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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

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

Does measurement error matter in volatility forecasting? : empirical evidence from the Chinese stock market

Wang, Yajing; Liang, Fang; Wang, Tianyi; Huang, Zhuo - In: Economic modelling 87 (2020), pp. 148-157

Persistent link: https://www.econbiz.de/10012416413

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

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

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

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