6
H index
6
i10 index
173
Citations
Tianyi Wang : Citation Profile
University of International Business and Economics (UIBE) | RESEARCH PRODUCTION: 24 Articles 2 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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12 years (2011 - 2023). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Tianyi Wang. | Is cited by:
| Cites to:
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Main data
Where Tianyi Wang has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Futures Markets | 6 |
| Applied Economics | 3 |
| Economic Modelling | 3 |
| Finance Research Letters | 3 |
| Annals of Economics and Finance | 2 |
| China Economic Journal | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Papers / arXiv.org | 2 |
Recent works citing Tianyi Wang (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2025 | Option Pricing with Time-Varying Volatility Risk Aversion. (2025). Hansen, Peter ; Tong, Chen. In: Papers. RePEc:arx:papers:2204.06943. Full description at Econpapers || Download paper |
| 2024 | Loss-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. Full description at Econpapers || Download paper |
| 2024 | Option 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. Full description at Econpapers || Download paper |
| 2024 | On 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. Full description at Econpapers || Download paper |
| 2024 | How useful are energy-related uncertainty for oil price volatility forecasting?. (2024). Zhang, Xiaoyun ; Guo, Qiang. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323013259. Full description at Econpapers || Download paper |
| 2024 | Pricing 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. Full description at Econpapers || Download paper |
| 2024 | Momentum and reversal strategies with low uncertainty. (2024). Cai, Feifei ; An, Pengda ; Zhang, Qingyi ; Wang, Wenhao. In: Finance Research Letters. RePEc:eee:finlet:v:68:y:2024:i:c:s1544612324010006. Full description at Econpapers || Download paper |
| 2024 | Evaluating the impact of multiple uncertainty shocks on Chinas airline stocks volatility: A novel joint quantile perspective. (2024). Su, Chi Wei ; Li, Xin. In: Journal of Air Transport Management. RePEc:eee:jaitra:v:121:y:2024:i:c:s0969699724001534. Full description at Econpapers || Download paper |
| 2024 | Forecasting 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. Full description at Econpapers || Download paper |
| 2024 | Dual effects of investor sentiment and uncertainty in financial markets. (2024). Seok, Sangik ; Cho, Hoon ; Ryu, Doojin. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:95:y:2024:i:c:p:300-315. Full description at Econpapers || Download paper |
| 2024 | Hybrid 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. Full description at Econpapers || Download paper |
| 2024 | Can 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. Full description at Econpapers || Download paper |
| 2024 | Option 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. Full description at Econpapers || Download paper |
| 2024 | VIX 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. Full description at Econpapers || Download paper |
| 2025 | Volatility of Volatility and VIX Forecasting: New Evidence Based on Jumps, the Short‐Term and Long‐Term Volatility. (2025). Qiao, Gaoxiu ; Cui, Wanmei ; Zhou, Yijie ; Liang, Chao. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:1:p:23-46. Full description at Econpapers || Download paper |
Works by Tianyi Wang:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2021 | Liquidation, Leverage and Optimal Margin in Bitcoin Futures Markets In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Liquidation, leverage and optimal margin in bitcoin futures markets.(2021) In: Applied Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2021 | Realized GARCH, CBOE VIX, and the Volatility Risk Premium In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2012 | The 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] | article | 15 |
| 2017 | The Impact of Privatization on TFP: a Quasi-Experiment in China In: Annals of Economics and Finance. [Full Text][Citation analysis] | article | 1 |
| 2022 | Do realized higher moments have information content? - VaR forecasting based on the realized GARCH-RSRK model In: Economic Modelling. [Full Text][Citation analysis] | article | 2 |
| 2016 | Modeling long memory volatility using realized measures of volatility: A realized HAR GARCH model In: Economic Modelling. [Full Text][Citation analysis] | article | 26 |
| 2020 | Does measurement error matter in volatility forecasting? Empirical evidence from the Chinese stock market In: Economic Modelling. [Full Text][Citation analysis] | article | 3 |
| 2023 | The effects of economic uncertainty on financial volatility: A comprehensive investigation In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 2 |
| 2021 | Modeling dynamic higher moments of crude oil futures In: Finance Research Letters. [Full Text][Citation analysis] | article | 6 |
| 2021 | Measuring investors’ risk aversion in China’s stock market In: Finance Research Letters. [Full Text][Citation analysis] | article | 0 |
| 2023 | Pricing VIX futures: A framework with random level shifts In: Finance Research Letters. [Full Text][Citation analysis] | article | 0 |
| 2023 | Factor-timing in the Chinese factor zoo: The role of economic policy uncertainty In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 2 |
| 2012 | Price Volatility Forecast for Agricultural Commodity Futures： The Role of High Frequency Data In: Journal for Economic Forecasting. [Full Text][Citation analysis] | article | 4 |
| 2020 | Which volatility model for option valuation in China? Empirical evidence from SSE 50 ETF options In: Applied Economics. [Full Text][Citation analysis] | article | 5 |
| 2022 | Directly pricing VIX futures: the role of dynamic volatility and jump intensity In: Applied Economics. [Full Text][Citation analysis] | article | 4 |
| 2015 | Impact of exchange rate regime reform on asset returns in China In: The European Journal of Finance. [Full Text][Citation analysis] | article | 3 |
| 2011 | Chinas macroeconomic stability – an empirical study based on survey data In: China Economic Journal. [Full Text][Citation analysis] | article | 0 |
| 2016 | Revisiting the risk-return relation in the Chinese stock market: Decomposition of risk premium and volatility feedback effect In: China Economic Journal. [Full Text][Citation analysis] | article | 0 |
| 2019 | Out‐of‐sample volatility prediction: A new mixed‐frequency approach In: Journal of Forecasting. [Full Text][Citation analysis] | article | 21 |
| 2017 | Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 23 |
| 2017 | Pricing the CBOE VIX Futures with the Heston–Nandi GARCH Model In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 24 |
| 2019 | VIX term structure and VIX futures pricing with realized volatility In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 21 |
| 2021 | A short cut: Directly pricing VIX futures with discrete‐time long memory model and asymmetric jumps In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 4 |
| 2022 | Overnight volatility, realized volatility, and option pricing In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 4 |
| 2022 | Do VIX futures contribute to the valuation of VIX options? In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated April, 14 2025. Contact: CitEc Team