Tianyu Wang

Tsinghua University, School of Economics and Management

Beijing, 100084

China

SCHOLARLY PAPERS

8

DOWNLOADS

1,036

SSRN CITATIONS
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Top 16,541

in Total Papers Citations

32

CROSSREF CITATIONS

34

Scholarly Papers (8)

Do Foreign Investors Improve Market Efficiency?

NBER Working Paper No. w24765
Number of pages: 67 Posted: 06 Jul 2018 Last Revised: 03 Mar 2022
Imperial College London - Accounting, Finance, and Macroeconomics, Imperial College Business School and Tsinghua University, School of Economics and Management
Downloads 47 (548,700)
Citation 2

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Citation 19

Currency Mispricing and Dealer Balance Sheets

Journal of Finance, Forthcoming
Number of pages: 89 Posted: 12 Feb 2019 Last Revised: 12 Dec 2020
Fulcrum Asset Management, Imperial College Business School and Tsinghua University, School of Economics and Management
Downloads 319 (133,051)
Citation 7

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Exchange rates, dollar basis covered interest parity condition, arbitrage opportunities

Currency Mispricing and Dealer Balance Sheets

Bank of England Working Paper No. 779
Number of pages: 55 Posted: 19 Feb 2019
Fulcrum Asset Management, Imperial College Business School and Tsinghua University, School of Economics and Management
Downloads 247 (172,971)
Citation 13

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exchange rates, dollar basis covered interest parity condition, arbitrage opportunities

Currency Mispricing and Dealer Balance Sheets

CEPR Discussion Paper No. DP15569
Number of pages: 92 Posted: 23 Dec 2020
Fulcrum Asset Management, Imperial College Business School and Tsinghua University, School of Economics and Management
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Citation 1
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The Correlation Risk Premium: International Evidence

CEPR Discussion Paper No. DP16389
Number of pages: 46 Posted: 22 Sep 2021
Catholic University of Portugal (UCP) - School of Economics and Management and CEGE, Imperial College Business School and Tsinghua University, School of Economics and Management
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correlation risk premium, implied correlation, international equity options, realized correlation, variance risk premium

4.

Global Volatility and Firm-Level Capital Flows

Number of pages: 55 Posted: 13 Apr 2022 Last Revised: 06 Jul 2022
Imperial College London - Accounting, Finance, and Macroeconomics, Boston College and Tsinghua University, School of Economics and Management
Downloads 285 (151,046)

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global financial flows, global volatility, institutional flows, information choice, emerging markets

5.
Downloads 62 (188,094)
Citation 2

Informed trading in government bond markets

Bank of England Working Paper No. 871
Number of pages: 55 Posted: 18 Jun 2020
Robert Czech, Shiyang Huang, Dong Lou and Tianyu Wang
Bank of England, The University of Hong Kong - Faculty of Business and Economics, London School of Economics & Political Science (LSE) and Tsinghua University, School of Economics and Management
Downloads 62 (482,865)
Citation 2

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Government bonds, informed trading, return predictability, asset managers

6.

An Unintended Consequence of Holding Dollar Assets

Bank of England Working Paper No. 953
Number of pages: 56 Posted: 08 Mar 2022
Robert Czech, Shiyang Huang, Dong Lou and Tianyu Wang
Bank of England, The University of Hong Kong - Faculty of Business and Economics, London School of Economics & Political Science (LSE) and Tsinghua University, School of Economics and Management
Downloads 48 (533,985)

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Covid crisis, gilt yields, variation margin, FX derivatives, global reserve currency, currency hedging

7.

Uncertainty of Put-Call Parity Violation and Option Returns

Number of pages: 47 Posted: 04 Aug 2022
University of TorontoTsinghua University - School of Economics and Management, Tsinghua University, School of Economics and Management, Tsinghua University and The Hong Kong Polytechnic University
Downloads 28 (657,288)

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Option returns, put-call parity violation, volatility-of-volatility

8.

Market Closure and Short-Term Reversal

Asian Finance Association (AsianFA) 2016 Conference
Posted: 11 Feb 2016
Imperial College Business School, Imperial College Business School and Tsinghua University, School of Economics and Management

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Short-term reversal, Liquidity, Market closure