Zhuo Huang

National School of Development, Peking University

Associate Professor in Economics

No. 38 Xueyuan Road

Haidian District

Beijing, Beijing 100871

China

  • National School of Development, Peking University

SCHOLARLY PAPERS

12

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43

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16

Scholarly Papers (12)

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1.

Realized GARCH: A Joint Model of Returns and Realized Measures of Volatility

Number of pages: 31 Posted: 10 Jan 2010 Last Revised: 16 Apr 2014
Peter Reinhard Hansen, Zhuo Huang and Howard Howan Stephen Shek
University of North Carolina (UNC) at Chapel Hill - Department of Economics, National School of Development, Peking University and Stanford University
Downloads 916 (31,431)
Citation 40

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High Frequency Data, Realized Variance, Leverage Effect

2.

Oil Price Drivers and Movements: The Challenge for Future Research

Number of pages: 28 Posted: 29 Apr 2013 Last Revised: 16 Apr 2014
Hillard Huntington, Saud Al-Fattah, Zhuo Huang, Michael Gucwa and Ali Nouri
Stanford University - Energy Modeling Forum, Saudi Aramco, National School of Development, Peking University, Stanford University - Huang Engineering Center and Stanford University - Huang Engineering Center
Downloads 898 (32,306)
Citation 4

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oil prices, supply and demand analysis, financial markets

3.

Measuring China's Stock Market Sentiment

Number of pages: 67 Posted: 25 Apr 2019 Last Revised: 10 May 2019
Jia Li, Yun Chen, Yan Shen, Jingyi Wang and Zhuo Huang
Duke University, Peking University - National School of Development, Peking University - China Center for Economic Research (CCER), Peking University - National School of Development and National School of Development, Peking University
Downloads 426 (84,802)
Citation 3

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disagreement, machine learning, noise trading, sentiment, textual analysis, volatility, volume

4.

Oil Markets and Price Movements: A Survey of Models

USAEE Working Paper No. 13-129
Number of pages: 63 Posted: 11 Jun 2013
Hillard Huntington, Saud Al-Fattah, Zhuo Huang, Michael Gucwa and Ali Nouri
Stanford University - Energy Modeling Forum, Saudi Aramco, National School of Development, Peking University, Stanford University - Huang Engineering Center and Stanford University - Huang Engineering Center
Downloads 289 (130,293)

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Oil models, oil prices, supply and demand analysis, financial markets

5.

Oil Markets and Price Movements: A Survey of Determinants

Number of pages: 76 Posted: 06 Jun 2013
Hillard Huntington, Zhuo Huang, Saud Al-Fattah, Michael Gucwa and Ali Nouri
Stanford University - Energy Modeling Forum, National School of Development, Peking University, Saudi Aramco, Stanford University - Huang Engineering Center and Stanford University - Huang Engineering Center
Downloads 186 (199,301)

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oil prices, supply and demand analysis, financial markets

6.

The Effects of Economic Uncertainty on Financial Volatility: A Comprehensive Investigation

Number of pages: 31 Posted: 15 May 2018 Last Revised: 12 May 2019
Zhuo Huang, Chen Tong, Tianyi Wang and Cong Zhang
National School of Development, Peking University, Peking University, University of International Business and Economics (UIBE) - School of Banking and Finance and University of Chicago - Booth School of Business
Downloads 173 (212,276)

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Economic uncertainty, Volatility forecasting, Realized volatility, Uncertainty measures

7.

Estimation of Extreme Value-at-Risk: An EVT Approach for Quantile GARCH Model

Number of pages: 10 Posted: 12 Apr 2014 Last Revised: 16 Apr 2014
Yanping Yi, Xingdong Feng and Zhuo Huang
Shanghai University of Finance and Economics - School of Economics, Shanghai University of Finance and Economics - School of Statistics and Management and National School of Development, Peking University
Downloads 172 (213,347)

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Extreme value theory; GARCH; Quantile regression; Semiparametric; Value at Risk

8.

Volatility During the Financial Crisis Through the Lens of High Frequency Data: A Realized GARCH Approach

Number of pages: 35 Posted: 25 May 2018
Denisa Banulescu Radu, Peter Reinhard Hansen, Zhuo Huang and Marius Matei
University of Orleans, University of North Carolina (UNC) at Chapel Hill - Department of Economics, National School of Development, Peking University and University of Tasmania
Downloads 119 (286,201)
Citation 2

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Financial Crisis, Volatility, High Frequency Data, Realized GARCH

9.

Pricing VIX Options with Realized Volatility

Number of pages: 33 Posted: 23 Nov 2020 Last Revised: 30 Dec 2020
Chen Tong and Zhuo Huang
Peking University and National School of Development, Peking University
Downloads 95 (333,202)

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Realized GARCH, Realized Volatility, VIX Options, VIX Derivatives

10.

Exponential GARCH Modeling with Realized Measures of Volatility

Number of pages: 35 Posted: 25 May 2018
Peter Reinhard Hansen and Zhuo Huang
University of North Carolina (UNC) at Chapel Hill - Department of Economics and National School of Development, Peking University
Downloads 92 (340,034)
Citation 14

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EGARCH, High Frequency Data, Realized Variance, Leverage Effect

11.

Efficient Estimation of Multivariate Semi-nonparametric GARCH Filtered Copula Models

Cowles Foundation Discussion Paper No. 2215 (2019)
Number of pages: 78 Posted: 26 Dec 2019
Xiaohong Chen, Zhuo Huang and Yanping Yi
Yale University - Cowles Foundation, National School of Development, Peking University and Shanghai University of Finance and Economics - School of Economics
Downloads 46 (485,830)

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Semi-nonparametric dynamic models, Residual copulas, Semiparametric multistep, Residual sieve maximum likelihood, Semiparametric efficiency

12.

Ownership Restructuring, Marketization and Wealth Inequality in Urban China: 1995 and 2002

China & World Economy, Vol. 20, Issue 5, pp. 37-62, 2012
Number of pages: 26 Posted: 02 Oct 2012
Xiaobin He and Zhuo Huang
Tsinghua University - School of Social Sciences and National School of Development, Peking University
Downloads 0 (795,614)
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marketization, ownership restructuring, property transformation, wealth inequality