EconPapers    
Economics at your fingertips  
 

Details about Zhuo Huang

E-mail:
Homepage:http://www.nsd.edu.cn/cn/article.asp?articleid=14339
Workplace:China Center for Economic Research (CCER), Peking University, (more information at EDIRC)

Access statistics for papers by Zhuo Huang.

Last updated 2021-12-30. Update your information in the RePEc Author Service.

Short-id: phu309


Jump to Journal Articles

Working Papers

2022

  1. Option Pricing with State-dependent Pricing Kernel
    Papers, arXiv.org Downloads

2021

  1. Realized GARCH, CBOE VIX, and the Volatility Risk Premium
    Papers, arXiv.org Downloads

2012

  1. Exponential GARCH Modeling with Realized Measures of Volatility
    Economics Working Papers, European University Institute Downloads View citations (20)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2012) Downloads View citations (23)

    See also Journal Article in Journal of Business & Economic Statistics (2016)

Undated

  1. Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (22)

Journal Articles

2021

  1. Modeling dynamic higher moments of crude oil futures
    Finance Research Letters, 2021, 39, (C) Downloads View citations (1)
  2. Pricing VIX options with realized volatility
    Journal of Futures Markets, 2021, 41, (8), 1180-1200 Downloads View citations (2)
  3. The predictive power of macroeconomic uncertainty for commodity futures volatility
    International Review of Finance, 2021, 21, (3), 989-1012 Downloads

2020

  1. Which volatility model for option valuation in China? Empirical evidence from SSE 50 ETF options
    Applied Economics, 2020, 52, (17), 1866-1880 Downloads View citations (4)

2019

  1. VIX term structure and VIX futures pricing with realized volatility
    Journal of Futures Markets, 2019, 39, (1), 72-93 Downloads View citations (18)

2018

  1. Stock liquidity and firm value: evidence from China
    Applied Economics Letters, 2018, 25, (1), 47-50 Downloads View citations (3)
  2. The spillover of macroeconomic uncertainty between the U.S. and China
    Economics Letters, 2018, 171, (C), 123-127 Downloads View citations (13)

2017

  1. Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach
    Journal of Futures Markets, 2017, 37, (4), 328-358 Downloads View citations (18)
  2. Pricing the CBOE VIX Futures with the Heston–Nandi GARCH Model
    Journal of Futures Markets, 2017, 37, (7), 641-659 Downloads View citations (22)
  3. The Impact of Privatization on TFP: a Quasi-Experiment in China
    Annals of Economics and Finance, 2017, 18, (1), 53-71 Downloads View citations (1)

2016

  1. Exponential GARCH Modeling With Realized Measures of Volatility
    Journal of Business & Economic Statistics, 2016, 34, (2), 269-287 Downloads View citations (66)
    See also Working Paper (2012)
  2. Modeling long memory volatility using realized measures of volatility: A realized HAR GARCH model
    Economic Modelling, 2016, 52, (PB), 812-821 Downloads View citations (23)

2015

  1. Is there a structural change in the persistence of WTI–Brent oil price spreads in the post-2010 period?
    Economic Modelling, 2015, 50, (C), 64-71 Downloads View citations (21)
  2. The Spirit of Capitalism and the Equity Premium
    Annals of Economics and Finance, 2015, 16, (2), 493-513 Downloads

2014

  1. Estimation of extreme value-at-risk: An EVT approach for quantile GARCH model
    Economics Letters, 2014, 124, (3), 378-381 Downloads View citations (3)

2012

  1. Realized GARCH: a joint model for returns and realized measures of volatility
    Journal of Applied Econometrics, 2012, 27, (6), 877-906 View citations (251)
  2. The Relationship between Volatility and Trading Volume in the Chinese Stock Market: A Volatility Decomposition Perspective
    Annals of Economics and Finance, 2012, 13, (1), 211-236 Downloads View citations (16)
 
Page updated 2023-02-02