Zhuo Huang : Citation Profile


Are you Zhuo Huang?

Peking University

10

H index

10

i10 index

576

Citations

RESEARCH PRODUCTION:

17

Articles

5

Papers

RESEARCH ACTIVITY:

   12 years (2010 - 2022). See details.
   Cites by year: 48
   Journals where Zhuo Huang has often published
   Relations with other researchers
   Recent citing documents: 56.    Total self citations: 7 (1.2 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/phu309
   Updated: 2024-04-18    RAS profile: 2021-12-30    
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Relations with other researchers


Works with:

Wang, Tianyi (4)

Hansen, Peter (2)

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

Is cited by:

Wang, Tianyi (26)

Asai, Manabu (25)

Hansen, Peter (16)

Omori, Yasuhiro (12)

Xu, Dinghai (10)

Baruník, Jozef (10)

Chen, Cathy W. S. (9)

Takahashi, Makoto (9)

Gallo, Giampiero (8)

Storti, Giuseppe (8)

Chang, Chia-Lin (8)

Cites to:

Bollerslev, Tim (27)

Hansen, Peter (24)

Shephard, Neil (18)

Engle, Robert (17)

Andersen, Torben (16)

Narayan, Paresh (13)

zou, heng-fu (12)

Diebold, Francis (11)

Lunde, Asger (11)

Sharma, Susan (10)

Wang, Tianyi (9)

Main data


Where Zhuo Huang has published?


Journals with more than one article published# docs
Journal of Futures Markets4
Annals of Economics and Finance3
Economic Modelling2
Economics Letters2

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

Recent works citing Zhuo Huang (2024 and 2023)


YearTitle of citing document
2023Realized recurrent conditional heteroskedasticity model for volatility modelling. (2023). Kohn, Robert ; Tran, Minh-Ngoc ; Wang, Chao ; Liu, Chen. In: Papers. RePEc:arx:papers:2302.08002.

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2023Optimal probabilistic forecasts for risk management. (2023). Martin, Gael M ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Sun, Yuru. In: Papers. RePEc:arx:papers:2303.01651.

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2023Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2023). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488.

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2023S&P 500 volatility, volatility regimes, and economic uncertainty. (2023). Chatrath, Arjun ; Adrangi, Bahram ; Raffiee, Kambiz. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:4:p:1362-1387.

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2023.

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2023Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects. (2023). Papantonis, Ioannis ; Orestis, Agapitos ; Elias, Tzavalis ; Ioannis, Papantonis ; Leonidas, Rompolis. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:2:p:171-198:n:8.

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2023The contribution of realized covariance models to the economic value of volatility timing. (2023). Bauwens, Luc ; Xu, Yongdeng. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2023018.

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2023Forecasting 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.

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2023Macroeconomic uncertainty and firms’ investment in China. (2023). Lin, Juan ; Feng, Zhuozhao. In: Economics Letters. RePEc:eee:ecolet:v:226:y:2023:i:c:s0165176523001209.

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2023A simple joint model for returns, volatility and volatility of volatility. (2023). Ding, Yashuang. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:521-543.

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2023Bayesian estimation of realized GARCH-type models with application to financial tail risk management. (2023). , Edward ; Watanabe, Toshiaki. In: Econometrics and Statistics. RePEc:eee:ecosta:v:28:y:2023:i:c:p:30-46.

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2023Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices. (2023). Fiszeder, Piotr ; Molnar, Peter ; Fadziski, Marcin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:308-321.

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2023Empirical performance of component GARCH models in pricing VIX term structure and VIX futures. (2023). Tsai, Jeffrey Tzuhao ; Lo, Chien-Ling ; Chang, Li-Han ; Cheng, Hung-Wen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:122-142.

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2023Facilitating the implementation of neural network-based predictive control to optimize building heating operation. (2023). Casals, Miquel ; Macarulla, Marcel ; Savadkoohi, Marjan. In: Energy. RePEc:eee:energy:v:263:y:2023:i:pb:s0360544222025890.

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2023Foreign uncertainty and domestic exporter dynamics. (2023). Hu, Shiwei ; Zhang, LI. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s105752192300145x.

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2023Chinese agricultural futures volatility: New insights from potential domestic and global predictors. (2023). Huang, Dengshi ; Su, Yuandong ; Lu, Xinjie. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003022.

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2023Tail risk forecasting of realized volatility CAViaR models. (2023). Watanabe, Toshiaki ; Hsu, Hsiao-Yun. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005050.

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2023Pricing VIX futures: A framework with random level shifts. (2023). Wang, Tianyi ; Feng, Jianfen ; Chen, Xiaoyi. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322006778.

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2023Measuring systemic risk with high-frequency data: A realized GARCH approach. (2023). Liang, Fang ; Huang, Zhuo ; Chen, Qihao. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001265.

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2023Stock liquidity and controlling shareholders encroachment of private interests: Evidence from China. (2023). Liu, Hao ; Gu, Xiang ; He, Xiqiong. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004920.

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2023Monetary policy uncertainty and corporate cash holdings: Evidence from China. (2023). Wang, Xingjian ; Han, Haozhe. In: Journal of Financial Stability. RePEc:eee:finsta:v:67:y:2023:i:c:s1572308923000384.

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2023Discovering 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.

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2023Forecasting extreme financial risk: A score-driven approach. (2023). Herrera, Rodrigo ; Clements, Adam ; Fuentes, Fernanda. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:720-735.

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2023Time-varying variance and skewness in realized volatility measures. (2023). Lucas, Andre ; Opschoor, Anne. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:827-840.

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2023DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations. (2023). Bauwens, Luc ; Xu, Yongdeng. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:938-955.

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2023Improving variance forecasts: The role of Realized Variance features. (2023). Papantonis, Ioannis ; Tzavalis, Elias ; Rompolis, Leonidas. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1221-1237.

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2023Bayesian forecast combination using time-varying features. (2023). Li, Feng ; Kang, Yanfei. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1287-1302.

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2023GARCH option pricing with volatility derivatives. (2023). Park, Yang-Ho ; Oh, Dong Hwan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002989.

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2023The incremental information in the yield curve about future interest rate risk. (2023). Christensen, Bent Jesper ; Veliyev, Bezirgen ; Kjar, Mads Markvart. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:155:y:2023:i:c:s0378426623001711.

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2023Cross-country uncertainty spillovers: Evidence from international survey data. (2023). Beckmann, Joscha ; Schussler, Rainer ; Koop, Gary ; Davidson, Sharada Nia. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:130:y:2023:i:c:s0261560622001632.

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2023Exploring volatility of crude oil intraday return curves: A functional GARCH-X model. (2023). Wirjanto, Tony ; Rice, Gregory ; Zhao, Yuqian. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:32:y:2023:i:c:s240585132300051x.

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2023Realized semi variance quantile connectedness between oil prices and stock market: Spillover from Russian-Ukraine clash. (2023). Tedeschi, Marco ; Zhang, Anqi ; Tarczyska-Uniewska, Magorzata ; Mallek, Sabrine ; Si, Kamel. In: Resources Policy. RePEc:eee:jrpoli:v:85:y:2023:i:pa:s0301420723005093.

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2023A method for predicting VaR by aggregating generalized distributions driven by the dynamic conditional score. (2023). Li, Handong ; Song, Shijia. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:88:y:2023:i:c:p:203-214.

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2023Spillovers in the joint system of conditional higher-order moments: US evidence from green energy, brown energy, and technology stocks. (2023). Bouri, Elie. In: Renewable Energy. RePEc:eee:renene:v:210:y:2023:i:c:p:507-523.

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2023Does climate policy uncertainty affect Chinese stock market volatility?. (2023). Weng, Chen ; Zhang, LI ; Chen, Zhonglu. In: International Review of Economics & Finance. RePEc:eee:reveco:v:84:y:2023:i:c:p:369-381.

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2023Diversification benefits of NFTs for conventional asset investors: Evidence from CoVaR with higher moments and optimal hedge ratios. (2023). Rice, John ; Choi, Sun-Yong ; Usman, Muhammad ; Umar, Zaghum. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000831.

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2023.

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2023Performance of the Realized-GARCH Model against Other GARCH Types in Predicting Cryptocurrency Volatility. (2023). David, Sergio A. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:12:p:211-:d:1295004.

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2023.

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2023The asymmetric effects of climate risk on higher-moment connectedness among carbon, energy and metals markets. (2023). Wu, Shan ; Zhou, Yuqin ; Rognone, Lavinia ; Liu, Zhenhua. In: Nature Communications. RePEc:nat:natcom:v:14:y:2023:i:1:d:10.1038_s41467-023-42925-9.

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2023Volatility or higher moments: Which is more important in return density forecasts of stochastic volatility model?. (2023). Zhao, Ran ; Zhang, Zehua ; Li, Chenxing. In: MPRA Paper. RePEc:pra:mprapa:118459.

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2023Foreign exchange trading and management with the stochastic dual dynamic programming method. (2023). Sepulveda-Hurtado, Guillermo Alexander ; Reus, Lorenzo. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-022-00433-7.

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2023A model-free approach to do long-term volatility forecasting and its variants. (2023). Karmakar, Sayar ; Wu, Kejin. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00466-6.

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2023Review of Statistical Approaches for Modeling High-Frequency Trading Data. (2023). Ravishanker, Nalini ; Basu, Sumanta ; Karpman, Kara ; Dutta, Chiranjit. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-022-00280-7.

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2023Does the tail risk index matter in forecasting downside risk?. (2023). Yang, Jimmy J ; Liu, Hungchun ; Hung, Juicheng. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:3:p:3451-3466.

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2023Trading volume and realized volatility forecasting: Evidence from the China stock market. (2023). Lee, Chien-Chiang ; Choo, Weichong ; Liu, Min. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:1:p:76-100.

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2023A new model for forecasting VaR and ES using intraday returns aggregation. (2023). Li, Handong ; Song, Shijia. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:5:p:1039-1054.

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2023Option pricing with overnight and intraday volatility. (2023). Du, Lingshan ; Liang, Fang ; Huang, Zhuo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:11:p:1576-1614.

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2023VIX futures pricing based on high?frequency VIX: A hybrid approach combining SVR with parametric models. (2023). Jiang, Gongyue ; Qiao, Gaoxiu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:9:p:1238-1260.

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2023Unspanned macro risks in VIX futures. (2023). Yang, Xinglin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:9:p:1305-1328.

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

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Works by Zhuo Huang:


YearTitleTypeCited
2010Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility In: CREATES Research Papers.
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paper23
2012Exponential GARCH Modeling with Realized Measures of Volatility In: CREATES Research Papers.
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paper101
2012Exponential GARCH Modeling with Realized Measures of Volatility.(2012) In: Economics Working Papers.
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This paper has nother version. Agregated cites: 101
paper
2016Exponential GARCH Modeling With Realized Measures of Volatility.(2016) In: Journal of Business & Economic Statistics.
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This paper has nother version. Agregated cites: 101
article
2021Realized GARCH, CBOE VIX, and the Volatility Risk Premium In: Papers.
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paper1
2022Option Pricing with State-dependent Pricing Kernel In: Papers.
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paper0
2021The predictive power of macroeconomic uncertainty for commodity futures volatility In: International Review of Finance.
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article0
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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article16
2015The Spirit of Capitalism and the Equity Premium In: Annals of Economics and Finance.
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article0
2017The Impact of Privatization on TFP: a Quasi-Experiment in China In: Annals of Economics and Finance.
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article1
2015Is there a structural change in the persistence of WTI–Brent oil price spreads in the post-2010 period? In: Economic Modelling.
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article22
2016Modeling long memory volatility using realized measures of volatility: A realized HAR GARCH model In: Economic Modelling.
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article26
2014Estimation of extreme value-at-risk: An EVT approach for quantile GARCH model In: Economics Letters.
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article3
2018The spillover of macroeconomic uncertainty between the U.S. and China In: Economics Letters.
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article19
2021Modeling dynamic higher moments of crude oil futures In: Finance Research Letters.
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article5
2018Stock liquidity and firm value: evidence from China In: Applied Economics Letters.
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article4
2020Which volatility model for option valuation in China? Empirical evidence from SSE 50 ETF options In: Applied Economics.
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article4
2012Realized GARCH: a joint model for returns and realized measures of volatility In: Journal of Applied Econometrics.
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article285
2017Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach In: Journal of Futures Markets.
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article19
2017Pricing the CBOE VIX Futures with the Heston–Nandi GARCH Model In: Journal of Futures Markets.
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article24
2019VIX term structure and VIX futures pricing with realized volatility In: Journal of Futures Markets.
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article21
2021Pricing VIX options with realized volatility In: Journal of Futures Markets.
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article2

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