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Dynamic hedging using the realized minimum-variance hedge ratio approach : examination of the CSI 300 index futures

Qu, Hui; Wang, Tianyang; Zhang, Yi; Sun, Pengfei - In: Pacific-Basin finance journal 57 (2019), pp. 1-14

Persistent link: https://www.econbiz.de/10012170622

Forecasting oil price volatility : forecast combination versus shrinkage method

Zhang, Yaojie; Wei, Yu; Zhang, Yi; Jin, Daxiang - In: Energy economics 80 (2019), pp. 423-433

Persistent link: https://www.econbiz.de/10012173653

The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic

Zhang, Yi; Zhou, Long; Chen, Yajiao; Liu, Fang - In: The North American journal of economics and finance : a … 61 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013449345

Asymmetric multivariate HAR models for realized covariance matrix : a study based on volatility timing strategies

Qu, Hui; Zhang, Yi - In: Economic modelling 106 (2022), pp. 1-13

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Extreme risk contagion from the United States to BRICS stock markets : a multivariate quantile analysis

Zhang, Yi; Zhou, Long; Wu, Baoxiu; Liu, Fang - In: The North American journal of economics and finance : a … 70 (2024)

Persistent link: https://www.econbiz.de/10014492033

Tail risk transmission from the United States to emerging stock Markets : empirical evidence from multivariate quantile analysis

Zhang, Yi; Zhou, Long; Wu, Baoxiu; Liu, Fang - In: The North American journal of economics and finance : a … 73 (2024), pp. 1-14

Persistent link: https://www.econbiz.de/10014580778

Variance swaps valuation under non-affine GARCH models and their diffusion limits

Badescu, Alexandru; Chen, Yuyu; Couch, Matthew; Cui, Zhenyu - In: Quantitative finance 19 (2019) 2, pp. 227-246

Persistent link: https://www.econbiz.de/10012194650

The relationship between the option-implied volatility smile, stock returns and heterogeneous beliefs

Feng, Shu; Zhang, Yi; Friesen, Geoffrey C. - In: International review of financial analysis 41 (2015), pp. 62-73

Persistent link: https://www.econbiz.de/10011508586

An empirical examination of the relation between the option-implied volatility smile and heterogeneous beliefs

Feng, Shu; Pu, Xiaoling; Zhang, Yi - In: The journal of derivatives : the official publication … 25 (2018) 4, pp. 36-47

Persistent link: https://www.econbiz.de/10011965383

The Implied Volatility of ETF and Index Options

Ivanov, Stoyu I. - 2011

We examine the option-implied volatility of the three most liquid ETFs (Diamonds, Spiders, and Cubes) and their respective tracking indices (Dow 30, S&P 500, and NASDAQ 100). We find that volatility smiles for ETF options are more pronounced than for index options, primarily because...

Persistent link: https://www.econbiz.de/10013122828