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Jiang, George J.


 SSRN Author Rank: 1,509 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
12,243
Total
Citations
375
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
2,002
(3,516)
29

2.  
Oomen, Roel C. A.
Deutsche Bank AG
Jiang, George J.
Washington State University
Posted:
20 Mar 02
1,945
(3,703)
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
1,142
(9,221)
5

4.  
Do Mutual Funds Time the Market? Evidence from Portfolio Holdings | Show Abstract | Download |
AFA 2005 Philadelphia Meetings Paper, Journal of Financial Economics (JFE), Vol. 86, 2007
Accepted Paper Series
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
955
(12,243)
52

5.  
The Information Content of Idiosyncratic Volatility | Show Abstract | Download |
Journal of Financial and Quantitative Analysis, 2009, 44(1), 1-28.
Accepted Paper Series
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
923
(12,875)
28

6.  
Stock Price Jumps and Cross-Sectional Return Predictability | Show Abstract | Download |
Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Accepted Paper Series
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
921
(12,931)
8

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
622
(22,912)
2

8.  
Testing for Jumps When Asset Prices are Observed with Noise - A Swap Variance Approach | Show Abstract | Download |
Journal of Econometrics, Vol. 144, No. 2, pp. 352-370, 2008
Accepted Paper Series
Jiang, George J.
Washington State University
Oomen, Roel C. A.
Deutsche Bank AG
Posted:
21 Nov 05
Last Revised:
08 Jul 08
496
(31,223)
15

9.  
Volatility Spillovers and the Effect of News Announcements | Show Abstract | Download |
Journal of Banking and Finance, Forthcoming
Working Paper Series
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
349
(48,361)
 

10.  
Frieder, Laura
Purdue University - Krannert School of Management
Jiang, George J.
Washington State University
Posted:
20 Mar 07
Last Revised:
21 Feb 13
330
(51,747)
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
311
(51,563)
3

12.  
The Shrinking Space for Anomalies | Show Abstract | Download |
Journal of Financial Research, Forthcoming
Accepted Paper Series
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
286
(61,094)
 

13.  
Forecasting Volatility Using Long Memory and Comovements: An Application to Option Valuation Under SFAS 123r | Show Abstract | Download |
Journal of Financial and Quantitative Analysis (JFQA), Vol. 45, No. 2, 2010
Accepted Paper Series
Jiang, George J.
Washington State University
Tian, Yisong S.
York University - Schulich School of Business
Posted:
14 Mar 06
Last Revised:
20 Feb 13
265
(66,578)
2

14.  
Do Style and Sector Indexes Carry Momentum? | Show Abstract | Download |
The Journal of Investment Strategies, vol1(3), Summer 2012, 67-89.
Accepted Paper Series
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
251
(70,505)
 

15.   Incl. Electronic Paper
Chen, Linda H.
Washington State University
Jiang, George J.
Washington State University
Posted:
04 Oct 12
Last Revised:
30 Jun 13
189
(94,160)
 

16.  
Jiang, George J.
Washington State University
Yan, Shu
University of South Carolina - Moore School of Business
Posted:
20 Mar 06
Last Revised:
03 Oct 12
173
(102,252)
4

17.  
Nonparametric Estimation of the Short Rate Diffusion from a Panel of Yields | Show Abstract | Download |
Journal of Financial and Quantitative Analysis (JFQA), Vol. 44, No. 5, 2009
Accepted Paper Series
Sam, Abdoul G.
Ohio State University (OSU)
Jiang, George J.
Washington State University
Posted:
15 Mar 06
Last Revised:
20 Feb 13
140
(123,311)
1

18.  
Chen, Linda H.
Washington State University
Jiang, George J.
Washington State University
Wang, Qin "Emma"
University of Michigan Dearborn - College of Business
Posted:
03 May 12
Last Revised:
08 May 12
135
(127,163)
 

19.  
Jiang, George J.
Washington State University
Kim, Woojin
Seoul National University - Business School
Posted:
20 Sep 09
119
(140,403)
 

20.  
Jiang, George J.
Washington State University
Kim, Woojin
Seoul National University - Business School
Posted:
26 Mar 10
110
(148,963)
 

21.  
The Model-Free Implied Volatility and Its Information Content | Show Abstract | Download |
Review of Financial Studies 18(4), 1305-1342, 2005
Accepted Paper Series
Jiang, George J.
Washington State University
Tian, Yisong S.
York University - Schulich School of Business
Posted:
18 Feb 13
93
(167,451)
133

22.  
Misreaction or Misspecification? A Re-Examination of Volatility Anomalies | Show Abstract | Download |
Journal of Banking and Finance, Vol. 34, 2010
Accepted Paper Series
Jiang, George J.
Washington State University
Tian, Yisong S.
York University - Schulich School of Business
Posted:
22 Aug 11
Last Revised:
20 Feb 13
67
(204,022)
 

23.  
A Random Walk Down the Options Market | Show Abstract | Download |
Journal of Futures Markets, 2012, 32(6), 505-535.
Accepted Paper Series
Jiang, George J.
Washington State University
Tian, Yisong S.
York University - Schulich School of Business
Posted:
22 Mar 09
Last Revised:
03 Oct 12
57
(221,670)
1

24.  
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
54
(227,460)
 

25.  
Jiang, George J.
Washington State University
Knight, John
University of Western Ontario - Department of Economics
Posted:
20 Sep 12
50
(235,685)
19

26.  
Stochastic Volatility and Jump-Diffusion --- Implications on Option Pricing | Show Abstract | Download |
International Journal of Theoretical and Applied Finance, 1999 (2), No. 4, 409-440
Accepted Paper Series
Jiang, George J.
Washington State University
Posted:
02 Oct 12
37
(265,800)
 

27.  
Jiang, George J.
Washington State University
Posted:
20 Sep 12
33
(276,655)
17

28.  
Testing Option Pricing Models with Stochastic Volatility, Random Jumps and Stochastic Interest Rates | Show Abstract | Download |
International Review of Finance, Vol. 3, pp. 233-272, September 2002
Accepted Paper Series
Jiang, George J.
Washington State University
Posted:
30 Dec 04
32
(279,572)
4

29.  
Option Pricing with the Efficient Method of Moments | Show Abstract | Download |
Computational Finance, Edited by Yaser S. Abu-Mostafa, Blake LeBaron, Andrew W. Lo, and Andreas S. Weigend, 1999, Cambridge, MA: MIT Press
Accepted Paper Series
Jiang, George J.
Washington State University
van der Sluis, Pieter Jelle
APG Asset Management, GTAA Fund
Posted:
02 Oct 12
30
(285,704)
 

30.  
Information Shocks, Liquidity Shocks, Jumps, and Price Discovery: Evidence from the U.S. Treasury Market | Show Abstract | Download |
Journal of Financial and Quantitative Analysis (JFQA), Vol. 46, No. 2, 2011
Accepted Paper Series
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
24
(306,910)
15

31.  
Estimation of Continuous-Time Processes via the Empirical Characteristic Function | Show Abstract | Download |
Journal of Business & Economic Statistics, 20:2, 198-212 (2002)
Accepted Paper Series
Jiang, George J.
Washington State University
Knight, John
University of Western Ontario - Department of Economics
Posted:
18 Feb 13
23
(310,891)
29

32.  
Jiang, George J.
Washington State University
Knight, John
University of Western Ontario - Department of Economics
Posted:
02 Oct 12
23
(310,891)
3

33.  
Jiang, George J.
Washington State University
Tian, Yisong S.
York University - Schulich School of Business
Posted:
26 Mar 05
Last Revised:
21 Feb 13
21
(319,044)
 

34.  
Jiang, George J.
Washington State University
Yan, Shu
University of South Carolina - Moore School of Business
Posted:
24 Mar 05
Last Revised:
21 Feb 13
20
(323,266)
 

35.  
Jiang, George J.
Washington State University
Posted:
02 Oct 12
13
(352,947)
 

36.  
ECF Estimation of Markov Models Where the Transition Density is Unknown | Show Abstract | Download |
Econometrics Journal, Vol. 13, Issue 2, pp. 245-270, July 2010
Accepted Paper Series
Jiang, George J.
Washington State University
Knight, John
University of Western Ontario - Department of Economics
Posted:
10 May 10
2
(401,231)
2

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

38.  
Stochastic Conditional Duration Models with "Leverage Effect" for Financial Transaction Data | Show Abstract |
Journal of Financial Econometrics, Vol. 2, No. 3, pp. 390-421, 2004
Accepted Paper Series
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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