Details about Tianyi Wang

Access statistics for papers by Tianyi Wang.

Last updated 2023-10-09. Update your information in the RePEc Author Service.

Short-id: pwa530

Working Papers

2021

1. Liquidation, Leverage and Optimal Margin in Bitcoin Futures Markets
   Papers, arXiv.org
   See also Journal Article Liquidation, leverage and optimal margin in bitcoin futures markets, Applied Economics, Taylor & Francis Journals (2021) (2021)
2. Realized GARCH, CBOE VIX, and the Volatility Risk Premium
   Papers, arXiv.org View citations (1)

Journal Articles

2023

1. Factor-timing in the Chinese factor zoo: The role of economic policy uncertainty
   Journal of International Financial Markets, Institutions and Money, 2023, 85, (C) View citations (2)
2. Pricing VIX futures: A framework with random level shifts
   Finance Research Letters, 2023, 52, (C)
3. The effects of economic uncertainty on financial volatility: A comprehensive investigation
   Journal of Empirical Finance, 2023, 73, (C), 369-389 View citations (2)

2022

4. Directly pricing VIX futures: the role of dynamic volatility and jump intensity
   Applied Economics, 2022, 54, (32), 3678-3694 View citations (5)
5. Do VIX futures contribute to the valuation of VIX options?
   Journal of Futures Markets, 2022, 42, (9), 1644-1664
6. Do realized higher moments have information content? - VaR forecasting based on the realized GARCH-RSRK model
   Economic Modelling, 2022, 109, (C) View citations (2)
7. Overnight volatility, realized volatility, and option pricing
   Journal of Futures Markets, 2022, 42, (7), 1264-1283 View citations (4)

2021

8. A short cut: Directly pricing VIX futures with discrete‐time long memory model and asymmetric jumps
   Journal of Futures Markets, 2021, 41, (4), 458-477 View citations (6)
9. Liquidation, leverage and optimal margin in bitcoin futures markets
   Applied Economics, 2021, 53, (47), 5415-5428
   See also Working Paper Liquidation, Leverage and Optimal Margin in Bitcoin Futures Markets, Papers (2021) (2021)
10. Measuring investors’ risk aversion in China’s stock market
    Finance Research Letters, 2021, 42, (C)
11. Modeling dynamic higher moments of crude oil futures
    Finance Research Letters, 2021, 39, (C) View citations (6)

2020

12. Does measurement error matter in volatility forecasting? Empirical evidence from the Chinese stock market
    Economic Modelling, 2020, 87, (C), 148-157 View citations (3)
13. 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

14. Out‐of‐sample volatility prediction: A new mixed‐frequency approach
    Journal of Forecasting, 2019, 38, (7), 669-680 View citations (21)
15. VIX term structure and VIX futures pricing with realized volatility
    Journal of Futures Markets, 2019, 39, (1), 72-93 View citations (25)

2017

16. Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach
    Journal of Futures Markets, 2017, 37, (4), 328-358 View citations (27)
17. Pricing the CBOE VIX Futures with the Heston–Nandi GARCH Model
    Journal of Futures Markets, 2017, 37, (7), 641-659 View citations (29)
18. 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

19. Modeling long memory volatility using realized measures of volatility: A realized HAR GARCH model
    Economic Modelling, 2016, 52, (PB), 812-821 View citations (27)
20. Revisiting the risk-return relation in the Chinese stock market: Decomposition of risk premium and volatility feedback effect
    China Economic Journal, 2016, 9, (2), 140-153

2015

21. Impact of exchange rate regime reform on asset returns in China
    The European Journal of Finance, 2015, 21, (2), 147-171 View citations (3)

2012

22. Price Volatility Forecast for Agricultural Commodity Futures： The Role of High Frequency Data
    Journal for Economic Forecasting, 2012, (4), 83-103 View citations (4)
23. 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)

2011

24. China's macroeconomic stability – an empirical study based on survey data
    China Economic Journal, 2011, 4, (1), 43-64