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Option pricing with state-dependent pricing kernel
Tong, Chen; Hansen, Peter Reinhard; Huang, Zhuo - In: The journal of futures markets 42 (2022) 8, pp. 1409-1433
Persistent link: https://www.econbiz.de/10013287978
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Realized GARCH, CBOE VIX, and the volatility risk premium
Hansen, Peter Reinhard; Huang, Zhuo; Tong, Chen; Wang, … - In: Journal of financial econometrics 22 (2024) 1, pp. 187-223
Persistent link: https://www.econbiz.de/10014526311
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Pricing CBOE VIX in non-affine GARCH models with variance risk premium
Tong, Chen - In: Finance research letters 62 (2024) 1, pp. 1-8
Persistent link: https://www.econbiz.de/10014530825
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The spirit of capitalism and the equity premium
Wang, Qin; Zou, Yiheng; Ren, Yu; Huang, Zhuo - In: Annals of economics and finance 16 (2015) 2, pp. 493-513
Persistent link: https://www.econbiz.de/10011428191
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Revisiting the risk-return relation in the Chinese stock market : decomposition of risk premium and volatility feedback effect
Liu, Hao; Shen, Shihan; Wang, Tianyi; Huang, Zhuo - In: China economic journal : the official journal of the … 9 (2016) 2, pp. 140-153
Persistent link: https://www.econbiz.de/10011585334