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Tianyi Wang
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Year
The relationship between volatility and trading volume in the Chinese stock market: a volatility decomposition perspective
T Wang, Z Huang
Annals of economics and finance 13 (1), 211-236, 2012
672012
Pricing the CBOE VIX futures with the Heston–Nandi GARCH model
T Wang, Y Shen, Y Jiang, Z Huang
Journal of Futures Markets 37 (7), 641-659, 2017
592017
Option pricing with the realized GARCH model: An analytical approximation approach
Z Huang, T Wang, PR Hansen
Journal of Futures Markets 37 (4), 328-358, 2017
552017
VIX Term Structure and VIX Futures Pricing with Realized Volatility
Z Huang, C Tong, T Wang
Journal of Futures Markets 39 (1), 72-93, 2019
502019
Modeling long memory volatility using realized measures of volatility: A realized HAR GARCH model
Z Huang, H Liu, T Wang
Economic Modelling 52, 812-821, 2016
502016
Out‐of‐sample volatility prediction: A new mixed‐frequency approach
Y Zhang, F Ma, T Wang, L Liu
Journal of Forecasting 38 (7), 669-680, 2019
482019
高频数据波动率建模——基于厚尾分布的 Realized GARCH 模型
王天一, 黄卓
数量经济技术经济研究 29 (5), 149-160, 2012
202012
Price volatility forecast for agricultural commodity futures: The role of high frequency data
W Huang, Z Huang, M Matei, T Wang
University Of Tasmania, 2012
182012
Which volatility model for option valuation in China? Empirical evidence from SSE 50 ETF options
Z Huang, C Tong, T Wang
Applied Economics 52 (17), 1866-1880, 2020
162020
A short cut: Directly pricing VIX futures with discrete-time long memory model and asymmetric jumps
TW Fangsheng Yin, Yang Bian
Journal of Futures Markets, 458-477, 2021
102021
Realized EGARCH, CBOE VIX and variance risk premium
PR Hansen, Z Huang, T Wang
Working Paper, 2015
102015
Realized GARCH, CBOE VIX, and the Volatility Risk Premium
PR Hansen, Z Huang, C Tong, T Wang
Journal of Financial Econometrics, https://doi.org/10.1093/jjfinec/nbac033, 2022
92022
Modeling dynamic higher moments of crude oil futures
Z Huang, F Liang, T Wang, C Li
Finance Research Letters 39, 101570, 2021
92021
The impact of privatization on TFP: A quasi-experiment in China
X Wang, Z Luo, T Wang, Z Huang
Annals of Economics and Finance 18 (1), 535-71, 2017
82017
基于高频数据的波动率建模及应用研究评述
王天一, 黄卓
经济学动态, 141-146, 2012
82012
金融业系统性风险度量——基于尾部依赖视角
蒋涛, 吴卫星, 王天一, 沈涛
系统工程理论与实践 34 (S1), 40-47, 2014
72014
利用高频数据预测沪深 300 指数波动率——基于 Realized GARCH 模型的实证研究
王天一, 赵晓军, 黄卓
世界经济文汇, 17-30, 2014
72014
Measuring investors’ risk aversion in China’s stock market
TY Bian, T Wang, Z Zhou
Finance Research Letters 42, 101891, 2021
62021
Does measurement error matter in volatility forecasting? Empirical evidence from the Chinese stock market
Y Wang, F Liang, T Wang, Z Huang
Economic Modelling 87, 148-157, 2020
62020
The effects of economic uncertainty on financial volatility: A comprehensive investigation
C Tong, Z Huang, T Wang, C Zhang
Journal of Empirical Finance 73, 369-389, 2023
5*2023
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Articles 1–20