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Analyzing and forecasting electricity price using regime-switching models : the case of New Zealand market

Kapoor, Gaurav; Wichitaksorn, Nuttanan; Zhang, WenJun - In: Journal of forecasting 42 (2023) 8, pp. 2011-2026

Persistent link: https://www.econbiz.de/10014432832

Rescaling the double-mean-reverting 4/2 stochastic volatility model for derivative pricing

Cao, Jiling; Kim, Jeong-Hoon; Liu, Wenqiang; Zhang, WenJun - In: Finance research letters 58 (2023) 2, pp. 1-8

Persistent link: https://www.econbiz.de/10014583526

GARCH option pricing models and the variance risk premium

Zhang, WenJun; Zhang, Jin E. - In: Journal of risk and financial management : JRFM 13 (2020) 3/51, pp. 1-21

In this paper, we modify Duan’s (1995) local risk-neutral valuation relationship (mLRNVR) for the GARCH option-pricing models. In our mLRNVR, the conditional variances under two measures are designed to be different and the variance process is more persistent in the risk-neutral measure than...

Persistent link: https://www.econbiz.de/10012174118

Financial statement comparability and debt contracting : evidence from the syndicated loan market

Fang, Xiaohua; Li, Yutao; Xin, Baohua; Zhang, Wenjun - In: Accounting horizons : a quarterly publication of the … 30 (2016) 2, pp. 277-303

Persistent link: https://www.econbiz.de/10011508359

Capital market consequences of audit office size : evidence from stock price crash risk

Callen, Jeffrey L.; Fang, Xiaohua; Xin, Baohua; Zhang, … - In: Auditing : a journal of practice & theory 39 (2020) 2, pp. 1-26

Persistent link: https://www.econbiz.de/10012293961

Protection of proprietary information and financial reporting opacity : evidence from a natural experiment

Callen, Jeffrey L.; Fang, Xiaohua; Zhang, Wenjun - In: The journal of corporate finance : contracting, … 64 (2020), pp. 1-24

Persistent link: https://www.econbiz.de/10012295782

Corporate employment, red flags, and audit effort

Cao, Jian; Luo, Xin; Zhang, Wenjun - In: Journal of accounting and public policy 39 (2020) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10012252974

Social networks and managerial rent-seeking : evidence from executive trading profitability

Fang, Xiaohua; Rao, Xi; Zhang, Wenjun - In: European financial management : the journal of the … 30 (2024) 1, pp. 602-633

Persistent link: https://www.econbiz.de/10014470518

Instrumentation and self-repairing control for resilient multi-rotor aircrafts

Wang, Zhipeng; Qian, Zhiqin; Song, Ziye; Liu, Hongzhou; … - In: Industrial Robot: the international journal of robotics … 45 (2018) 5, pp. 647-656

Persistent link: https://www.econbiz.de/10012072625

Pricing VIX derivatives with infinite‐activity jumps

Cao, Jiling; Ruan, Xinfeng; Su, Shu; Zhang, Wenjun - In: Journal of Futures Markets 40 (2019) 3, pp. 329-354

Persistent link: https://www.econbiz.de/10012189103