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Jiang, George J.


 SSRN Author Rank: 1,551 by Downloads
 Gary P. Brinson Chair of Investment Management
 

Washington State University


 Department of Finance and Management Science
 College of Business
 Pullman, WA 99-4746164
 United States
 509-3354474 (Phone)
 HOME PAGE: http://www.cb.wsu.edu/directory/profile.cfm?emp=jiang_george
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. Jiang, George J.'s Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
12,955
Total
Citations
374
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
Jiang, George J.
Washington State University
Tian, Yisong S.
York University - Schulich School of Business
Posted:
08 Feb 06
Last Revised:
01 May 14
2,187
(3,344)
29

2.  
Oomen, Roel C. A.
Deutsche Bank AG
Jiang, George J.
Washington State University
Posted:
20 Mar 02
1,960
(4,034)
2

3.   Incl. Electronic Paper
Jiang, George J.
Washington State University
van der Sluis, Pieter Jelle
APG Asset Management, GTAA Fund
Posted:
29 Dec 00
Last Revised:
27 Feb 13
1,148
(10,080)
5

4.  
Do Mutual Funds Time the Market? Evidence from Portfolio Holdings | Show Abstract | Download This Paper | Open PDF in Browser |
AFA 2005 Philadelphia Meetings Paper, Journal of Financial Economics (JFE), Vol. 86, 2007
Number of Pages in PDF File: 36
Jiang, George J.
Washington State University
Yao, Tong
University of Iowa - Henry B. Tippie College of Business
Yu, Tong
University of Rhode Island - College of Business Administration
Posted:
16 Jan 05
Last Revised:
20 Feb 13
1,020
(12,175)
52

5.  
Stock Price Jumps and Cross-Sectional Return Predictability | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of Pages in PDF File: 45
Jiang, George J.
Washington State University
Yao, Tong
University of Iowa - Henry B. Tippie College of Business
Posted:
25 Sep 08
Last Revised:
27 Feb 13
981
(12,884)
7

6.  
The Information Content of Idiosyncratic Volatility | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Financial and Quantitative Analysis, 2009, 44(1), 1-28.
Number of Pages in PDF File: 28
Jiang, George J.
Washington State University
Xu, Danielle
Gonzaga University
Yao, Tong
University of Iowa - Henry B. Tippie College of Business
Posted:
18 Aug 05
Last Revised:
03 Oct 12
964
(13,232)
28

7.  
Chen, Linda H.
Washington State University
Jiang, George J.
Washington State University
Xu, Danielle
Gonzaga University
Yao, Tong
University of Iowa - Henry B. Tippie College of Business
Posted:
17 Mar 12
673
(22,576)
2

8.  
Testing for Jumps When Asset Prices are Observed with Noise - A Swap Variance Approach | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Econometrics, Vol. 144, No. 2, pp. 352-370, 2008
Number of Pages in PDF File: 41
Jiang, George J.
Washington State University
Oomen, Roel C. A.
Deutsche Bank AG
Posted:
21 Nov 05
Last Revised:
08 Jul 08
514
(32,614)
15

9.  
Volatility Spillovers and the Effect of News Announcements | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Banking and Finance, Forthcoming
Number of Pages in PDF File: 33
Jiang, George J.
Washington State University
Konstantinidi, Eirini
University of Manchester - Manchester Business School
Skiadopoulos, George S.
University of Piraeus
Posted:
17 Jul 10
Last Revised:
11 Apr 12
367
(49,765)
 

10.  
Frieder, Laura
Purdue University - Krannert School of Management
Jiang, George J.
Washington State University
Posted:
20 Mar 07
Last Revised:
21 Feb 13
337
(55,177)
1

11.   Incl. Electronic Paper
Jiang, George J.
Washington State University
Oomen, Roel C. A.
Deutsche Bank AG
Posted:
18 Aug 06
Last Revised:
27 Feb 13
314
(55,802)
3

12.  
The Shrinking Space for Anomalies | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Financial Research, Forthcoming
Number of Pages in PDF File: 38
Jiang, George J.
Washington State University
Zhang, Andrew (Jianzhong)
University of Nevada, Las Vegas - Department of Finance
Posted:
19 Mar 11
Last Revised:
01 May 14
298
(63,566)
 

13.  
Forecasting Volatility Using Long Memory and Comovements: An Application to Option Valuation Under SFAS 123r | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Financial and Quantitative Analysis (JFQA), Vol. 45, No. 2, 2010
Number of Pages in PDF File: 31
Jiang, George J.
Washington State University
Tian, Yisong S.
York University - Schulich School of Business
Posted:
14 Mar 06
Last Revised:
20 Feb 13
273
(70,021)
2

14.  
Do Style and Sector Indexes Carry Momentum? | Show Abstract | Download This Paper | Open PDF in Browser |
The Journal of Investment Strategies, vol1(3), Summer 2012, 67-89.
Number of Pages in PDF File: 29
Chen, Linda H.
Washington State University
Jiang, George J.
Washington State University
Zhu, Xingnong
Ibbotson Associates
Posted:
01 Sep 12
Last Revised:
07 Sep 12
264
(72,558)
 

15.  
The Model-Free Implied Volatility and Its Information Content | Show Abstract | Download This Paper | Open PDF in Browser |
Review of Financial Studies 18(4), 1305-1342, 2005
Number of Pages in PDF File: 38
Jiang, George J.
Washington State University
Tian, Yisong S.
York University - Schulich School of Business
Posted:
18 Feb 13
208
(93,140)
134

16.   Incl. Electronic Paper
Chen, Linda H.
Washington State University
Jiang, George J.
Washington State University
Posted:
04 Oct 12
Last Revised:
30 Jun 13
200
(96,828)
 

17.  
Jiang, George J.
Washington State University
Yan, Shu
University of South Carolina - Darla Moore School of Business
Posted:
20 Mar 06
Last Revised:
03 Oct 12
176
(109,195)
4

18.  
Chen, Linda H.
Washington State University
Jiang, George J.
Washington State University
Wang, Qin "Emma"
University of Michigan Dearborn
Posted:
03 May 12
Last Revised:
08 May 12
145
(129,464)
 

19.  
Nonparametric Estimation of the Short Rate Diffusion from a Panel of Yields | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Financial and Quantitative Analysis (JFQA), Vol. 44, No. 5, 2009
Number of Pages in PDF File: 34
Sam, Abdoul G.
Ohio State University (OSU)
Jiang, George J.
Washington State University
Posted:
15 Mar 06
Last Revised:
20 Feb 13
142
(131,738)
1

20.  
Jiang, George J.
Washington State University
Kim, Woojin
Seoul National University - Business School
Posted:
20 Sep 09
120
(150,772)
 

21.  
Jiang, George J.
Washington State University
Kim, Woojin
Seoul National University - Business School
Posted:
26 Mar 10
113
(157,686)
 

22.  
Jiang, George J.
Washington State University
Tian, Yisong S.
York University - Schulich School of Business
Posted:
22 Aug 11
Last Revised:
20 Feb 13
72
(211,463)
 

23.  
Jiang, George J.
Washington State University
Lu, Liangliang
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Zhu, Dongming
Shanghai University of Finance and Economics - School of Economics
Posted:
01 May 14
64
(225,474)
 

24.  
Jiang, George J.
Washington State University
Knight, John
University of Western Ontario - Department of Economics
Posted:
20 Sep 12
62
(229,304)
19

25.  
A Random Walk Down the Options Market | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Futures Markets, 2012, 32(6), 505-535.
Number of Pages in PDF File: 31
Jiang, George J.
Washington State University
Tian, Yisong S.
York University - Schulich School of Business
Posted:
22 Mar 09
Last Revised:
03 Oct 12
61
(231,255)
1

26.  
Jiang, George J.
Washington State University
Posted:
20 Sep 12
46
(263,477)
17

27.  
Stochastic Volatility and Jump-Diffusion --- Implications on Option Pricing | Show Abstract | Download This Paper | Open PDF in Browser |
International Journal of Theoretical and Applied Finance, 1999 (2), No. 4, 409-440
Number of Pages in PDF File: 37
Jiang, George J.
Washington State University
Posted:
02 Oct 12
39
(281,276)
 

28.  
Option Pricing with the Efficient Method of Moments | Show Abstract | Download This Paper | Open PDF in Browser |
Computational Finance, Edited by Yaser S. Abu-Mostafa, Blake LeBaron, Andrew W. Lo, and Andreas S. Weigend, 1999, Cambridge, MA: MIT Press
Number of Pages in PDF File: 41
Jiang, George J.
Washington State University
van der Sluis, Pieter Jelle
APG Asset Management, GTAA Fund
Posted:
02 Oct 12
33
(298,666)
 

29.  
Testing Option Pricing Models with Stochastic Volatility, Random Jumps and Stochastic Interest Rates | Show Abstract | Add to Cart |
International Review of Finance, Vol. 3, pp. 233-272, September 2002
Number of Pages in PDF File: 40
Jiang, George J.
Washington State University
Posted:
30 Dec 04
32
(301,705)
4

30.  
Jiang, George J.
Washington State University
Tian, Yisong S.
York University - Schulich School of Business
Posted:
26 Mar 05
Last Revised:
21 Feb 13
28
(315,280)
 

31.  
Jiang, George J.
Washington State University
Knight, John
University of Western Ontario - Department of Economics
Posted:
02 Oct 12
27
(318,922)
3

32.  
Information Shocks, Liquidity Shocks, Jumps, and Price Discovery: Evidence from the U.S. Treasury Market | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Financial and Quantitative Analysis (JFQA), Vol. 46, No. 2, 2011
Number of Pages in PDF File: 26
Jiang, George J.
Washington State University
Lo, Ingrid
Bank of Canada
Verdelhan, Adrien
National Bureau of Economic Research (NBER)
Posted:
18 Mar 08
Last Revised:
20 Feb 13
27
(318,922)
14

33.  
Jiang, George J.
Washington State University
Knight, John
University of Western Ontario - Department of Economics
Posted:
18 Feb 13
25
(326,793)
29

34.  
Jiang, George J.
Washington State University
Yan, Shu
University of South Carolina - Darla Moore School of Business
Posted:
24 Mar 05
Last Revised:
21 Feb 13
20
(348,251)
 

35.  
Jiang, George J.
Washington State University
Posted:
02 Oct 12
13
(379,468)
 

36.  
ECF Estimation of Markov Models Where the Transition Density is Unknown | Show Abstract | Add to Cart |
Econometrics Journal, Vol. 13, Issue 2, pp. 245-270, July 2010
Number of Pages in PDF File: 26
Jiang, George J.
Washington State University
Knight, John
University of Western Ontario - Department of Economics
Posted:
10 May 10
2
(428,981)
2

37.  
Valuing Illiquid Common Stock | Show Abstract |
Financial Analysts Journal, Vol. 64, No. 4, 2008
Dyl, Edward Alexander
University of Arizona
Jiang, George J.
Washington State University
Posted:
24 Sep 08
 

38.  
Feng, Dingan
York University - Department of Economics
Jiang, George J.
Washington State University
Song, Peter X.K.
University of Waterloo - Department of Statistics and Actuarial Science
Posted:
29 Feb 08
 


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