Zhiwu Hong

Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)

A 307, Economics Building

Xiamen, Fujian 361005

China

SCHOLARLY PAPERS

3

DOWNLOADS

227

SSRN CITATIONS

0

CROSSREF CITATIONS

3

Scholarly Papers (3)

1.

Discrete-Time Arbitrage-Free Nelson-Siegel Term Structure Model and Application

Number of pages: 45 Posted: 11 Feb 2016
Zhiwu Hong, Linlin Niu and Gengming Zeng
Xiamen University - Wang Yanan Institute for Studies in Economics (WISE), Xiamen University - Wang Yanan Institute for Studies in Economics (WISE) and Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Downloads 108 (253,308)
Citation 2

Abstract:

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Nelson-Siegel interest rate term structure model, yield curve, macro-finance, exchange rate risk

2.

Leveraged ETF Options Implied Volatility Paradox: A Statistical Study

SFB 649 Discussion Paper 2016-004, Economic Risk, Berlin
Number of pages: 42 Posted: 27 Jun 2016 Last Revised: 14 Nov 2016
Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Downloads 107 (254,921)
Citation 1

Abstract:

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exchange-traded funds, options, moneyness scaling, stochastic volatility, bootstrap, dynamic factor models

3.

An Arbitrage-Free Yield Net Model with Application to the Euro Debt Crisis

Number of pages: 56 Posted: 04 Feb 2019
Zhiwu Hong and Linlin Niu
Xiamen University - Wang Yanan Institute for Studies in Economics (WISE) and Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Downloads 12 (574,208)

Abstract:

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Term Structure Models, European Debt Crisis, Liquidity, Sovereign Credit Risk, Nelson-Siegel Factors