96660. Full description at Econpapers || Download paper | |
2023 | Asymmetric Risk Connectedness between Crude Oil and Agricultural Commodity Futures in China before and after the COVID-19 Pandemic: Evidence from High-Frequency Data. (2023). He, Chunyan ; Qu, Fang ; She, Wensen ; Zhang, Deyuan. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:16:p:5898-:d:1213838. Full description at Econpapers || Download paper | |
2023 | A Component Expected Shortfall Approach to Systemic Risk: An Application in the South African Financial Industry. (2023). Ngobese, Sibusiso Blessing ; Manguzvane, Mathias Mandla. In: IJFS. RePEc:gam:jijfss:v:11:y:2023:i:4:p:146-:d:1297997. Full description at Econpapers || Download paper | |
2023 | On the Exchange Rate Dynamics of the Norwegian Krone. (2023). Westgaard, Sjur ; Thune, Kristian August ; Thodesen, Airin ; Risstad, Morten. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:7:p:308-:d:1178905. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
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2007 | Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 212 |
2011 | Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities.(2011) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 212 | article | |
2004 | Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities.(2004) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 212 | paper | |
2005 | Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities.(2005) In: Proceedings. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 212 | article | |
2007 | Expected Stock Returns and Variance Risk Premia In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 748 |
2006 | Expected stock returns and variance risk premia.(2006) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 748 | paper | |
2009 | Expected Stock Returns and Variance Risk Premia.(2009) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 748 | article | |
2012 | Stock Return and Cash Flow Predictability: The Role of Volatility Risk In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 23 |
2002 | Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 0 |
2004 | Regime Shifts, Risk Premiums in the Term Structure, and the Business Cycle In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 54 |
2003 | Regime-shifts, risk premiums in the term structure, and the business cycle.(2003) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 54 | paper | |
2011 | Systemic risk contributions In: BIS Papers chapters. [Full Text][Citation analysis] | chapter | 162 |
2011 | Systemic risk contributions.(2011) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 162 | paper | |
2012 | Systemic Risk Contributions.(2012) In: Journal of Financial Services Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 162 | article | |
2005 | Explaining credit default swap spreads with equity volatility and jump risks of individual firms In: BIS Working Papers. [Full Text][Citation analysis] | paper | 256 |
2005 | Explaining credit default swap spreads with the equity volatility and jump risks of individual firms.(2005) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 256 | paper | |
2009 | Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms.(2009) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 256 | article | |
2009 | A Framework for Assessing the Systemic Risk of Major Financial Institutions In: BIS Working Papers. [Full Text][Citation analysis] | paper | 306 |
2009 | A framework for assessing the systemic risk of major financial institutions.(2009) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 306 | article | |
2009 | A framework for assessing the systemic risk of major financial institutions.(2009) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 306 | paper | |
2010 | Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis In: BIS Working Papers. [Full Text][Citation analysis] | paper | 116 |
2012 | Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis.(2012) In: Journal of Financial Stability. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 116 | article | |
2009 | Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis.(2009) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 116 | paper | |
2012 | Ambiguity Aversion and Variance Premium In: Boston University - Department of Economics - Working Papers Series. [Full Text][Citation analysis] | paper | 24 |
2018 | Ambiguity Aversion and Variance Premium.(2018) In: FRB Atlanta Working Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 24 | paper | |
1997 | Rural-Urban Disparity and Sectoral Labor Allocation in China In: Working Papers. [Citation analysis] | paper | 65 |
1999 | Rural-urban disparity and sectoral labour allocation in China.(1999) In: Journal of Development Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 65 | article | |
2002 | Estimating stochastic volatility diffusion using conditional moments of integrated volatility In: Journal of Econometrics. [Full Text][Citation analysis] | article | 171 |
2001 | Estimating stochastic volatility diffusion using conditional moments of integrated volatility.(2001) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 171 | paper | |
2004 | Corrigendum to Estimating stochastic volatility diffusion using conditional moments of integrated volatility [J. Econom. 109 (2002) 33-65] In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1 |
2006 | Volatility puzzles: a simple framework for gauging return-volatility regressions In: Journal of Econometrics. [Full Text][Citation analysis] | article | 123 |
2011 | Realized jumps on financial markets and predicting credit spreads In: Journal of Econometrics. [Full Text][Citation analysis] | article | 87 |
2006 | Realized jumps on financial markets and predicting credit spreads.(2006) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 87 | paper | |
2009 | Bond risk premia and realized jump risk In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 63 |
2020 | Stock-Bond Return Correlation, Bond Risk Premium Fundamentals, and Fiscal-Monetary Policy Regime In: FRB Atlanta Working Paper. [Full Text][Citation analysis] | paper | 0 |
2014 | Hot money and quantitative easing: the spillover effect of U.S. monetary policy on Chinese housing, equity and loan markets In: Globalization Institute Working Papers. [Full Text][Citation analysis] | paper | 4 |
2000 | A study of the finite sample properties of EMM, GMM, QMLE, and MLE for a square-root interest rate diffusion model In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 0 |
2001 | Jump-diffusion term structure and Ito conditional moment generator In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 6 |
2001 | Term structure of interest rates with regime shifts In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 8 |
2003 | Itô conditional moment generator and the estimation of short rate processes In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 18 |
2003 | Itô Conditional Moment Generator and the Estimation of Short-Rate Processes.(2003) In: The Journal of Financial Econometrics. [Citation analysis] This paper has nother version. Agregated cites: 18 | article | |
2003 | Volatility puzzles: a unified framework for gauging return-volatility regressions In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 6 |
2007 | Bond risk premia and realized jump volatility In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 3 |
2008 | Effects of liquidity on the nondefault component of corporate yield spreads: evidence from intraday transactions data In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 30 |
2011 | Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 30 | paper | |
2008 | Specification analysis of structural credit risk models In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 18 |
2010 | Variance risk premia, asset predictability puzzles, and macroeconomic uncertainty In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 14 |
2011 | Credit default swap spreads and variance risk premia In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 2 |
2011 | Risk, uncertainty, and expected returns In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 6 |
2013 | Risk, Uncertainty, and Expected Returns.(2013) In: Koç University-TUSIAD Economic Research Forum Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2011 | Stock return predictability and variance risk premia: statistical inference and international evidence In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 156 |
2015 | Term Structure of Interest Rates with Short-run and Long-run Risks In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 2 |
2012 | Variance risk premiums and the forward premium puzzle In: International Finance Discussion Papers. [Full Text][Citation analysis] | paper | 62 |
2013 | The systemic risk of European banks during the financial and sovereign debt crises In: International Finance Discussion Papers. [Full Text][Citation analysis] | paper | 122 |
2011 | Comment on Systemic Risks and the Macroeconomy In: NBER Chapters. [Full Text][Citation analysis] | chapter | 0 |
2018 | Leverage-Induced Fire Sales and Stock Market Crashes In: NBER Working Papers. [Full Text][Citation analysis] | paper | 25 |
2020 | Does Fiscal Policy Matter for Stock-Bond Return Correlation? In: NBER Working Papers. [Full Text][Citation analysis] | paper | 1 |
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