Jian Hua

City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance

17 Lexington Avenue

New York, NY 10010

United States

SCHOLARLY PAPERS

11

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Top 34,203

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1,461

SSRN CITATIONS

4

CROSSREF CITATIONS

1

Scholarly Papers (11)

1.

Resiliency and Stock Returns

Baruch College Zicklin School of Business Research Paper No. 2018-08-02
Number of pages: 74 Posted: 18 Aug 2018 Last Revised: 15 Feb 2019
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Baruch College - CUNY and Fairfield University - Charles F. Dolan School of Business
Downloads 258 (130,480)
Citation 2

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Stock Returns, Resiliency, Liquidity, Price Discovery, Asset Pricing

2.

Predicting Inflation Without Running Predictive Regressions

Number of pages: 33 Posted: 12 Mar 2014
Jian Hua and Liuren Wu
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 228 (146,853)

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Inflation rates; Taylor rule; predictive regressions; time-varying risk premium

3.

The Impact of the Extreme Events on Commodity Market Volatility

Number of pages: 31 Posted: 16 Feb 2009
Jian Hua and Peter Went
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and CLS Bank International
Downloads 221 (151,347)

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Commodity markets, Outliers, Asset Pricing, Risk Management, Time series, Volatility Forecasts

4.

Option Implied Volatilities and Corporate Bond Yields: A Dynamic Factor Approach

Number of pages: 44 Posted: 09 Oct 2010 Last Revised: 27 Sep 2013
Jian Hua
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 187 (176,693)
Citation 1

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Term Structure, Credit Spread, Option Implied Volatility, Factor Model, Nelson-Siegel Curve, Price Discovery

5.

Market Returns and a Tale of Two Types of Attention

Number of pages: 53 Posted: 03 Apr 2020 Last Revised: 09 Apr 2020
University of Notre Dame - Mendoza College of Business, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 163 (199,107)

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Return Predictability, Institutional Attention, Retail Attention

6.

Order Integration and the Dynamic Behavior of Security Prices

Number of pages: 47 Posted: 12 Mar 2014 Last Revised: 18 Mar 2016
Georgetown University - Robert Emmett McDonough School of Business, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Baruch College - CUNY and TraderEx LLC
Downloads 124 (248,068)

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stock return distribution, tail thickness, excess kurtosis, mixture of distributions, time-varying volatility

7.

Large Shocks and Commodity Market Volatility

Number of pages: 30 Posted: 19 Mar 2010
Jian Hua and Peter Went
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and CLS Bank International
Downloads 111 (268,896)
Citation 1

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Commodity markets, Volatility, Outliers, News, Risk Management, Time series

8.

Forecasting the Return Distribution Using High-Frequency Volatility Measures

Journal of Banking and Finance, Vol. 37, No. 11, 2013
Number of pages: 41 Posted: 27 Oct 2011 Last Revised: 22 Sep 2013
Jian Hua and Sebastiano Manzan
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 109 (272,370)
Citation 2

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Realized Volatility, Quantile Regression, Density Forecast, Value-at-Risk

9.

From Theory to Application: Using Simulation to Better Understand Price Determination in a Non-Frictionless Equity Market

Number of pages: 35 Posted: 14 Nov 2016
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Baruch College - CUNY and TraderEx LLC
Downloads 50 (422,153)

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simulation analysis, stock return distribution, tail thickness, excess kurtosis, mixture of distributions, market structure, call auctions, continuous trading

10.

Option Skills

Number of pages: 50 Posted: 29 Nov 2017 Last Revised: 21 Apr 2020
Amber Anand, Jian Hua and Andy Puckett
Syracuse University - Whitman School of Management, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and University of Tennessee, Knoxville
Downloads 10 (634,291)

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Institutional Trading, Informed Traders, Options Markets

11.

Forecasting Yield Curves with Survey Information

JOURNAL OF PORTFOLIO MANAGEMENT, Spring 2012, pages 149-163, https://doi.org/10.3905/jpm.2012.38.3.149
Posted: 21 May 2019
Jack Clark Francis and Jian Hua
Zicklin School of Business, Baruch College and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance

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Yield curve, professional economic forecasters, interest rate forecast