Details about Jingzhi Huang

Access statistics for papers by Jingzhi Huang.

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

Short-id: phu438

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
2. Peer Effects in Credit Ratings
   Working Papers, University of Toronto, Department of Economics

2015

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

2012

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

2008

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

2004

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

2002

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

2000

8. 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- View citations (8)

1998

9. 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) 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
2. Does ownership concentration affect corporate bond volatility? Evidence from bond mutual funds
   Journal of Banking & Finance, 2024, 165, (C)

2023

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

2022

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

2021

6. 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 View citations (1)
7. What Do We Know About Corporate Bond Returns?
   Annual Review of Financial Economics, 2021, 13, (1), 363-399 View citations (5)

2020

8. 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 View citations (17)
9. 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 View citations (7)
   See also Working Paper Specification analysis of structural credit risk models, Finance and Economics Discussion Series (2008) View citations (17) (2008)
10. Testing moving average trading strategies on ETFs
    Journal of Empirical Finance, 2020, 57, (C), 16-32 View citations (10)
11. Why do firms issue guaranteed bonds?
    Journal of Banking & Finance, 2020, 119, (C) View citations (4)

2017

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

2014

14. Liquidity effects in corporate bond spreads
    Journal of Banking & Finance, 2014, 45, (C), 105-116 View citations (61)
15. 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 View citations (1)
16. The information content of Basel III liquidity risk measures
    Journal of Financial Stability, 2014, 15, (C), 91-111 View citations (91)
17. Timing Ability of Government Bond Fund Managers: Evidence from Portfolio Holdings
    Management Science, 2014, 60, (8), 2091-2109 View citations (18)

2013

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

2012

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

2007

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

2006

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

2002

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

2000

25. The valuation of American barrier options using the decomposition technique
    Journal of Economic Dynamics and Control, 2000, 24, (11-12), 1783-1827 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

26. Pricing and Hedging American Options: A Recursive Integration Method
    The Review of Financial Studies, 1996, 9, (1), 277-300 View citations (100)
    See also Chapter PRICING AND HEDGING AMERICAN OPTIONS: A RECURSIVE INTEGRATION METHOD, World Scientific Book Chapters, 1999, 219-239 (1999) (1999)

Chapters

2022

1. Credit Derivatives
   Springer

1999

2. 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
   See also Journal Article Pricing and Hedging American Options: A Recursive Integration Method, Society for Financial Studies (1996) View citations (100) (1996)