10
H index
10
i10 index
605
Citations
Peking University | 10 H index 10 i10 index 605 Citations RESEARCH PRODUCTION: 17 Articles 5 Papers RESEARCH ACTIVITY: 12 years (2010 - 2022). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/phu309 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Zhuo Huang. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Futures Markets | 4 |
Annals of Economics and Finance | 3 |
Economic Modelling | 2 |
Economics Letters | 2 |
Working Papers Series with more than one paper published | # docs |
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Papers / arXiv.org | 2 |
Year | Title of citing document |
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2024 | A Multivariate Realized GARCH Model. (2020). Hansen, Peter Reinhard ; Archakov, Ilya ; Lunde, Asger. In: Papers. RePEc:arx:papers:2012.02708. Full description at Econpapers || Download paper |
2024 | Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943. Full description at Econpapers || Download paper |
2023 | Realized recurrent conditional heteroskedasticity model for volatility modelling. (2023). Kohn, Robert ; Tran, Minh-Ngoc ; Wang, Chao ; Liu, Chen. In: Papers. RePEc:arx:papers:2302.08002. Full description at Econpapers || Download paper |
2023 | Optimal probabilistic forecasts for risk management. (2023). Martin, Gael M ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Sun, Yuru. In: Papers. RePEc:arx:papers:2303.01651. Full description at Econpapers || Download paper |
2024 | Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2023). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488. Full description at Econpapers || Download paper |
2023 | S&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. Full description at Econpapers || Download paper |
2023 | Augmenting 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. Full description at Econpapers || Download paper |
2023 | The 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. Full description at Econpapers || Download paper |
2023 | Forecasting 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. Full description at Econpapers || Download paper |
2023 | Macroeconomic uncertainty and firms’ investment in China. (2023). Lin, Juan ; Feng, Zhuozhao. In: Economics Letters. RePEc:eee:ecolet:v:226:y:2023:i:c:s0165176523001209. Full description at Econpapers || Download paper |
2023 | A 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. Full description at Econpapers || Download paper |
2023 | Bayesian 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. Full description at Econpapers || Download paper |
2023 | Modeling 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. Full description at Econpapers || Download paper |
2023 | Empirical 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. Full description at Econpapers || Download paper |
2023 | Facilitating 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. Full description at Econpapers || Download paper |
2023 | Foreign 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. Full description at Econpapers || Download paper |
2023 | Chinese 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. Full description at Econpapers || Download paper |
2024 | GARCH-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. Full description at Econpapers || Download paper |
2024 | On 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. Full description at Econpapers || Download paper |
2023 | Tail 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. Full description at Econpapers || Download paper |
2023 | Pricing 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. Full description at Econpapers || Download paper |
2023 | Measuring 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. Full description at Econpapers || Download paper |
2023 | Stock 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. Full description at Econpapers || Download paper |
2023 | Does realized skewness predict the cross-section of Chinese stock returns?. (2023). Long, Huaigang ; Jiang, Yuexiang ; Dai, Yiming ; Zaremba, Adam ; Wang, Hui. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pb:s1544612323007353. 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 | The 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. Full description at Econpapers || Download paper |
2023 | Monetary 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. Full description at Econpapers || Download paper |
2023 | The information content of sentiment indices in forecasting Value at Risk and Expected Shortfall: a Complete Realized Exponential GARCH-X approach. (2023). Naimoli, Antonio. In: International Economics. RePEc:eee:inteco:v:176:y:2023:i:c:s2110701723000719. Full description at Econpapers || Download paper |
2023 | Discovering 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. Full description at Econpapers || Download paper |
2023 | Forecasting 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. Full description at Econpapers || Download paper |
2023 | Time-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. Full description at Econpapers || Download paper |
2023 | DCC- 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. Full description at Econpapers || Download paper |
2023 | Improving 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. Full description at Econpapers || Download paper |
2023 | Bayesian 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. Full description at Econpapers || Download paper |
2023 | GARCH 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. Full description at Econpapers || Download paper |
2023 | The 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. Full description at Econpapers || Download paper |
2023 | Cross-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. Full description at Econpapers || Download paper |
2023 | Exploring 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. Full description at Econpapers || Download paper |
2023 | Realized 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. Full description at Econpapers || Download paper |
2023 | A 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. Full description at Econpapers || Download paper |
2023 | Spillovers 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. Full description at Econpapers || Download paper |
2023 | Does 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. Full description at Econpapers || Download paper |
2023 | Diversification 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. Full description at Econpapers || Download paper |
2024 | Doubly 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. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Performance 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. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2024 | Exchange 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. Full description at Econpapers || Download paper |
2023 | The 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. Full description at Econpapers || Download paper |
2023 | Volatility 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. Full description at Econpapers || Download paper |
2023 | Foreign 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. Full description at Econpapers || Download paper |
2023 | A 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. Full description at Econpapers || Download paper |
2023 | Review 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. Full description at Econpapers || Download paper |
2023 | Does 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. Full description at Econpapers || Download paper |
2023 | Trading 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. Full description at Econpapers || Download paper |
2023 | A 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. Full description at Econpapers || Download paper |
2023 | A short cut: Directly pricing VIX futures with discrete?time long memory model and asymmetric jumps. (2021). Wang, Tianyi ; Bian, Yang ; Yin, Fangsheng. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:4:p:458-477. Full description at Econpapers || Download paper |
2024 | Option pricing with state?dependent pricing kernel. (2022). Huang, Zhuo ; Hansen, Peter Reinhard ; Tong, Chen. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:8:p:1409-1433. Full description at Econpapers || Download paper |
2023 | Option 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. Full description at Econpapers || Download paper |
2023 | Unspanned 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. Full description at Econpapers || Download paper |
2024 | Can 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. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2010 | Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 23 |
2012 | Exponential GARCH Modeling with Realized Measures of Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 107 |
2012 | Exponential GARCH Modeling with Realized Measures of Volatility.(2012) In: Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 107 | paper | |
2016 | Exponential 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: 107 | article | |
2021 | Realized GARCH, CBOE VIX, and the Volatility Risk Premium In: Papers. [Full Text][Citation analysis] | paper | 2 |
2022 | Option Pricing with State-dependent Pricing Kernel In: Papers. [Full Text][Citation analysis] | paper | 2 |
2021 | The predictive power of macroeconomic uncertainty for commodity futures volatility In: International Review of Finance. [Full Text][Citation analysis] | article | 0 |
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 | 16 |
2015 | The Spirit of Capitalism and the Equity Premium In: Annals of Economics and Finance. [Full Text][Citation analysis] | article | 0 |
2017 | The Impact of Privatization on TFP: a Quasi-Experiment in China In: Annals of Economics and Finance. [Full Text][Citation analysis] | article | 1 |
2015 | Is 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] | article | 22 |
2016 | Modeling long memory volatility using realized measures of volatility: A realized HAR GARCH model In: Economic Modelling. [Full Text][Citation analysis] | article | 27 |
2014 | Estimation of extreme value-at-risk: An EVT approach for quantile GARCH model In: Economics Letters. [Full Text][Citation analysis] | article | 3 |
2018 | The spillover of macroeconomic uncertainty between the U.S. and China In: Economics Letters. [Full Text][Citation analysis] | article | 21 |
2021 | Modeling dynamic higher moments of crude oil futures In: Finance Research Letters. [Full Text][Citation analysis] | article | 6 |
2018 | Stock liquidity and firm value: evidence from China In: Applied Economics Letters. [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 | 4 |
2012 | Realized GARCH: a joint model for returns and realized measures of volatility In: Journal of Applied Econometrics. [Citation analysis] | article | 292 |
2017 | Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 22 |
2017 | Pricing the CBOE VIX Futures with the Heston–Nandi GARCH Model In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 26 |
2019 | VIX term structure and VIX futures pricing with realized volatility In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 23 |
2021 | Pricing VIX options with realized volatility In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 4 |
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