Chuanhai Zhang

Zhongnan University of Economics and Law - School of Finance

WenQuan Building, 182# Nanhu Avenue

East Lake High-tech Development Zone

Wuhan, Hubei 430073

China

SCHOLARLY PAPERS

4

DOWNLOADS

147

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

Futures-Trading Activity and Jump Risk: Evidence From the Bitcoin Market

Number of pages: 46 Posted: 22 Jan 2021 Last Revised: 12 Oct 2021
Chuanhai Zhang, Huan Ma and Xiaosai Liao
Zhongnan University of Economics and Law - School of Finance, School of Finance and Southwestern University of Finance and Economics (SWUFE) - Institute of Chinese Financial Studies (ICFS)
Downloads 57 (457,455)

Abstract:

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Bitcoin futures; Lévy jumps; Granger causality; high-frequency data; Fintech

2.

The Impacts of Futures Introduction on Spot Market Volatility: Evidence from the Bitcoin Market

Number of pages: 51 Posted: 13 Aug 2021 Last Revised: 23 Aug 2021
Chuanhai Zhang, Huan Ma, GIDEON BRUCE ARKORFUL and Zhe Peng
Zhongnan University of Economics and Law - School of Finance, School of Finance, affiliation not provided to SSRN and Property and Casualty Insurance Compensation Corporation (PACICC)
Downloads 35 (555,003)

Abstract:

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Bitcoin; Futures-trading activity; Volatility; Asymmetry; GARCH models; FinTech

3.

Testing for Self-exciting Jumps in Bitcoin Returns

Number of pages: 43 Posted: 22 Oct 2020 Last Revised: 07 Sep 2021
Chuanhai Zhang, Zhengjun Zhang and Mengyu Xu
Zhongnan University of Economics and Law - School of Finance, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 35 (560,358)

Abstract:

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Bitcoin; self-excitation; good jumps; bad jumps; high frequency data; FinTech

4.

On Truncated Multi-power Estimator of Integrated Volatility With Noisy High Frequency Data

Number of pages: 54 Posted: 12 Feb 2021
Chuanhai Zhang, Zhi Liu and Haiqiang Chen
Zhongnan University of Economics and Law - School of Finance, University of Macau and Xiamen University
Downloads 20 (649,065)

Abstract:

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Itô semi-martingale, pre-averaging, threshold estimation, multi-power variation estimation, Lévy jumps, market microstructure noise, high-frequency data

Other Papers (1)

Total Downloads: 42
1.

Jumps at Ultra-High Frequency: Evidence From the Chinese Stock Market

Number of pages: 32 Posted: 20 Aug 2019
Chuanhai Zhang, Zhi Liu and Qiang Liu
Zhongnan University of Economics and Law - School of Finance, University of Macau and University of Macau
Downloads 42 (495,542)

Abstract:

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jumps, market microstructure noise, spurious detections, threshold pre-averaged bi-power variation, ultra high frequency data