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The spillover of macroeconomic uncertainty between the U.S. and China

Huang, Zhuo; Tong, Chen; Qiu, Han; Shen, Yan - In: Economics letters 171 (2018), pp. 123-127

Persistent link: https://www.econbiz.de/10012021901

Realized GARCH, CBOE VIX, and the volatility risk premium

Hansen, Peter Reinhard; Huang, Zhuo; Tong, Chen; Wang, … - In: Journal of financial econometrics 22 (2024) 1, pp. 187-223

Persistent link: https://www.econbiz.de/10014526311

Estimation of extreme value-at-risk : an EVT approach for quantile GARCH model

Yi, Yanping; Feng, Xingdong; Huang, Zhuo - In: Economics letters 124 (2014) 3, pp. 378-381

Persistent link: https://www.econbiz.de/10010495168

Option pricing with the realized GARCH model : an analytical approximation approach

Huang, Zhuo; Wang, Tianyi; Hansen, Peter Reinhard - In: The journal of futures markets 37 (2017) 4, pp. 328-358

Persistent link: https://www.econbiz.de/10011950674

Modeling long memory volatility using realized measures of volatility : a realized HAR GARCH model

Huang, Zhuo; Liu, Hao; Wang, Tianyi - In: Economic modelling 52 (2016), pp. 812-821

Persistent link: https://www.econbiz.de/10011643050

Estimation of Extreme Value-at-Risk : An EVT Approach for Quantile GARCH Model

Yi, Yanping - 2014

We proposed a method to estimate extreme conditional quantiles by combining quantile GARCH model of Xiao and Koenker (2009) and extreme value theory (EVT) approach. We first estimate the latent volatility process using the information of intermediate quantiles. We then apply EVT to the tail...

Persistent link: https://www.econbiz.de/10013055646

Efficient Estimation of Multivariate Semi-nonparametric GARCH Filtered Copula Models

Chen, Xiaohong - 2019

This paper considers estimation of semi-nonparametric GARCH ﬁltered copula models in which the individual time series are modelled by semi-nonparametric GARCH and the joint distributions of the multivariate standardized innovations are characterized by parametric copulas with nonparametric...

Persistent link: https://www.econbiz.de/10012857717

Does measurement error matter in volatility forecasting? : empirical evidence from the Chinese stock market

Wang, Yajing; Liang, Fang; Wang, Tianyi; Huang, Zhuo - In: Economic modelling 87 (2020), pp. 148-157

Persistent link: https://www.econbiz.de/10012416413

Do realized higher moments have information content? : VaR forecasting based on the realized GARCH-RSRK model

Wang, Tianyi; Liang, Fang; Huang, Zhuo; Yan, Hong - In: Economic modelling 109 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013348237

Measuring systemic risk with high-frequency data : a realized GARCH approach

Chen, Qihao; Huang, Zhuo; Liang, Fang - In: Finance research letters 54 (2023), pp. 1-9

Persistent link: https://www.econbiz.de/10014472723