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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

The Effects of Economic Uncertainty on Financial Volatility : A Comprehensive Investigation

Huang, Zhuo - 2019

We investigate the effects of economic uncertainty on the return volatility of financial assets, including equities, bonds, foreign exchange and commodities. We use several popular measures of economic uncertainty, and find the uncertainty displays significant but heterogeneous effect on...

Persistent link: https://www.econbiz.de/10012899352

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

Which volatility model for option valuation in China? : empirical evidence from SSE 50 ETF options

Huang, Zhuo; Tong, Chen; Wang, Tianyi - In: Applied economics 52 (2020) 17, pp. 1866-1880

Persistent link: https://www.econbiz.de/10012197620

The effects of economic uncertainty on financial volatility : a comprehensive investigation

Tong, Chen; Huang, Zhuo; Wang, Tianyi; Zhang, Cong - In: Journal of empirical finance 73 (2023), pp. 369-389

Persistent link: https://www.econbiz.de/10014477040

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