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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
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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
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Do VIX futures contribute to the valuation of VIX options?
Tong, Chen; Huang, Zhuo; Wang, Tianyi - In: The journal of futures markets 42 (2022) 9, pp. 1644-1664
Persistent link: https://www.econbiz.de/10013465803
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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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Do VIX futures contribute to the valuation of VIX options?
Tong, Chen; Huang, Zhuo; Wang, Tianyi - In: Journal of Futures Markets 42 (2021) 9, pp. 1644-1664
Persistent link: https://www.econbiz.de/10012808305
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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
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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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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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Good volatility, bad volatility, and VIX futures pricing : evidence from the decomposition of VIX
Tong, Chen; Huang, Zhuo - In: The journal of derivatives : JOD 30 (2023) 3, pp. 117-143
Persistent link: https://www.econbiz.de/10014231129
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The impact of privatization on TFP : a quasi-experiment in China
Wang, Xiaohua; Luo, Zhi; Wang, Tianyi; Huang, Zhuo - In: Annals of economics and finance 18 (2017) 1, pp. 53-71
Persistent link: https://www.econbiz.de/10012109972