George J. Jiang

Washington State University

Gary P. Brinson Chair of Investment Management

Department of Finance and Management Science

Carson College of Business

Pullman, WA 99-4746164

United States

http://directory.business.wsu.edu/bio.html?username=george.jiang

SCHOLARLY PAPERS

53

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Scholarly Papers (53)

1.

Extracting Model-Free Volatility from Option Prices: An Examination of the VIX Index

Journal of Derivatives, Vol. 14, No. 3, 2007
Number of pages: 41 Posted: 08 Feb 2006 Last Revised: 01 May 2014
George J. Jiang and Yisong S. Tian
Washington State University and York University - Schulich School of Business
Downloads 3,409 (2,839)

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volatility index, VIX, investor fear gauge, volatility smile, fair value of future variance, model-free implied volatility

2.

Hedging Derivatives Risks - a Simulation Study

Number of pages: 46 Posted: 20 Mar 2002
Roel C. A. Oomen and George J. Jiang
Deutsche Bank AG (London) and Washington State University
Downloads 2,122 (6,337)

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Derivatives Risks, Model Risk, Hedging Strategies, Hedging Performance, Simulation Study

3.

Do Mutual Funds Time the Market? Evidence from Portfolio Holdings

AFA 2005 Philadelphia Meetings Paper, Journal of Financial Economics (JFE), Vol. 86, 2007
Number of pages: 36 Posted: 16 Jan 2005 Last Revised: 20 Feb 2013
George J. Jiang, Tong Yao and Tong Yu
Washington State University, University of Iowa - Henry B. Tippie College of Business and University of Cincinnati - Department of Finance - Real Estate
Downloads 1,301 (14,205)

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market timing, mutual fund

4.

Stock Price Jumps and Cross-Sectional Return Predictability

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 45 Posted: 25 Sep 2008 Last Revised: 27 Feb 2013
George J. Jiang and Tong Yao
Washington State University and University of Iowa - Henry B. Tippie College of Business
Downloads 1,273 (14,660)

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stock return predictability, firm characteristics, stock price jumps, asset pricing theory

Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates

COMPUTATIONAL FINANCE, Yaser S. Abu-Mostafa, Blake LeBaron, Andrew W. Lo, Andreas S. Weigend, eds., Cambridge, MA: MIT Press, 1999
Number of pages: 41 Posted: 29 Dec 2000 Last Revised: 27 Feb 2013
George J. Jiang and Pieter Jelle van der Sluis
Washington State University and APG Asset Management, GTAA Fund
Downloads 888 (24,779)

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stochastic volatility, efficient method of moments (EMM), reprojection, option pricing

Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates

Number of pages: 38 Posted: 03 Apr 2001
George J. Jiang and Pieter Jelle van der Sluis
Washington State University and APG Asset Management, GTAA Fund
Downloads 348 (83,308)

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Swaps, default risk

Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates

European Finance Review, Vol. 3, No. 3
Posted: 03 Apr 2001
George J. Jiang and Pieter Jelle van der Sluis
Washington State University and APG Asset Management, GTAA Fund

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Swaps, default risk

6.

The Information Content of Idiosyncratic Volatility

Journal of Financial and Quantitative Analysis, 2009, 44(1), 1-28.
Number of pages: 28 Posted: 18 Aug 2005 Last Revised: 03 Oct 2012
George J. Jiang, Danielle Xu and Tong Yao
Washington State University, Gonzaga University and University of Iowa - Henry B. Tippie College of Business
Downloads 1,224 (15,608)

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Idiosyncratic Volatility, Corporate Disclosure

7.

Dissecting the Idiosyncratic Volatility Anomaly

Number of pages: 40 Posted: 17 Mar 2012
Linda H. Chen, George J. Jiang, Danielle Xu and Tong Yao
University of Idaho, Washington State University, Gonzaga University and University of Iowa - Henry B. Tippie College of Business
Downloads 1,061 (19,355)

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idiosyncratic volatility, stock returns, robustness, market microstructure effect

8.

The Model-Free Implied Volatility and Its Information Content

Review of Financial Studies 18(4), 1305-1342, 2005
Number of pages: 38 Posted: 18 Feb 2013
George J. Jiang and Yisong S. Tian
Washington State University and York University - Schulich School of Business
Downloads 705 (34,635)

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9.

Testing for Jumps When Asset Prices are Observed with Noise - A Swap Variance Approach

Journal of Econometrics, Vol. 144, No. 2, pp. 352-370, 2008
Number of pages: 41 Posted: 21 Nov 2005 Last Revised: 08 Jul 2008
George J. Jiang and Roel C. A. Oomen
Washington State University and Deutsche Bank AG (London)
Downloads 692 (35,560)

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swap variance, jumps, bi-power variation, market microstructure noise

10.

Volatility Spillovers and the Effect of News Announcements

Journal of Banking and Finance, Forthcoming
Number of pages: 33 Posted: 17 Jul 2010 Last Revised: 11 Apr 2012
Washington State University, University of Manchester - Manchester Business School and University of Piraeus
Downloads 484 (56,611)

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Contagion, Scheduled news announcements, Unscheduled news announcements, Implied volatility, Implied volatility index,Volatility spillovers

11.

Do Mutual Funds Trade on Earnings News? The Information Content of Large Active Trades

Number of pages: 50 Posted: 27 Mar 2019 Last Revised: 10 Jun 2019
Linda H. Chen, Wei Huang and George J. Jiang
University of Idaho, College of Saint Benedict (CSB) and Saint John's University (SJU) and Washington State University
Downloads 429 (65,627)

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Mutual fund trading, Earnings news, Large active trades, Earnings response coefficient, Stock valuation, Fund performance

12.

Separating Up from Down: New Evidence on the Idiosyncratic Volatility - Return Relation

AFA 2008 New Orleans Meetings Paper
Number of pages: 43 Posted: 20 Mar 2007 Last Revised: 21 Feb 2013
Laura Frieder and George J. Jiang
Purdue University - Krannert School of Management and Washington State University
Downloads 425 (66,346)

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idiosyncratic volatility, risk

13.

Do Style and Sector Indexes Carry Momentum?

The Journal of Investment Strategies, vol1(3), Summer 2012, 67-89.
Number of pages: 29 Posted: 01 Sep 2012 Last Revised: 07 Sep 2012
Linda H. Chen, George J. Jiang and Xingnong Zhu
University of Idaho, Washington State University and Ibbotson Associates
Downloads 416 (68,063)

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Style Indexes, Sector Indexes, Price Momentum, Earnings Momentum, Transaction Costs

14.

Information Shocks and Short-Term Market Underreaction

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 61 Posted: 29 Dec 2016
George J. Jiang and Xingnong Zhu
Washington State University and Ibbotson Associates
Downloads 410 (69,493)

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Information shocks; short-term underreaction; stock return momentum; earnings announcement effect; limited investor attention

15.

The Shrinking Space for Anomalies

Journal of Financial Research, Forthcoming
Number of pages: 38 Posted: 19 Mar 2011 Last Revised: 01 May 2014
George J. Jiang and Andrew (Jianzhong) Zhang
Washington State University and University of Nevada, Las Vegas - Department of Finance
Downloads 392 (73,073)

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Market Anomaly, Factor Model

Drift or Jump: What Drives Post-Earnings Announcement Stock Returns?

Advances in Quantitative Analysis of Finance and Accounting, Volume 11(2013), pp.175-206
Number of pages: 36 Posted: 04 Oct 2012 Last Revised: 02 Nov 2018
Linda H. Chen and George J. Jiang
University of Idaho and Washington State University
Downloads 223 (134,090)

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post-earnings announcement drift, delayed reaction to earnings information, unexpected information shocks, stock price jumps

Drift or Jump: What Drives Post-Earnings Announcement Stock Returns?

Advances in Quantitative Analysis of Finance and Accounting (AQAFA), Forthcoming
Number of pages: 36 Posted: 30 Jun 2013
Linda H. Chen and George J. Jiang
University of Idaho and Washington State University
Downloads 152 (190,315)

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Post-earnings announcement drift, delayed reaction to earnings information, unexpected information shocks, stock price jumps

Estimating Latent Variables and Jump Diffusion Models Using High Frequency Data

Journal of Financial Econometrics, Vol. 5, No. 1, pp. 1-30, 2007
Number of pages: 39 Posted: 19 Sep 2006 Last Revised: 15 Feb 2008
George J. Jiang and Roel C. A. Oomen
Washington State University and Deutsche Bank AG (London)
Downloads 355 (81,370)

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affine jump diffusion, latent state variables, unbiased minimum-variance estimator, generalized method of moments, high frequency data

Estimating Latent Variables and Jump Diffusion Models Using High Frequency Data

Posted: 18 Aug 2006 Last Revised: 27 Feb 2013
George J. Jiang and Roel C. A. Oomen
Washington State University and Deutsche Bank AG (London)

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affine jump diffusion, latent state variables, unbiased minimum-variance estimator, generalized method of moments, high frequency data

Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data

Journal of Financial Econometrics, Vol. 5, Issue 1, pp. 1-30, 2007
Posted: 16 Jun 2008
George J. Jiang and Roel C. A. Oomen
Washington State University and Deutsche Bank AG (London)

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affine jump diffusion, generalized method of moments, high-frequency data, latent state variables, unbiased minimum-variance estimator

18.

Forecasting Volatility Using Long Memory and Comovements: An Application to Option Valuation Under SFAS 123r

Journal of Financial and Quantitative Analysis (JFQA), Vol. 45, No. 2, 2010
Number of pages: 31 Posted: 14 Mar 2006 Last Revised: 20 Feb 2013
George J. Jiang and Yisong S. Tian
Washington State University and York University - Schulich School of Business
Downloads 341 (85,936)

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Volatility forecasting, Option expensing, Historical volatility, Shrinkage forecast, Long memory, Fractional integration, Comovements

19.

Costly Information Production, Information Intensity, and Mutual Fund Performance

Number of pages: 61 Posted: 03 Mar 2017 Last Revised: 23 Nov 2018
George J. Jiang, Ke Shen, Russ Wermers and Tong Yao
Washington State University, Lehigh University - College of Business & Economics, University of Maryland - Robert H. Smith School of Business and University of Iowa - Henry B. Tippie College of Business
Downloads 303 (97,922)

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information intensity; performance persistence

20.

Total Attention: The Effect of Macroeconomic News on Market Reaction to Earnings News

Journal of Banking and Finance, Forthcoming
Number of pages: 53 Posted: 15 May 2017 Last Revised: 01 Nov 2018
Linda H. Chen, George J. Jiang and Xingnong Zhu
University of Idaho, Washington State University and Ibbotson Associates
Downloads 241 (124,498)

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Earnings announcement; macroeconomic news announcement; market reaction; limited investor attention; category-learning behavior

21.

Linear-Quadratic Term Structure Models – Toward the Understanding of Jumps in Interest Rates

Journal of Banking and Finance, 2009, Vol. 33, No. 3
Number of pages: 13 Posted: 20 Mar 2006 Last Revised: 03 Oct 2012
George J. Jiang and Shu Yan
Washington State University and Oklahoma State University - Stillwater - Department of Finance
Downloads 236 (127,172)

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Term Structure, Affine, Quadratic, Jumps, GMM

22.

Market Reaction to Information Shocks – Does the Bloomberg and Briefing.com Survey Matter?

Journal of Futures Markets, Vol. 33, No. 10, 939-964 (2013)
Number of pages: 37 Posted: 03 May 2012 Last Revised: 01 Nov 2018
Linda H. Chen, George J. Jiang and Qin Emma Wang
University of Idaho, Washington State University and Oklahoma State University - Tulsa
Downloads 213 (140,509)

Abstract:

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Information shocks, Macroeconomic announcements, Market reactions, Asymmetric market reactions, Bloomberg survey, Briefing.com survey

23.

Nonparametric Estimation of the Short Rate Diffusion from a Panel of Yields

Journal of Financial and Quantitative Analysis (JFQA), Vol. 44, No. 5, 2009
Number of pages: 34 Posted: 15 Mar 2006 Last Revised: 20 Feb 2013
Abdoul G. Sam and George J. Jiang
The Ohio State University and Washington State University
Downloads 200 (149,042)

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drift function, nonparametric estimation, panel of yields

24.

Herding on Earnings News: The Role of Institutional Investors in Post-Earnings-Announcement Drift

Journal of Accounting, Auditing and Finance, Vol. 32, No. 4, 2017
Number of pages: 41 Posted: 08 Feb 2017 Last Revised: 01 Nov 2018
Linda H. Chen, Wei Huang and George J. Jiang
University of Idaho, College of Saint Benedict (CSB) and Saint John's University (SJU) and Washington State University
Downloads 191 (155,586)

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Post-Earnings-Announcement Drift, Institutional Herding, Short-Term Price Impact, Stock Price Discovery

25.

Biases in CAPM Beta Estimation

Advances in Investment Analysis and Portfolio Management, Volume 8(2017), pp.83-103.
Number of pages: 28 Posted: 02 Sep 2016 Last Revised: 01 Nov 2018
Linda H. Chen, George J. Jiang, Pan Guanzhong and Xingnong Zhu
University of Idaho, Washington State University, Washington State University and Ibbotson Associates
Downloads 184 (160,913)

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Capital Asset Pricing Model (CAPM), Beta Estimation, Exogeneity, Consistency, Unbiasedness

26.

Evaluating Analysts’ Value: Evidence from Recommendations around Stock Price Jumps

Number of pages: 42 Posted: 20 Sep 2009
George J. Jiang and Woojin Kim
Washington State University and Seoul National University - Business School
Downloads 170 (172,700)

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Analyst Recommendations, Information Processing Ability, Stock Price Jumps, Corporate Event, Market Reactions

27.

Evaluating Analysts' Value: Evidence from Recommendations Around Stock Price Jumps

Number of pages: 46 Posted: 26 Mar 2010
George J. Jiang and Woojin Kim
Washington State University and Seoul National University - Business School
Downloads 168 (174,474)

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Analyst Recommendations, Information Processing Ability, Stock Price Jumps, Corporate Event, Market Reactions

28.

What Drives the 'Smart-Money' Effect? Evidence from Investors' Money Flow to Mutual Fund Classes

Forthcoming Journal of Empirical Finance
Number of pages: 53 Posted: 11 Nov 2016
George J. Jiang and H. Zafer Yuksel
Washington State University and University of Massachusetts
Downloads 162 (179,930)

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Fund Flows, Smart-Money Effect, Persistent-Flow Explanation, Institutional Funds, Retail Funds, Fund Classes

29.

Hedge Fund Manager Skills and Style-Shifting

Number of pages: 63 Posted: 12 Apr 2018 Last Revised: 23 Feb 2019
George J. Jiang, Bing Liang and Huacheng Zhang
Washington State University, University of Massachusetts Amherst - Department of Finance and Southwestern University of Finance and Economics - Institute of Financial Studies
Downloads 160 (181,845)

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Hedge Funds; Style-Shifting; Fund Performance; Manager Skill; Style-Chasing

30.

Risk, Illiquidity or Marketability: What Matters for Discounts on Private Equity Placements?

Journal of Banking and Finance, Vol. 57, 2015
Number of pages: 39 Posted: 12 Oct 2015
University of Idaho, University of Arizona, Washington State University and San Diego State University-College of Business Administration
Downloads 154 (187,834)

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Private equity placement; Trading restriction; Discount; Risk; Illiquidity; Marketability

31.

A Nonparametric Approach to the Estimation of Diffusion Processes - With an Application to a Short-Term Interest Rate Model

Econometric Theory, 1997 (13), 615-645
Number of pages: 37 Posted: 20 Sep 2012
George J. Jiang and John Knight
Washington State University and University of Western Ontario, Faculty of Social Science, Deparment of Economics (Deceased)
Downloads 148 (195,184)

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32.

The Information Content of Analyst Recommendation Revisions – Evidence from the Chinese Stock Market

Pacific-Basin Finance Journal, Vol. 29, 2014
Number of pages: 35 Posted: 01 May 2014
George J. Jiang, Liangliang Lu and Dongming Zhu
Washington State University, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Shanghai University of Finance and Economics - School of Economics
Downloads 143 (199,629)

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Analyst Recommendations; Recommendation Revisions; Market Reactions; Short-selling Restriction; Individual Investor

33.

Misreaction or Misspecification? A Re-Examination of Volatility Anomalies

Journal of Banking and Finance, Vol. 34, 2010
Number of pages: 12 Posted: 22 Aug 2011 Last Revised: 20 Feb 2013
George J. Jiang and Yisong S. Tian
Washington State University and York University - Schulich School of Business
Downloads 126 (220,678)

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Volatility anomaly, Model misspecification, Market misreaction, Model-free implied volatility, Market efficiency

34.

A Random Walk Down the Options Market

Journal of Futures Markets, 2012, 32(6), 505-535.
Number of pages: 31 Posted: 22 Mar 2009 Last Revised: 03 Oct 2012
George J. Jiang and Yisong S. Tian
Washington State University and York University - Schulich School of Business
Downloads 124 (223,383)

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Model-free forward variance, random walk, expectations hypothesis, market illiquidity, model misspecification

35.

Nonparametric Modeling of U.S. Interest Rate Term Structure Dynamics and Implications on the Prices of Derivative Securities

Journal of Financial and Quantitative Analysis (JFQA), Vol. 33, 1998
Number of pages: 34 Posted: 20 Sep 2012
George J. Jiang
Washington State University
Downloads 109 (245,456)

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36.

Gauging the Investor Fear Gauge: Implementation Problems of the Cboe's New Volatility Index

Number of pages: 55 Posted: 26 Mar 2005 Last Revised: 21 Feb 2013
George J. Jiang and Yisong S. Tian
Washington State University and York University - Schulich School of Business
Downloads 102 (257,024)

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Volatility index, VIX, Investor fear gauge, Volatility smile, Fair value of future variance, Model-free implied volatility, No-arbitrage smoothing

37.

Stock Selection Timing

Number of pages: 59 Posted: 02 Apr 2019
Washington State University, West Virginia University and Southwestern University of Finance and Economics - Institute of Financial Studies
Downloads 100 (260,469)

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Mutual Funds; Active Trading; Stock Selection Opportunity; Stock Selection Timing

38.

Stochastic Volatility and Jump-Diffusion --- Implications on Option Pricing

International Journal of Theoretical and Applied Finance, 1999 (2), No. 4, 409-440
Number of pages: 37 Posted: 02 Oct 2012
George J. Jiang
Washington State University
Downloads 95 (269,354)

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Stochastic Volatility, Jump-Diffusion, Option Pricing

39.

Information Shocks, Liquidity Shocks, Jumps, and Price Discovery: Evidence from the U.S. Treasury Market

Journal of Financial and Quantitative Analysis (JFQA), Vol. 46, No. 2, 2011
Number of pages: 26 Posted: 18 Mar 2008 Last Revised: 20 Feb 2013
George J. Jiang, Ingrid Lo and Adrien Verdelhan
Washington State University, Bank of Canada and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 87 (284,768)

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Information Shocks, Jumps, Price Discovery

40.

Option Pricing with the Efficient Method of Moments

Computational Finance, Edited by Yaser S. Abu-Mostafa, Blake LeBaron, Andrew W. Lo, and Andreas S. Weigend, 1999, Cambridge, MA: MIT Press
Number of pages: 41 Posted: 02 Oct 2012
George J. Jiang and Pieter Jelle van der Sluis
Washington State University and APG Asset Management, GTAA Fund
Downloads 82 (295,271)

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Stochastic Volatility, Efficient Method of Moments (EMM), Reprojection, Option Pricing

41.

Estimation of Continuous-Time Processes via the Empirical Characteristic Function

Journal of Business & Economic Statistics, 20:2, 198-212 (2002)
Posted: 18 Feb 2013
George J. Jiang and John Knight
Washington State University and University of Western Ontario, Faculty of Social Science, Deparment of Economics (Deceased)
Downloads 79 (301,867)

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42.

Finite Sample Comparison of Alternative Estimators of Itô Diffusion Processes -- A Monte Carlo Study

Journal of Computational Finance, 1999 (2), Nov. 3, 1-34
Number of pages: 41 Posted: 02 Oct 2012
George J. Jiang and John Knight
Washington State University and University of Western Ontario, Faculty of Social Science, Deparment of Economics (Deceased)
Downloads 79 (301,867)

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Diffusion Process, Parametric Estimation, Nonparametric Estimation, Monte Carlo Simulation

43.

Affine-Quadratic Jump-Diffusion Term Structure Models

Number of pages: 41 Posted: 24 Mar 2005 Last Revised: 21 Feb 2013
George J. Jiang and Shu Yan
Washington State University and Oklahoma State University - Stillwater - Department of Finance
Downloads 78 (304,113)

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Affine, Quadratic, Jump-Diffusions, Term Structure, GMM

44.

Be Prompt or Be Punished: Why Do Investors Discount Earnings Announced Late?

Number of pages: 58 Posted: 24 Apr 2018
Linda H. Chen, George J. Jiang and Kevin X. Zhu
University of Idaho, Washington State University and Hong Kong Polytechnic University
Downloads 64 (339,112)

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Earnings Announcement, Delayed Reporting, Investor Reaction, Disclosure Credibility, Price Efficiency

45.

High-Frequency Trading in the U.S. Treasury Market Around Macroeconomic News Announcements

HKIMR Working Paper No.19/2018
Number of pages: 48 Posted: 27 Aug 2018
George J. Jiang, Ingrid Lo and Giorgio Valente
Washington State University, Bank of Canada and Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)
Downloads 59 (353,141)

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High-frequency Trading; Macroeconomic News Announcements; U.S. Treasury Market; Market Liquidity; Price Efficiency

46.

What Could Also Cause or Aggravate the Implicit ‘Smile’ and ‘Asymmetry’?

Applied Economics Letters, 2002 (9), 75-80
Number of pages: 12 Posted: 02 Oct 2012
George J. Jiang
Washington State University
Downloads 59 (353,141)

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47.

Private Information Flow and Price Discovery in the U.S. Treasury Market

Number of pages: 43 Posted: 01 Sep 2012 Last Revised: 29 Dec 2016
George J. Jiang and Ingrid Lo
Washington State University and Bank of Canada
Downloads 55 (365,312)

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Private information flow; Public information shocks; Price discovery; Order flow impact; Bond return volatility; Depth of limit order book

48.

The Role of Analysts: An Examination of the Idiosyncratic Volatility Anomaly in the Chinese Stock Market

Journal of Empirical Finance, Forthcoming
Number of pages: 49 Posted: 08 Aug 2018 Last Revised: 16 Jun 2019
Ming Gu, George J. Jiang and Bu Xu
Xiamen University - School of Economics, Washington State University and Beijing University of Chemical Technology
Downloads 54 (368,486)

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Analyst Coverage; Analyst Revision; Idiosyncratic Volatility Anomaly; Chinese Stock Market

49.

Testing Option Pricing Models with Stochastic Volatility, Random Jumps and Stochastic Interest Rates

International Review of Finance, Vol. 3, pp. 233-272, September 2002
Number of pages: 40 Posted: 30 Dec 2004
George J. Jiang
Washington State University
Downloads 34 (440,855)
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50.

ECF Estimation of Markov Models Where the Transition Density is Unknown

Econometrics Journal, Vol. 13, Issue 2, pp. 245-270, July 2010
Number of pages: 26 Posted: 10 May 2010
George J. Jiang and John Knight
Washington State University and University of Western Ontario, Faculty of Social Science, Deparment of Economics (Deceased)
Downloads 2 (625,444)
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51.

Valuing Illiquid Common Stock

Financial Analysts Journal, Vol. 64, No. 4, 2008
Posted: 24 Sep 2008
Edward Alexander Dyl and George J. Jiang
University of Arizona and Washington State University

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Equity Investments, Fundamental Analysis and Valuation Models, Alternative Investments, Other

52.

Stochastic Conditional Duration Models with "Leverage Effect" for Financial Transaction Data

Journal of Financial Econometrics, Vol. 2, No. 3, pp. 390-421, 2004
Posted: 29 Feb 2008
Dingan Feng, George J. Jiang and Peter X.K. Song
York University - Department of Economics, Washington State University and University of Waterloo - Department of Statistics and Actuarial Science

Abstract:

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autoregressive conditional duration (ACD) model, ergodicity, financial transaction data, leverage effect, Monte Carlo maximum-likelihood (MCML) estimation, stationarity, stochastic conditional duration (SCD) model

53.

Breaking VIX at Open: Evidence of Uncertainty Creation and Resolution

George J. Jiang and Dongming Zhu
Washington State University and Shanghai University of Finance and Economics - School of Economics

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VIX index; Uncertainty creation; Uncertainty resolution; Macroeconomic news announcements; Out-of-sample forecasts; Trading strategy