Zhuo Huang : Citation Profile

Peking University

10

H index

10

i10 index

648

Citations

RESEARCH PRODUCTION:

17

Articles

5

Papers

RESEARCH ACTIVITY:

   12 years (2010 - 2022). See details.
   Cites by year: 54
   Journals where Zhuo Huang has often published
   Relations with other researchers
   Recent citing documents: 51.    Total self citations: 7 (1.07 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/phu309
   Updated: 2025-05-17    RAS profile: 2021-12-30    
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Relations with other researchers

Works with:

Wang, Tianyi (3)

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)

Kim, Donggyu (13)

Omori, Yasuhiro (12)

Takahashi, Makoto (11)

Xu, Dinghai (10)

Baruník, Jozef (10)

Gallo, Giampiero (9)

Chen, Cathy W. S. (9)

Storti, Giuseppe (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)

Lunde, Asger (11)

Diebold, Francis (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 (2025 and 2024)

YearTitle of citing document
2025A Multivariate Realized GARCH Model. (2025). Hansen, Peter ; Archakov, Ilya ; Lunde, Asger. In: Papers. RePEc:arx:papers:2012.02708.

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2025Option Pricing with Time-Varying Volatility Risk Aversion. (2025). Hansen, Peter ; Tong, Chen. In: Papers. RePEc:arx:papers:2204.06943.

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2024Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2024). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488.

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2024Semi-parametric financial risk forecasting incorporating multiple realized measures. (2024). Gerlach, Richard ; Iroshani, Rangika H ; Tran, Minh-Ngoc ; Wang, Chao. In: Papers. RePEc:arx:papers:2402.09985.

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2024Adaptive combinations of tail-risk forecasts. (2024). Amendola, Alessandra ; Candila, Vincenzo ; Storti, Giuseppe ; Naimoli, Antonio. In: Papers. RePEc:arx:papers:2406.06235.

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2024Loss-based Bayesian Sequential Prediction of Value at Risk with a Long-Memory and Non-linear Realized Volatility Model. (2024). Gerlach, Richard ; Peiris, Rangika ; Tran, Minh-Ngoc ; Wang, Chao. In: Papers. RePEc:arx:papers:2408.13588.

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2024Autoencoder Enhanced Realised GARCH on Volatility Forecasting. (2024). Zhang, Lingxiang ; Storti, Giuseppe ; Gerlach, Richard ; Wang, Chao ; Zhao, Qianli. In: Papers. RePEc:arx:papers:2411.17136.

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2025VIX options in the SABR model. (2025). Pirjol, Dan ; Zhu, Lingjiong. In: Papers. RePEc:arx:papers:2501.06398.

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2025Improving volatility forecasts of the Nikkei 225 stock index using a realized EGARCH model with realized and realized range-based volatilities. (2025). Chang, Yaming. In: Papers. RePEc:arx:papers:2502.02695.

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2025Using quantile time series and historical simulation to forecast financial risk multiple steps ahead. (2025). Storti, Giuseppe ; Naimoli, Antonio ; Gerlach, Richard. In: Papers. RePEc:arx:papers:2502.20978.

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2024High‐Frequency‐Based Volatility Model with Network Structure. (2024). Yuan, Huiling ; Wang, Junhui ; Li, Guodong ; Lu, Kexin. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:4:p:533-557.

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2024Extended multivariate EGARCH model: A model for zero€ return and negative spillovers. (2024). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2024/24.

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2024Option listing and underlying commodity futures volatility in China. (2024). Guo, Jin ; Wen, Xiaoqian. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s0264999324002839.

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2025A long short-term memory enhanced realized conditional heteroskedasticity model. (2025). Kohn, Robert ; Tran, Minh-Ngoc ; Wang, Chao ; Liu, Chen. In: Economic Modelling. RePEc:eee:ecmode:v:142:y:2025:i:c:s0264999324002797.

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2024The economic value of Bitcoin: A volatility timing perspective with portfolio rebalancing. (2024). Hung, Jui-Cheng ; Yang, Jimmy J ; Liu, Hung-Chun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001852.

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2024Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility. (2024). Takahashi, Makoto ; Omori, Yasuhiro ; Watanabe, Toshiaki. In: Econometrics and Statistics. RePEc:eee:ecosta:v:32:y:2024:i:c:p:34-56.

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2024Option valuation via nonaffine dynamics with realized volatility. (2024). Wang, Zerong ; Zhang, Yuanyuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000215.

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2024Extant linkages between Shanghai crude oil and US energy futures: Insights from spillovers of higher-order moments. (2024). Sensoy, Ahmet ; Goodell, John W ; Dionisio, Andreia ; Banerjee, Ameet Kumar. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324003918.

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2024GARCH-M model with an asymmetric risk premium: Distinguishing between ‘good’ and ‘bad’ volatility periods. (2024). Trifonov, Juri ; Potanin, Bogdan. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s105752192300457x.

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2024On practitioners closed-form GARCH option pricing. (2024). Frijns, Bart ; Mozumder, Sharif ; Kabir, Humayun M ; Talukdar, Bakhtear. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s105752192400228x.

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2024Pricing CBOE VIX in non-affine GARCH models with variance risk premium. (2024). Tong, Chen. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324001454.

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2024The spillover effects of U.S. uncertainties on the systemic tail risk of Chinese enterprises. (2024). Liu, Liping ; Xu, Jietian. In: Finance Research Letters. RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004690.

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2024Cross-country spillovers of trade uncertainty and their formation mechanisms. (2024). Zhao, Xiuyi ; Liu, Jinquan ; Wu, Chao. In: Finance Research Letters. RePEc:eee:finlet:v:66:y:2024:i:c:s1544612324006640.

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2024Can the ‘good-bad’ volatility and the leverage effect improve the prediction of cryptocurrency volatility?—Evidence from SHARV-MGJR model. (2024). Chen, Zhenlong ; Hao, Xiaozhen ; Liu, Junjie. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324007876.

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2024Volatility or higher moments: Which is more important in return density forecasts of stochastic volatility model?. (2024). Li, Chenxing ; Zhang, Zehua ; Zhao, Ran. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324008547.

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2024Deep learning enhanced volatility modeling with covariates. (2024). Nguyen, Hoang ; Tran, Minh-Ngoc. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pb:s1544612324011747.

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2024Forecasting Chinese stock market volatility with high-frequency intraday and current return information. (2024). Wang, Yuyao ; Han, Yang ; Wu, Xinyu ; Zhao, AN. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:86:y:2024:i:c:s0927538x24002099.

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2024Volatility forecasts by clustering: Applications for VaR estimation. (2024). Wang, Zijin ; Liu, Peng ; Chen, Peimin ; Wu, Chunchi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:94:y:2024:i:c:s1059056024003320.

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2024Bank equity returns and oil prices: The story from U.S. regional banks during the “shale oil” revolution. (2024). Killins, Robert N ; Egly, Peter V ; Johnk, David W ; Mollick, Andre V. In: Research in International Business and Finance. RePEc:eee:riibaf:v:70:y:2024:i:pa:s0275531924001272.

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2024Doubly multiplicative error models with long- and short-run components. (2024). Gallo, Giampiero ; Amendola, Alessandra ; Candila, V ; Cipollini, F. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:91:y:2024:i:c:s0038012123002768.

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2024Exchange Rate and Stock Prices Volatility Connectedness and Spillover during Pandemic Induced-Crises: Evidence from BRICS Countries. (2024). Bashir, Usman ; Ur, Ramiz ; Hussain, Muntazir. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:31:y:2024:i:1:d:10.1007_s10690-023-09411-0.

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2024Improving Quantile Forecasts via Realized Double Hysteretic GARCH Model in Stock Markets. (2024). , Cindy. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:6:d:10.1007_s10614-024-10563-y.

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2024Oil price and real sector in oil-importing countries: an asymmetric analysis of sub-Saharan Africa. (2024). Akinlo, Taiwo. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:57:y:2024:i:1:d:10.1007_s10644-024-09582-4.

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2024Predicting the volatility of Chinese stock indices based on realized recurrent conditional heteroskedasticity. (2024). Fan, Rujie ; Zhao, Huanyu ; Zhang, Gongtao. In: PLOS ONE. RePEc:plo:pone00:0308967.

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2025Equity Markets Volatility, Regime Dependence and Economic Uncertainty: The Case of Pacific Basin. (2025). Chatrath, Arjun ; Hatamerad, Saman ; Raffiee, Kambiz ; Adrangi, Bahram. In: Bulletin of Applied Economics. RePEc:rmk:rmkbae:v:12:y:2025:i:1:p:75-105.

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2025Latin American Equities, Volatility Regimes, and the US Economic Policy Uncertainty. (2025). Raffiee, Kambiz ; Chatrath, Arjun ; Adrangi, Bahram. In: Bulletin of Applied Economics. RePEc:rmk:rmkbae:v:12:y:2025:i:2:p:15-44.

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2024Time-varying firm cash holding and economic policy uncertainty nexus: a quantile regression approach. (2024). Magerakis, Efstathios ; Gkillas, Konstantinos ; Galariotis, Emilios ; Floros, Christos ; Zopounidis, Constantin. In: Annals of Operations Research. RePEc:spr:annopr:v:341:y:2024:i:2:d:10.1007_s10479-024-06176-1.

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2024Forecasting the equity premium using weighted regressions: Does the jump variation help?. (2024). Zhang, Yaojie ; Wang, Yudong. In: Empirical Economics. RePEc:spr:empeco:v:66:y:2024:i:5:d:10.1007_s00181-023-02521-8.

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2024Forecasting the volatility of European Union allowance futures with macroeconomic variables using the GJR-GARCH-MIDAS model. (2024). Liu, Tianyu ; Niu, Huawei. In: Empirical Economics. RePEc:spr:empeco:v:67:y:2024:i:1:d:10.1007_s00181-023-02551-2.

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2024The use of high-frequency data in cryptocurrency research: a meta-review of literature with bibliometric analysis. (2024). Yarovaya, Larisa ; Shahzad, Syed Jawad Hussain ; Anas, Muhammad. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00595-y.

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2024Exchange-traded funds and the future of passive investments: a bibliometric review and future research agenda. (2024). Dash, Ranjan Kumar ; Joshi, Girish. In: Future Business Journal. RePEc:spr:futbus:v:10:y:2024:i:1:d:10.1186_s43093-024-00306-8.

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2025Improving realised volatility forecast for emerging markets. (2025). Harvey, Justin ; Maphatsoe, Phuthehang ; Alfeus, Mesias. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:49:y:2025:i:1:d:10.1007_s12197-024-09701-x.

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2024Factor and Idiosyncratic VAR-Ito Volatility Models for Heavy-Tailed High-Frequency Financial Data. (2024). Fan, Jianqing ; Kim, Donggyu ; Shin, Minseok ; Wang, Yazhen. In: Working Papers. RePEc:ucr:wpaper:202415.

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2024Robust High-Dimensional Time-Varying Coefficient Estimation. (2024). Shin, Minseok ; Kim, Donggyu. In: Working Papers. RePEc:ucr:wpaper:202417.

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2024Macro‐financial linkages in the high‐frequency domain: Economic fundamentals and the Covid‐induced uncertainty channel in US and UK financial markets. (2024). Caporale, Guglielmo Maria ; Yfanti, Stavroula ; Karanasos, Menelaos. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:29:y:2024:i:2:p:1581-1608.

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2024Can intraday data improve the joint estimation and prediction of risk measures? Evidence from a variety of realized measures. (2024). Wu, Zhimin ; Cai, Guanghui. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:6:p:1956-1974.

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2024Hybrid forecasting of crude oil volatility index: The cross‐market effects of stock market jumps. (2024). Wang, LU ; Jiang, Gongyue ; Qiao, Gaoxiu ; Ma, Feng. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:6:p:2378-2398.

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

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2024Option pricing with dynamic conditional skewness. (2024). Du, Lingshan ; Liang, Fang. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:7:p:1154-1188.

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2024VIX option pricing through nonaffine GARCH dynamics and semianalytical formula. (2024). Zhang, Yuanyuan ; Wang, QI ; Liu, Junting. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:7:p:1189-1223.

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2024Modeling and forecasting stock return volatility using the HARGARCH model with VIX information. (2024). Wang, Yudong ; Pan, Zhiyuan ; Zhang, Jun ; Huang, Juan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:8:p:1383-1403.

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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.
[Full Text][Citation analysis]		paper23
2012Exponential GARCH Modeling with Realized Measures of Volatility In: CREATES Research Papers.
[Full Text][Citation analysis]		paper118
2012Exponential GARCH Modeling with Realized Measures of Volatility.(2012) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 118		paper
2016Exponential GARCH Modeling With Realized Measures of Volatility.(2016) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 118		article
2021Realized GARCH, CBOE VIX, and the Volatility Risk Premium In: Papers.
[Full Text][Citation analysis]		paper3
2022Option Pricing with State-dependent Pricing Kernel In: Papers.
[Full Text][Citation analysis]		paper2
2021The predictive power of macroeconomic uncertainty for commodity futures volatility In: International Review of Finance.
[Full Text][Citation analysis]		article1
2012The Relationship between Volatility and Trading Volume in the Chinese Stock Market: A Volatility Decomposition Perspective In: Annals of Economics and Finance.
[Full Text][Citation analysis]		article16
2015The Spirit of Capitalism and the Equity Premium In: Annals of Economics and Finance.
[Full Text][Citation analysis]		article0
2017The Impact of Privatization on TFP: a Quasi-Experiment in China In: Annals of Economics and Finance.
[Full Text][Citation analysis]		article1
2015Is there a structural change in the persistence of WTI–Brent oil price spreads in the post-2010 period? In: Economic Modelling.
[Full Text][Citation analysis]		article23
2016Modeling long memory volatility using realized measures of volatility: A realized HAR GARCH model In: Economic Modelling.
[Full Text][Citation analysis]		article27
2014Estimation of extreme value-at-risk: An EVT approach for quantile GARCH model In: Economics Letters.
[Full Text][Citation analysis]		article3
2018The spillover of macroeconomic uncertainty between the U.S. and China In: Economics Letters.
[Full Text][Citation analysis]		article22
2021Modeling dynamic higher moments of crude oil futures In: Finance Research Letters.
[Full Text][Citation analysis]		article6
2018Stock liquidity and firm value: evidence from China In: Applied Economics Letters.
[Full Text][Citation analysis]		article5
2020Which volatility model for option valuation in China? Empirical evidence from SSE 50 ETF options In: Applied Economics.
[Full Text][Citation analysis]		article5
2012Realized GARCH: a joint model for returns and realized measures of volatility In: Journal of Applied Econometrics.
[Citation analysis]		article315
2017Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach In: Journal of Futures Markets.
[Full Text][Citation analysis]		article24
2017Pricing the CBOE VIX Futures with the Heston–Nandi GARCH Model In: Journal of Futures Markets.
[Full Text][Citation analysis]		article26
2019VIX term structure and VIX futures pricing with realized volatility In: Journal of Futures Markets.
[Full Text][Citation analysis]		article23
2021Pricing VIX options with realized volatility In: Journal of Futures Markets.
[Full Text][Citation analysis]		article5

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