Details about Zhuo Huang

Access statistics for papers by Zhuo Huang.

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

Short-id: phu309

Working Papers

2022

1. Option Pricing with State-dependent Pricing Kernel
   Papers, arXiv.org View citations (2)

2021

2. Realized GARCH, CBOE VIX, and the Volatility Risk Premium
   Papers, arXiv.org View citations (1)

2012

3. Exponential GARCH Modeling with Realized Measures of Volatility
   Economics Working Papers, European University Institute View citations (21)
   Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2012) View citations (26)
   See also Journal Article Exponential GARCH Modeling With Realized Measures of Volatility, Journal of Business & Economic Statistics, Taylor & Francis Journals (2016) View citations (96) (2016)

Undated

4. Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (23)

Journal Articles

2021

1. Modeling dynamic higher moments of crude oil futures
   Finance Research Letters, 2021, 39, (C) View citations (6)
2. Pricing VIX options with realized volatility
   Journal of Futures Markets, 2021, 41, (8), 1180-1200 View citations (5)
3. The predictive power of macroeconomic uncertainty for commodity futures volatility
   International Review of Finance, 2021, 21, (3), 989-1012 View citations (1)

2020

4. Which volatility model for option valuation in China? Empirical evidence from SSE 50 ETF options
   Applied Economics, 2020, 52, (17), 1866-1880 View citations (6)

2019

5. VIX term structure and VIX futures pricing with realized volatility
   Journal of Futures Markets, 2019, 39, (1), 72-93 View citations (25)

2018

6. Stock liquidity and firm value: evidence from China
   Applied Economics Letters, 2018, 25, (1), 47-50 View citations (4)
7. The spillover of macroeconomic uncertainty between the U.S. and China
   Economics Letters, 2018, 171, (C), 123-127 View citations (22)

2017

8. Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach
   Journal of Futures Markets, 2017, 37, (4), 328-358 View citations (27)
9. Pricing the CBOE VIX Futures with the Heston–Nandi GARCH Model
   Journal of Futures Markets, 2017, 37, (7), 641-659 View citations (29)
10. The Impact of Privatization on TFP: a Quasi-Experiment in China
    Annals of Economics and Finance, 2017, 18, (1), 53-71 View citations (1)

2016

11. Exponential GARCH Modeling With Realized Measures of Volatility
    Journal of Business & Economic Statistics, 2016, 34, (2), 269-287 View citations (96)
    See also Working Paper Exponential GARCH Modeling with Realized Measures of Volatility, Economics Working Papers (2012) View citations (21) (2012)
12. Modeling long memory volatility using realized measures of volatility: A realized HAR GARCH model
    Economic Modelling, 2016, 52, (PB), 812-821 View citations (27)

2015

13. 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 View citations (23)
14. The Spirit of Capitalism and the Equity Premium
    Annals of Economics and Finance, 2015, 16, (2), 493-513

2014

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

2012

16. Realized GARCH: a joint model for returns and realized measures of volatility
    Journal of Applied Econometrics, 2012, 27, (6), 877-906 View citations (313)
17. 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 View citations (16)