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Details about Jingzhi Huang

E-mail:
Homepage:http://www.personal.psu.edu/jxh56/
Workplace:Smeal College of Business Administration, Pennsylvania State University, (more information at EDIRC)

Access statistics for papers by Jingzhi Huang.

Last updated 2025-01-06. Update your information in the RePEc Author Service.

Short-id: phu438


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Working Papers

2016

  1. Hedging Interest Rate Risk Using a Structural Model of Credit Risk
    Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics Downloads
  2. Peer Effects in Credit Ratings
    Working Papers, University of Toronto, Department of Economics

2015

  1. Double-jump stochastic volatility model for VIX: evidence from VVIX
    Papers, arXiv.org Downloads

2012

  1. Inflation risk premium: evidence from the TIPS market
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (52)

2008

  1. Specification analysis of structural credit risk models
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (17)
    See also Journal Article Specification Analysis of Structural Credit Risk Models*, Review of Finance, European Finance Association (2020) Downloads View citations (7) (2020)

2004

  1. Specification Analysis of Option Pricing Models Based on Time- Changed Levy Processes
    Finance, University Library of Munich, Germany Downloads View citations (113)
    Also in Econometric Society 2004 North American Winter Meetings, Econometric Society (2004) Downloads View citations (114)

2002

  1. When Does Strategic Debt Service Matter?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (11)
    See also Journal Article When does Strategic Debt-service Matter?, Economic Theory, Springer (2006) Downloads View citations (24) (2006)

2000

  1. Costly Financing, Optimal Payout Policies and the Valuation of Corporate Debt
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- Downloads View citations (8)

1998

  1. The Valuation of American Barrier Options Using the Decomposition Technique
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations (1)
    See also Journal Article The valuation of American barrier options using the decomposition technique, Journal of Economic Dynamics and Control, Elsevier (2000) Downloads View citations (32) (2000)

Journal Articles

2024

  1. Breadth of Ownership and the Cross-Section of Corporate Bond Returns
    Management Science, 2024, 70, (9), 5709-5730 Downloads
  2. Does ownership concentration affect corporate bond volatility? Evidence from bond mutual funds
    Journal of Banking & Finance, 2024, 165, (C) Downloads

2023

  1. Determinants of Short-Term Corporate Yield Spreads: Evidence from the Commercial Paper Market*
    Review of Finance, 2023, 27, (2), 539-579 Downloads View citations (2)
  2. Machine-Learning-Based Return Predictors and the Spanning Controversy in Macro-Finance
    Management Science, 2023, 69, (3), 1780-1804 Downloads View citations (1)

2022

  1. Leverage effect in cryptocurrency markets
    Pacific-Basin Finance Journal, 2022, 73, (C) Downloads View citations (7)

2021

  1. Sequential Learning of Cryptocurrency Volatility Dynamics: Evidence Based on a Stochastic Volatility Model with Jumps in Returns and Volatility
    Quarterly Journal of Finance (QJF), 2021, 11, (02), 1-37 Downloads View citations (1)
  2. What Do We Know About Corporate Bond Returns?
    Annual Review of Financial Economics, 2021, 13, (1), 363-399 Downloads View citations (5)

2020

  1. Liquidity Premium in the Eye of the Beholder: An Analysis of the Clientele Effect in the Corporate Bond Market
    Management Science, 2020, 66, (2), 932-957 Downloads View citations (17)
  2. Specification Analysis of Structural Credit Risk Models*
    (Corporate bond valuation and hedging with stochastic interest rates and endogenous bankruptcy)
    Review of Finance, 2020, 24, (1), 45-98 Downloads View citations (7)
    See also Working Paper Specification analysis of structural credit risk models, Finance and Economics Discussion Series (2008) Downloads View citations (17) (2008)
  3. Testing moving average trading strategies on ETFs
    Journal of Empirical Finance, 2020, 57, (C), 16-32 Downloads View citations (10)
  4. Why do firms issue guaranteed bonds?
    Journal of Banking & Finance, 2020, 119, (C) Downloads View citations (4)

2017

  1. Debt Covenants and Cross-Sectional Equity Returns
    Management Science, 2017, 63, (6), 1835-1854 Downloads View citations (4)
  2. Double-jump diffusion model for VIX: evidence from VVIX
    Quantitative Finance, 2017, 17, (2), 227-240 Downloads View citations (8)

2014

  1. Liquidity effects in corporate bond spreads
    Journal of Banking & Finance, 2014, 45, (C), 105-116 Downloads View citations (61)
  2. Stochastic Volatility Models for Asset Returns with Leverage, Skewness and Heavy-Tails via Scale Mixture
    Quarterly Journal of Finance (QJF), 2014, 04, (03), 1-31 Downloads View citations (1)
  3. The information content of Basel III liquidity risk measures
    Journal of Financial Stability, 2014, 15, (C), 91-111 Downloads View citations (90)
  4. Timing Ability of Government Bond Fund Managers: Evidence from Portfolio Holdings
    Management Science, 2014, 60, (8), 2091-2109 Downloads View citations (18)

2013

  1. Real-Time Profitability of Published Anomalies: An Out-of-Sample Test
    Quarterly Journal of Finance (QJF), 2013, 03, (03n04), 1-33 Downloads View citations (1)
  2. Should investors invest in hedge fund-like mutual funds? Evidence from the 2007 financial crisis
    Journal of Financial Intermediation, 2013, 22, (3), 482-512 Downloads View citations (6)
  3. Time Variation in Diversification Benefits of Commodity, REITs, and TIPS
    The Journal of Real Estate Finance and Economics, 2013, 46, (1), 152-192 Downloads View citations (28)

2012

  1. How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk?
    The Review of Asset Pricing Studies, 2012, 2, (2), 153-202 Downloads View citations (243)

2007

  1. Determinants of S&P 500 index option returns
    Review of Derivatives Research, 2007, 10, (1), 1-38 Downloads View citations (5)

2006

  1. When does Strategic Debt-service Matter?
    Economic Theory, 2006, 29, (2), 363-378 Downloads View citations (24)
    See also Working Paper When Does Strategic Debt Service Matter?, CEPR Discussion Papers (2002) Downloads View citations (11) (2002)

2002

  1. A Note on Forward Price and Forward Measure
    Review of Quantitative Finance and Accounting, 2002, 19, (3), 261-72 Downloads View citations (1)

2000

  1. The valuation of American barrier options using the decomposition technique
    Journal of Economic Dynamics and Control, 2000, 24, (11-12), 1783-1827 Downloads View citations (32)
    See also Working Paper The Valuation of American Barrier Options Using the Decomposition Technique, New York University, Leonard N. Stern School Finance Department Working Paper Seires (1998) View citations (1) (1998)

1996

  1. Pricing and Hedging American Options: A Recursive Integration Method
    The Review of Financial Studies, 1996, 9, (1), 277-300 Downloads View citations (99)
    See also Chapter PRICING AND HEDGING AMERICAN OPTIONS: A RECURSIVE INTEGRATION METHOD, World Scientific Book Chapters, 1999, 219-239 (1999) Downloads (1999)

Chapters

2022

  1. Credit Derivatives
    Springer

1999

  1. PRICING AND HEDGING AMERICAN OPTIONS: A RECURSIVE INTEGRATION METHOD
    Chapter 8 in Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar, 1999, pp 219-239 Downloads
    See also Journal Article Pricing and Hedging American Options: A Recursive Integration Method, Society for Financial Studies (1996) Downloads View citations (99) (1996)
 
Page updated 2025-04-02