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Do VIX futures contribute to the valuation of VIX options?

Tong, Chen; Huang, Zhuo; Wang, Tianyi - In: The journal of futures markets 42 (2022) 9, pp. 1644-1664

Persistent link: https://www.econbiz.de/10013465803

Exponential GARCH Modeling with Realized Measures of Volatility

Hansen, Peter Reinhard - 2018

We introduce the Realized Exponential GARCH model that can utilize multiple realized volatility measures for the modeling of a return series. The model specifies the dynamic properties of both returns and realized measures, and is characterized by a flexible modeling of the dependence between...

Persistent link: https://www.econbiz.de/10012919210

Option pricing with overnight and intraday volatility

Liang, Fang; Du, Lingshan; Huang, Zhuo - In: The journal of futures markets 43 (2023) 11, pp. 1576-1614

Persistent link: https://www.econbiz.de/10014432919

Exponential GARCH modeling with realized measures of volatility

Hansen, Peter Reinhard; Huang, Zhuo - 2012

Persistent link: https://www.econbiz.de/10009764678

Realized GARCH: a joint model for returns and realized measures of volatility

Hansen, Peter Reinhard; Huang, Zhuo; Shek, Howard Howan - In: Journal of applied econometrics 27 (2012) 6, pp. 877-906

Persistent link: https://www.econbiz.de/10010219741

Exponential GARCH modeling with realized measures of volatility

Hansen, Peter Reinhard; Huang, Zhuo - 2012

Persistent link: https://www.econbiz.de/10009660759

Exponential GARCH modeling with realized measures of volatility

Hansen, Peter Reinhard; Huang, Zhuo - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 2, pp. 269-287

Persistent link: https://www.econbiz.de/10011691332

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

Revisiting the risk-return relation in the Chinese stock market : decomposition of risk premium and volatility feedback effect

Liu, Hao; Shen, Shihan; Wang, Tianyi; Huang, Zhuo - In: China economic journal : the official journal of the … 9 (2016) 2, pp. 140-153

Persistent link: https://www.econbiz.de/10011585334

Good volatility, bad volatility, and VIX futures pricing : evidence from the decomposition of VIX

Tong, Chen; Huang, Zhuo - In: The journal of derivatives : JOD 30 (2023) 3, pp. 117-143

Persistent link: https://www.econbiz.de/10014231129