Zhuo Huang : Citation Profile

Peking University

10

H index

10

i10 index

637

Citations

RESEARCH PRODUCTION:

17

Articles

5

Papers

RESEARCH ACTIVITY:

   12 years (2010 - 2022). See details.
   Cites by year: 53
   Journals where Zhuo Huang has often published
   Relations with other researchers
   Recent citing documents: 47.    Total self citations: 7 (1.09 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/phu309
   Updated: 2025-04-05    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)

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)

Gallo, Giampiero (9)

Main data

Production by document typearticlepaper2010201120122013201420152016201720182019202020212022052.5Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published20102011201220132014201520162017201820192020202120220102030Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received2010201120122013201420152016201720182019202020212022202320242025050100Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year20102011201220132014201520162017201820192020202120220200400Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 10Most cited documents1234567891011120200400Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution201308201309201310201311201312201401201402201403201404201405201406201407201408201409201410201411201412201501201502201503201504201505201506201507201508201509201510201511201512201601201602201603201604201605201606201607201608201609201610201611201612201701201702201703201704201705201706201707201708201709201710201711201712201801201802201803201804201805201806201807201808201809201810201811201812201901201902201903201904201905201906201907201908201909201910201911201912202001202002202003202004202005202006202007202008202009202010202011202012202101202102202103202104202105202106202107202108202109202110202111202112202201202202202203202204202205202206202207202208202209202210202211202212202301202302202303202304202305202306202307202308202309202310202311202312202401202402202403202404202405202406202407202408202409202410202411202412202501202502202503202504051015h-index Highcharts.comExport to raster or vector imagePrint the chart

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)

Year  ↓Title of citing document  ↓
2025A Multivariate Realized GARCH Model. (2020). Hansen, Peter Reinhard ; Archakov, Ilya ; Lunde, Asger. In: Papers. RePEc:arx:papers:2012.02708.

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2025Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943.

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2024Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2023). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488.

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2024Autoencoder Enhanced Realised GARCH on Volatility Forecasting. (2024). Gerlach, Richard ; Wang, Chao ; Zhao, Qianli ; Zhang, Lingxiang ; Storti, Giuseppe. 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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2024.

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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). Omori, Yasuhiro ; Watanabe, Toshiaki ; Takahashi, Makoto. In: Econometrics and Statistics. RePEc:eee:ecosta:v:32:y:2024:i:c:p:34-56.

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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). Potanin, Bogdan ; Trifonov, Juri. 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). Kabir, Humayun M ; Talukdar, Bakhtear ; Frijns, Bart ; Mozumder, Sharif. 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). Li, Jixin ; Xu, Jietian ; Liu, Liping. 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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2024Doubly multiplicative error models with long- and short-run components. (2024). Gallo, Giampiero ; Amendola, Alessandra ; Cipollini, F ; Candila, V. 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). Ur, Ramiz ; Bashir, Usman ; 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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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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2024.

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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:

Year  ↓Title  ↓Type  ↓Cited  ↓
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]		paper116
2012Exponential GARCH Modeling with Realized Measures of Volatility.(2012) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 116		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: 116		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]		article4
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]		article307
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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