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Huang, Jing-Zhi's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
17,138 |
Total
Citations
661 |
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1.
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How Much of Corporate-Treasury Yield Spread is Due to Credit Risk?
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Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Huang, Ming
Cornell University - Samuel Curtis Johnson Graduate School of Management
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Posted:
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15 Jan 04
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Last Revised:
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10 Oct 12
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4,375
(696)
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264
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Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Huang, Ming
Cornell University - Samuel Curtis Johnson Graduate School of Management
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616
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247
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Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Huang, Ming
Cornell University - Samuel Curtis Johnson Graduate School of Management
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03 Nov 08
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Last Revised:
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10 Oct 12
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272
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245
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Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Huang, Ming
Cornell University - Samuel Curtis Johnson Graduate School of Management
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15 Jan 04
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Last Revised:
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05 Oct 12
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3,487
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262
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Credit risk, credit spread puzzle, time varying risk premia, jumps and stochastic asset volatility
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2.
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Eom, Young Ho
Yonsei University Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Helwege, Jean
University of South Carolina
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2,497
(1,915)
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198
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Credit risk, structural models
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3.
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An Analytical Approach to the Valuation of American Path-Dependent Options
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Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Gao, Bin
University of North Carolina (UNC) at Chapel Hill - Finance Area Subrahmanyam, Marti G.
New York University - Stern School of Business
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Posted:
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23 Jan 97
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Last Revised:
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07 Apr 09
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1,695
(3,759)
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2
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Gao, Bin
University of North Carolina (UNC) at Chapel Hill - Finance Area Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Subrahmanyam, Marti G.
New York University - Stern School of Business
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55
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2
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Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Gao, Bin
University of North Carolina (UNC) at Chapel Hill - Finance Area Subrahmanyam, Marti G.
New York University - Stern School of Business
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1,640
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2
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4.
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Explaining Credit Spread Changes: Some New Evidence from Option-Adjusted Spreads of Bond Indices
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Versions (5)
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Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance
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Posted:
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11 Jun 03
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Last Revised:
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16 Dec 08
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1,313
(5,880)
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12
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Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Kong, Weipeng
Pennsylvania State University
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57
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7
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Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance
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40
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7
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Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance
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92
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7
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Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Kong, Weipeng
Pennsylvania State University
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460
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12
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Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Kong, Weipeng
Pennsylvania State University
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664
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12
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5.
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Inflation Risk Premium: Evidence from the TIPS Market
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Versions (4)
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Grishchenko, Olesya V.
Federal Reserve Board Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance
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Posted:
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21 Mar 08
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Last Revised:
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10 May 12
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923
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11
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Grishchenko, Olesya V.
Federal Reserve Board Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance
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56
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11
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TIPS market, expected inflation, inflation risk premium, term structure of real rates, TIPS liquidity
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Grishchenko, Olesya V.
Federal Reserve Board Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance
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178
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11
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Grishchenko, Olesya V.
Federal Reserve Board Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance
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77
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11
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TIPS market, inflation risk premium, expected inflation
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Grishchenko, Olesya V.
Federal Reserve Board Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance
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21 Mar 08
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Last Revised:
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10 May 12
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612
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11
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TIPS market, inflation risk premium, TIPS liquidity, expected inflation, term structure of real rates, liquidity
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6.
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Costly Financing, Optimal Payout Policies and the Valuation of Corporate Debt
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Versions (3)
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Acharya, Viral V.
New York University - Leonard N. Stern School of Business Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Subrahmanyam, Marti G.
New York University - Stern School of Business Sundaram, Rangarajan K.
New York University (NYU) - Department of Finance
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Posted:
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30 Mar 00
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Last Revised:
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23 Dec 08
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836
(12,298)
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5
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Acharya, Viral V.
New York University - Leonard N. Stern School of Business Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Subrahmanyam, Marti G.
New York University - Stern School of Business Sundaram, Rangarajan K.
New York University (NYU) - Department of Finance
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56
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5
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Acharya, Viral V.
New York University - Leonard N. Stern School of Business Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Subrahmanyam, Marti G.
New York University - Stern School of Business Sundaram, Rangarajan K.
New York University (NYU) - Department of Finance
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33
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5
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Acharya, Viral V.
New York University - Leonard N. Stern School of Business Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Subrahmanyam, Marti G.
New York University - Stern School of Business Sundaram, Rangarajan K.
New York University (NYU) - Department of Finance
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747
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5
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7.
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Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Chen, Ren-Raw
Fordham University Schools of Business
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682
(16,629)
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Credit risk modeling, Credit spread bounds
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8.
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Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Zhou, Hao
PBC School of Finance, Tsinghua University
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| Posted: |
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13 Mar 08
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Last Revised:
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22 Jul 09
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650
(17,784)
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14
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Structural Credit Risk Models, Credit Default Swap Spreads, High Frequency Equity Volatility, Consistent Specification Analysis, Pricing Error Diagnostics
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9.
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An Econometric Model of Credit Spreads with Rebalancing, ARCH and Jump Effects
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Bierens, Herman J.
Pennsylvania State University - College of the Liberal Arts - Department of Economic Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Kong, Weipeng
Pennsylvania State University
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Posted:
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23 May 03
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Last Revised:
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22 Dec 08
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639
(18,249)
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4
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Bierens, Herman J.
Pennsylvania State University - College of the Liberal Arts - Department of Economic Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Kong, Weipeng
Pennsylvania State University
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41
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4
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Credit risk, corporate bonds, credit spread index, index rebalancing, jumps
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Bierens, Herman J.
Pennsylvania State University - College of the Liberal Arts - Department of Economic Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance
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29
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4
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Credit risk, corporate bonds, credit spread index, index rebalancing, jumps
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Bierens, Herman J.
Pennsylvania State University - College of the Liberal Arts - Department of Economic Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Kong, Weipeng
Pennsylvania State University
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569
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4
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Credit risk, corporate bonds, credit spread index, index rebalancing, jumps
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10.
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Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Wang, Ying
State University of New York at Albany - School of Business
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| Posted: |
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02 Jan 10
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Last Revised:
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26 Dec 12
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542
(22,879)
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1
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Hedge fund-like mutual funds, 130/30 funds, market neutral funds,long/short funds, financial crisis
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11.
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Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Kong, Weipeng
Pennsylvania State University
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444
(29,813)
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5
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12.
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Real-Time Profitability of Published Anomalies: An Out-of-Sample Test
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Versions (1)
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Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Huang, Zhijian (James)
University of Wisconsin - Milwaukee - Department of Finance
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Posted:
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17 Mar 10
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Last Revised:
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29 Jan 13
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427
(5,221)
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Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Huang, Zhijian (James)
University of Wisconsin - Milwaukee - Department of Finance
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| Posted: |
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17 Mar 10
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Last Revised:
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29 Jan 13
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427
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Data-snooping Bias, Asset-pricing Anomalies, Out-of-sample Test, Real-time Simulation
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13.
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Helwege, Jean
University of South Carolina Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Wang, Yuan
John Molson School of Business, Concordia University
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| Posted: |
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23 Nov 11
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Last Revised:
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10 Apr 13
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371
(37,405)
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1
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Corporate bond spreads, Liquidity risk, Credit risk, Pairwise difference estimation
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14.
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Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes
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Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Wu, Liuren
City University of New York, CUNY Baruch College - Zicklin School of Business
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Posted:
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03 Aug 03
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Last Revised:
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24 Feb 09
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345
(40,867)
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60
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Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Wu, Liuren
City University of New York, CUNY Baruch College - Zicklin School of Business
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31
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60
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Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Wu, Liuren
City University of New York, CUNY Baruch College - Zicklin School of Business
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24
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60
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Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Wu, Liuren
City University of New York, CUNY Baruch College - Zicklin School of Business
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290
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60
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15.
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When Does Strategic Debt Service Matter?
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Acharya, Viral V.
New York University - Leonard N. Stern School of Business Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Subrahmanyam, Marti G.
New York University - Stern School of Business Sundaram, Rangarajan K.
New York University (NYU) - Department of Finance
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Posted:
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27 May 02
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Last Revised:
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29 Dec 08
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300
(48,212)
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22
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Acharya, Viral V.
New York University - Leonard N. Stern School of Business Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Subrahmanyam, Marti G.
New York University - Stern School of Business Sundaram, Rangarajan K.
New York University (NYU) - Department of Finance
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10
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22
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Acharya, Viral V.
New York University - Leonard N. Stern School of Business Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Subrahmanyam, Marti G.
New York University - Stern School of Business Sundaram, Rangarajan K.
New York University (NYU) - Department of Finance
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26
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22
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Acharya, Viral V.
New York University - Leonard N. Stern School of Business Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Subrahmanyam, Marti G.
New York University - Stern School of Business Sundaram, Rangarajan K.
New York University (NYU) - Department of Finance
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0
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Strategic debt-service, optimal cash management, liquidity defaults, strategic defaults, yield spreads
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Acharya, Viral V.
New York University - Leonard N. Stern School of Business Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Subrahmanyam, Marti G.
New York University - Stern School of Business Sundaram, Rangarajan K.
New York University (NYU) - Department of Finance
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23
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22
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Strategic debt-service, interaction of optionalities, liquidity default, strategic default, cash-management
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Sundaram, Rangarajan K.
New York University (NYU) - Department of Finance Acharya, Viral V.
New York University - Leonard N. Stern School of Business Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Subrahmanyam, Marti G.
New York University - Stern School of Business
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241
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22
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strategic debt-service, interaction of optionalities, liquidity default, strategic default, cash-management
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16.
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Return Smoothing and its Implications for Performance Analysis of Hedge Funds
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Liechty, John
Pennsylvania State University, University Park Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Rossi, Marco
University of Notre Dame - Department of Finance
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Posted:
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19 Mar 09
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Last Revised:
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11 Nov 12
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275
(53,277)
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1
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Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Liechty, John
Pennsylvania State University, University Park Rossi, Marco
University of Notre Dame - Department of Finance
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| Posted: |
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18 Mar 10
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Last Revised:
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21 Mar 10
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100
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1
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Hedge funds, return smoothing, performance persistence, Bayesian analysis, time-varying betas
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Liechty, John
Pennsylvania State University, University Park Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Rossi, Marco
University of Notre Dame - Department of Finance
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| Posted: |
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19 Mar 09
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Last Revised:
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11 Nov 12
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175
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1
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Hedge Funds, Smoothing, Performance Persistence, Bayesian Model
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17.
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Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Wang, Ying
State University of New York at Albany - School of Business
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| Posted: |
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10 Nov 08
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Last Revised:
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12 Oct 10
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217
(68,828)
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2
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Market Timing, Government Bond Funds, Holdings-based Timing Measure, Bootstrap
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18.
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Time Variation in Diversification Benefits of Commodity, REITs, and TIPS
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Versions (2)
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Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Zhong, Zhaodong
Rutgers University
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Posted:
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17 Mar 06
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Last Revised:
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21 Dec 12
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178
(84,610)
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9
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Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Zhong, Zhaodong
Rutgers University
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0
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diversification, commodity, REITs, TIPS, DCC
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Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Zhong, Zhaodong
Rutgers University
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| Posted: |
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17 Mar 06
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Last Revised:
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24 Mar 11
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178
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9
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Diversification, Commodity, REITs, TIPS, DCC
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19.
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The Valuation of American Barrier Options using the
Decomposition Technique
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Versions (3)
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hide multiple versions |
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Gao, Bin
University of North Carolina (UNC) at Chapel Hill - Finance Area Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Subrahmanyam, Marti G.
New York University - Stern School of Business
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Posted:
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08 Feb 01
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Last Revised:
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16 Dec 08
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143
(102,151)
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6
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Subrahmanyam, Marti G.
New York University - Stern School of Business Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance
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50
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6
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Gao, Bin
University of North Carolina (UNC) at Chapel Hill - Finance Area Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Subrahmanyam, Marti G.
New York University - Stern School of Business
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93
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6
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Gao, Bin
University of North Carolina (UNC) at Chapel Hill - Finance Area Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Subrahmanyam, Marti G.
New York University - Stern School of Business
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0
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20.
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Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Lu, Lei
Peking University - Guang Hua School of Management Wu, Bo
affiliation not provided to SSRN
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77
(160,133)
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1
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21.
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Pricing and Hedging American Options: A Recursive Integration Method
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Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Subrahmanyam, Marti G.
New York University - Stern School of Business
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Posted:
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20 Jul 98
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Last Revised:
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16 Oct 12
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75
(162,705)
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31
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Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Subrahmanyam, Marti G.
New York University - Stern School of Business Yu, George C
O'Melveny & Myers LLP
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75
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31
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Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Subrahmanyam, Marti G.
New York University - Stern School of Business
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0
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22.
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Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance Ju, Nengjiu
Hong Kong University of Science & Technology (HKUST) - Department of Finance Ou-Yang, Hui
Cheung Kong Graduate School of Business
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| Posted: |
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11 Nov 08
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Last Revised:
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09 Aug 09
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71
(168,040)
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1
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23.
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Grishchenko, Olesya V.
Federal Reserve Board Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance
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| Posted: |
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16 Sep 12
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Last Revised:
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23 Jan 13
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63
(180,781)
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11
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TIPS market, inflation risk premium, expected inflation, term structure of real rates, liquidity
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