5
H index
5
i10 index
88
Citations
Jiling Cao : Citation Profile
| RESEARCH PRODUCTION: 14 Articles 7 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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10 years (2011 - 2021). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Jiling Cao. | Is cited by:
| Cites to:
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Main data
Where Jiling Cao has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Futures Markets | 3 |
| Journal of Mathematical Economics | 3 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| MPRA Paper / University Library of Munich, Germany | 4 |
| Papers / arXiv.org | 3 |
Recent works citing Jiling Cao (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2025 | Investment opportunity strategy in a double-mean-reverting 4/2 stochastic volatility environment. (2025). Cao, Jiling ; Kim, Jeong-Hoon ; Liu, Wenqiang ; Zhang, Wenjun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940824002833. Full description at Econpapers || Download paper |
| 2024 | The VIXs term structure of individual active stocks. (2024). David, OR ; Qadan, Mahmoud ; Shuval, Kerem ; Snunu, Iyad. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612324000667. Full description at Econpapers || Download paper |
| 2024 | Fear, extreme fear and U.S. stock market returns. (2024). Gradojevic, Nikola ; Bouri, Elie ; Nekhili, Ramzi. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:656:y:2024:i:c:s0378437124007210. Full description at Econpapers || Download paper |
| 2024 | Forecasting the CBOE VIX and SKEW Indices Using Heterogeneous Autoregressive Models. (2024). Guidolin, Massimo ; Panzeri, Giulia F. In: Forecasting. RePEc:gam:jforec:v:6:y:2024:i:3:p:40-814:d:1478296. Full description at Econpapers || Download paper |
| 2024 | Efficient Scheme for the Economic Heston–Hull–White Problem Using Novel RBF-FD Coefficients Derived from Multiquadric Function Integrals. (2024). Zhao, Zixiao ; Liu, Tao ; Shateyi, Stanford ; Ling, Shiyi ; Chao, Heyang ; Nafchi, Hasan Fattahi. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:14:p:2234-:d:1437367. Full description at Econpapers || Download paper |
| 2024 | Uncertainty Measures and Sector-Specific REITs in a Regime-Switching Environment. (2024). Kilincarslan, Erhan ; Demiralay, Sercan. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:69:y:2024:i:3:d:10.1007_s11146-022-09898-w. Full description at Econpapers || Download paper |
| 2024 | A probabilistic approach for the valuation of variance swaps under stochastic volatility with jump clustering and regime switching. (2024). He, Xin-Jiang ; Lin, Sha. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-024-00640-4. Full description at Econpapers || Download paper |
| 2024 | Revisiting the puzzle of jumps in volatility forecasting: The new insights of high‐frequency jump intensity. (2024). Wang, Tianyang ; Shangguan, Peng ; He, Mengying ; Qu, Hui. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:2:p:218-251. Full description at Econpapers || Download paper |
Works by Jiling Cao:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2016 | Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2018 | Pricing Variance Swaps in a Hybrid Model of Stochastic Volatility and Interest Rate with Regime-Switching.(2018) In: Methodology and Computing in Applied Probability. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2020 | Pricing variance swaps with stochastic volatility and stochastic interest rate under full correlation structure In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2017 | Ex-post core, fine core and rational expectations equilibrium allocations In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Ex-post core, fine core and rational expectations equilibrium allocations.(2018) In: Journal of Mathematical Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2016 | Pricing variance swaps under stochastic volatility and stochastic interest rate In: Applied Mathematics and Computation. [Full Text][Citation analysis] | article | 10 |
| 2014 | Strategic real options with stochastic volatility in a duopoly model In: Chaos, Solitons & Fractals. [Full Text][Citation analysis] | article | 2 |
| 2013 | Strategic real options with stochastic volatility in a duopoly model.(2013) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2020 | Rough stochastic elasticity of variance and option pricing In: Finance Research Letters. [Full Text][Citation analysis] | article | 3 |
| 2020 | Monetary policy and financial economic growth In: The Journal of Economic Asymmetries. [Full Text][Citation analysis] | article | 3 |
| 2012 | Blocking efficiency in an economy with asymmetric information In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 17 |
| 2013 | Robust efficiency in mixed economies with asymmetric information In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 16 |
| 2013 | Optimal Investment with Multiple Risky Assets for an Insurer in an Incomplete Market In: Discrete Dynamics in Nature and Society. [Full Text][Citation analysis] | article | 0 |
| 2011 | On the core and Walrasian expectations equilibrium in infinite dimensional commodity spaces In: MPRA Paper. [Full Text][Citation analysis] | paper | 12 |
| 2013 | On the core and Walrasian expectations equilibrium in infinite dimensional commodity spaces.(2013) In: Economic Theory. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | article | |
| 2011 | Infinite dimensional mixed economies with asymmetric information In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Rational Expectations Equilibria: Existence and Representation In: MPRA Paper. [Full Text][Citation analysis] | paper | 3 |
| 2016 | Rational expectations equilibria: existence and representation.(2016) In: Economic Theory Bulletin. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2020 | Pricing VIX derivatives with infinite‐activity jumps In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 4 |
| 2020 | Inferring information from the S&P 500, CBOE VIX, and CBOE SKEW indices In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 11 |
| 2021 | Specification analysis of VXX option pricing models under Lévy processes In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 1 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated July, 2 2025. Contact: CitEc Team