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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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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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The spillover of macroeconomic uncertainty between the U.S. and China
Huang, Zhuo; Tong, Chen; Qiu, Han; Shen, Yan - In: Economics letters 171 (2018), pp. 123-127
Persistent link: https://www.econbiz.de/10012021901
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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
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Modeling long memory volatility using realized measures of volatility : a realized HAR GARCH model
Huang, Zhuo; Liu, Hao; Wang, Tianyi - In: Economic modelling 52 (2016), pp. 812-821
Persistent link: https://www.econbiz.de/10011643050
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Option pricing with the realized GARCH model : an analytical approximation approach
Huang, Zhuo; Wang, Tianyi; Hansen, Peter Reinhard - In: The journal of futures markets 37 (2017) 4, pp. 328-358
Persistent link: https://www.econbiz.de/10011950674
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Do realized higher moments have information content? : VaR forecasting based on the realized GARCH-RSRK model
Wang, Tianyi; Liang, Fang; Huang, Zhuo; Yan, Hong - In: Economic modelling 109 (2022), pp. 1-13
Persistent link: https://www.econbiz.de/10013348237
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Estimation of extreme value-at-risk : an EVT approach for quantile GARCH model
Yi, Yanping; Feng, Xingdong; Huang, Zhuo - In: Economics letters 124 (2014) 3, pp. 378-381
Persistent link: https://www.econbiz.de/10010495168
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Realized GARCH: a joint model for returns and realized measures of volatility
Hansen, Peter Reinhard; Huang, Zhuo; Shek, Howard Howan - In: Journal of applied econometrics 27 (2012) 6, pp. 877-906
Persistent link: https://www.econbiz.de/10010219741
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Evaluating the accrual anomaly in the Chinese stock market with the decomposition method
Huang, Zhuo; Qiu, Zhimin; Lin, Dawei - In: China economic journal : the official journal of the … 13 (2020) 3, pp. 270-289
Persistent link: https://www.econbiz.de/10012384412