Access Statistics for Tianyi Wang

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Liquidation, Leverage and Optimal Margin in Bitcoin Futures Markets 0 0 2 11 10 26 80 143
Realized GARCH, CBOE VIX, and the Volatility Risk Premium 0 0 2 73 1 17 39 74
Total Working Papers 0 0 4 84 11 43 119 217

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A short cut: Directly pricing VIX futures with discrete‐time long memory model and asymmetric jumps 0 0 0 15 0 3 9 46
China's macroeconomic stability – an empirical study based on survey data 0 0 0 1 2 4 6 7
Directly pricing VIX futures: the role of dynamic volatility and jump intensity 0 0 1 5 1 4 12 26
Do VIX futures contribute to the valuation of VIX options? 0 0 2 15 0 4 10 41
Do realized higher moments have information content? - VaR forecasting based on the realized GARCH-RSRK model 0 0 1 6 0 3 15 36
Does measurement error matter in volatility forecasting? Empirical evidence from the Chinese stock market 0 0 0 12 0 2 11 60
Factor-timing in the Chinese factor zoo: The role of economic policy uncertainty 0 0 2 12 0 8 13 41
Impact of exchange rate regime reform on asset returns in China 0 0 0 18 0 2 7 67
Liquidation, leverage and optimal margin in bitcoin futures markets 1 1 3 6 5 19 64 91
Measuring investors’ risk aversion in China’s stock market 0 0 0 9 2 6 15 48
Modeling dynamic higher moments of crude oil futures 0 0 0 8 0 5 10 36
Modeling long memory volatility using realized measures of volatility: A realized HAR GARCH model 0 0 3 53 1 9 29 214
Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach 1 1 1 6 1 2 5 41
Out‐of‐sample volatility prediction: A new mixed‐frequency approach 0 0 0 9 0 3 12 45
Overnight volatility, realized volatility, and option pricing 1 2 5 48 8 22 45 137
Price Volatility Forecast for Agricultural Commodity Futures： The Role of High Frequency Data 0 0 0 180 1 4 10 507
Pricing VIX futures: A framework with random level shifts 0 0 2 10 0 4 17 34
Pricing the CBOE VIX Futures with the Heston–Nandi GARCH Model 0 0 0 17 0 1 12 76
Revisiting the risk-return relation in the Chinese stock market: Decomposition of risk premium and volatility feedback effect 0 0 0 1 0 1 13 30
The Impact of Privatization on TFP: a Quasi-Experiment in China 0 0 0 24 0 6 17 132
The Relationship between Volatility and Trading Volume in the Chinese Stock Market: A Volatility Decomposition Perspective 0 1 3 269 3 10 35 1,276
The effects of economic uncertainty on financial volatility: A comprehensive investigation 0 0 2 7 0 5 17 40
VIX term structure and VIX futures pricing with realized volatility 2 2 6 21 4 6 23 73
Which volatility model for option valuation in China? Empirical evidence from SSE 50 ETF options 0 0 0 15 0 1 8 47
Total Journal Articles 5 7 31 767 28 134 415 3,151

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Statistics updated 2026-06-04