Zhiguang Wang

South Dakota State University

Box 504, Department of Economics

South Dakota State University

Brookings, SD SD 57007-0895

United States

  • South Dakota State University

SCHOLARLY PAPERS

6

DOWNLOADS

72

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (6)

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1.

Risk Premia in Forward Foreign Exchange Markets: A Comparison of Signal Extraction and Regression Methods

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Risk Premia in Forward Foreign Exchange Markets: A Comparison of Signal Extraction and Regression Methods

Empirical Economics, Forthcoming
Posted: 10 Jul 2011
Zhiguang Wang and Prasad V. Bidarkota
South Dakota State University and Florida International University (FIU) - Department of Economics

Abstract:

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Exchange rates, Time-varying risk premium, Signal extraction, Non-normality, Volatility persistence

2.

A Dimension-invariant Cascade Model for VIX Futures

Number of pages: 21 Posted: 14 May 2019
Zhiguang Wang and Brice V. Dupoyet
South Dakota State University and Florida International University - College of Business Administration - Finance
Downloads 57 (551,158)

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3.

Weekly Options on Grain Futures

Number of pages: 19 Posted: 15 Feb 2023
Zhiguang Wang and Matthew Diersen
South Dakota State University and South Dakota State University
Downloads 15 (818,093)

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weeklies, implied volatility, spot volatility

4.

A Long Run Risks Model of Asset Pricing with Fat Tails

Review of Finance, Vol. 14, No. 3, pp. 409-449, 2009
Posted: 10 Jul 2011
Zhiguang Wang and Prasad V. Bidarkota
South Dakota State University and Florida International University (FIU) - Department of Economics

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asset pricing, long run risks, equity risk premium, fat tails, Dampened Power Law, Levy process, stochastic volatility

5.

The Performance of Vix Option Pricing Models: Empirical Evidence Beyond Simulation

Journal of Futures Markets, Vol. 31, No. 3, pp. 251-281, 2010
Posted: 10 Jul 2011
Zhiguang Wang and Robert T. Daigler
South Dakota State University and Florida International University (FIU) - Department of Finance

Abstract:

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VIX options, volatility options

6.

Variance Risk Premiums and Predictive Power of Alternative Forward Variances in the Corn Market

Journal of Futures Markets, Forthcoming
Posted: 10 Jul 2011
Zhiguang Wang, Scott W. Fausti and Bashir A. Qasmi
South Dakota State University, South Dakota State University - Department of Economics and affiliation not provided to SSRN

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Variance Risk Premium, Variance Swap, Model-free Variance, Implied Variance, Realized Variance, Corn VIX