Tianyi Wang
Names
Identifer
Contact
| email: |
tianyiwangmath at domain gmail.com
|
Affiliations
-
University of International Business and Economics (UIBE)
/ School of Banking and Finance
Research profile
author of:
- Liquidation, Leverage and Optimal Margin in Bitcoin Futures Markets (RePEc:arx:papers:2102.04591)
by Zhiyong Cheng & Jun Deng & Tianyi Wang & Mei Yu - Realized GARCH, CBOE VIX, and the Volatility Risk Premium (RePEc:arx:papers:2112.05302)
by Peter Reinhard Hansen & Zhuo Huang & Chen Tong & Tianyi Wang - The Relationship between Volatility and Trading Volume in the Chinese Stock Market: A Volatility Decomposition Perspective (RePEc:cuf:journl:y:2012:v:13:i:1:n:2)
by Tianyi Wang & Zhuo Huang - The Impact of Privatization on TFP: a Quasi-Experiment in China (RePEc:cuf:journl:y:2017:v:18:i:1:wang)
by Xiaohua Wang & Zhi Luo & Tianyi Wang & Zhuo Huang - Do realized higher moments have information content? - VaR forecasting based on the realized GARCH-RSRK model (RePEc:eee:ecmode:v:109:y:2022:i:c:s026499932200027x)
by Wang, Tianyi & Liang, Fang & Huang, Zhuo & Yan, Hong - Modeling long memory volatility using realized measures of volatility: A realized HAR GARCH model (RePEc:eee:ecmode:v:52:y:2016:i:pb:p:812-821)
by Huang, Zhuo & Liu, Hao & Wang, Tianyi - Does measurement error matter in volatility forecasting? Empirical evidence from the Chinese stock market (RePEc:eee:ecmode:v:87:y:2020:i:c:p:148-157)
by Wang, Yajing & Liang, Fang & Wang, Tianyi & Huang, Zhuo - The effects of economic uncertainty on financial volatility: A comprehensive investigation (RePEc:eee:empfin:v:73:y:2023:i:c:p:369-389)
by Tong, Chen & Huang, Zhuo & Wang, Tianyi & Zhang, Cong - Modeling dynamic higher moments of crude oil futures (RePEc:eee:finlet:v:39:y:2021:i:c:s1544612319302727)
by Huang, Zhuo & Liang, Fang & Wang, Tianyi & Li, Chao - Measuring investors’ risk aversion in China’s stock market (RePEc:eee:finlet:v:42:y:2021:i:c:s1544612320317050)
by Bian, Timothy Yang & Wang, Tianyi & Zhou, Zipeng - Pricing VIX futures: A framework with random level shifts (RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322006778)
by Chen, Xiaoyi & Feng, JianFen & Wang, Tianyi - Factor-timing in the Chinese factor zoo: The role of economic policy uncertainty (RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000501)
by Li, Zhiyong & Wan, Yifan & Wang, Tianyi & Yu, Mei - Price Volatility Forecast for Agricultural Commodity Futures： The Role of High Frequency Data (RePEc:rjr:romjef:v::y:2012:i:4:p:83-103)
by Huang, Wen & Huang, Zhuo & Matei, Marius & Wang, Tianyi - Which volatility model for option valuation in China? Empirical evidence from SSE 50 ETF options (RePEc:taf:applec:v:52:y:2020:i:17:p:1866-1880)
by Zhuo Huang & Chen Tong & Tianyi Wang - Liquidation, leverage and optimal margin in bitcoin futures markets (RePEc:taf:applec:v:53:y:2021:i:47:p:5415-5428)
by Zhiyong Cheng & Jun Deng & Tianyi Wang & Mei Yu - Directly pricing VIX futures: the role of dynamic volatility and jump intensity (RePEc:taf:applec:v:54:y:2022:i:32:p:3678-3694)
by Tianyi Wang & Sicong Cheng & Fangsheng Yin & Mei Yu - Impact of exchange rate regime reform on asset returns in China (RePEc:taf:eurjfi:v:21:y:2015:i:2:p:147-171)
by Xiuping Hua & Laixiang Sun & Tianyi Wang - China's macroeconomic stability – an empirical study based on survey data (RePEc:taf:rcejxx:v:4:y:2011:i:1:p:43-64)
by Chia-Shang James Chu & Tianyi Wang & Huihui Li - Revisiting the risk-return relation in the Chinese stock market: Decomposition of risk premium and volatility feedback effect (RePEc:taf:rcejxx:v:9:y:2016:i:2:p:140-153)
by Hao Liu & Shihan Shen & Tianyi Wang & Zhuo Huang - Out‐of‐sample volatility prediction: A new mixed‐frequency approach (RePEc:wly:jforec:v:38:y:2019:i:7:p:669-680)
by Yaojie Zhang & Feng Ma & Tianyi Wang & Li Liu - Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach (RePEc:wly:jfutmk:v:37:y:2017:i:4:p:328-358)
by Zhuo Huang & Tianyi Wang & Peter Reinhard Hansen - Pricing the CBOE VIX Futures with the Heston–Nandi GARCH Model (RePEc:wly:jfutmk:v:37:y:2017:i:7:p:641-659)
by Tianyi Wang & Yiwen Shen & Yueting Jiang & Zhuo Huang - VIX term structure and VIX futures pricing with realized volatility (RePEc:wly:jfutmk:v:39:y:2019:i:1:p:72-93)
by Zhuo Huang & Chen Tong & Tianyi Wang - A short cut: Directly pricing VIX futures with discrete‐time long memory model and asymmetric jumps (RePEc:wly:jfutmk:v:41:y:2021:i:4:p:458-477)
by Fangsheng Yin & Yang Bian & Tianyi Wang - Overnight volatility, realized volatility, and option pricing (RePEc:wly:jfutmk:v:42:y:2022:i:7:p:1264-1283)
by Tianyi Wang & Sicong Cheng & Fangsheng Yin & Mei Yu - Do VIX futures contribute to the valuation of VIX options? (RePEc:wly:jfutmk:v:42:y:2022:i:9:p:1644-1664)
by Chen Tong & Zhuo Huang & Tianyi Wang