6
H index
5
i10 index
140
Citations
University of International Business and Economics (UIBE) | 6 H index 5 i10 index 140 Citations RESEARCH PRODUCTION: 22 Articles 2 Papers RESEARCH ACTIVITY: 11 years (2012 - 2023). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pwa530 |
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: |
Journals with more than one article published | # docs |
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Journal of Futures Markets | 5 |
Finance Research Letters | 3 |
Applied Economics | 3 |
Economic Modelling | 3 |
China Economic Journal | 2 |
Annals of Economics and Finance | 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 | 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 | 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 | Price Risk Analysis using GARCH Family Models: Evidence from Shanghai Crude Oil Futures Market. (2023). Si, Xiaoli ; Pei, Haotian ; Yang, Aijun ; Bei, Shuhua. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001797. Full description at Econpapers || Download paper |
2023 | Do exchange-traded fund activities destabilize the stock market? Evidence from the China securities index 300 stocks. (2023). Xu, Liao ; Chen, Jilong. In: Economic Modelling. RePEc:eee:ecmode:v:127:y:2023:i:c:s0264999323002626. 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 | 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 | 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 |
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 | 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 |
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 | 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 |
2024 | Dual effects of investor sentiment and uncertainty in financial markets. (2024). Ryu, Doojin ; Cho, Hoon ; Seok, Sangik. 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 |
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 | 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 |
2023 | An Investigation of the Predictability of Uncertainty Indices on Bitcoin Returns. (2023). Ngene, Geoffrey M ; Wang, Jinghua ; Mungai, Ann Nduati ; Shi, Yan. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:10:p:461-:d:1265145. Full description at Econpapers || Download paper |
2023 | . 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 | VIX to S&P 500 Correlation Over the Weekend: Are Market Makers Using S&P 500 Weekend Returns to Price VIX on Monday Morning?. (2023). Lin, Wan Jia. In: Applied Economics and Finance. RePEc:rfa:aefjnl:v:10:y:2023:i:1:p:3843. 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 | 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 | Trading around the clock: Revisit volatility spillover between crude oil and equity markets in different trading sessions. (2023). Fu, Tong ; Ma, Feng ; He, Feng ; Hao, Jing. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:6:p:771-791. Full description at Econpapers || Download paper |
2023 | VIX 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. 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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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 | 2 |
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 | 1 |
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 | 1 |
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 | 1 |
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 | 4 |
2022 | Directly pricing VIX futures: the role of dynamic volatility and jump intensity In: Applied Economics. [Full Text][Citation analysis] | article | 3 |
2015 | Impact of exchange rate regime reform on asset returns in China In: The European Journal of Finance. [Full Text][Citation analysis] | article | 3 |
In: . [Full Text][Citation analysis] | article | 0 | |
In: . [Full Text][Citation analysis] | article | 0 | |
2017 | Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 21 |
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 |
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 |
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