Yinggang Zhou

Xiamen University - Department of Finance

Professor

Xiamen, Fujian 361005

China

SCHOLARLY PAPERS

16

DOWNLOADS
Rank 17,495

SSRN RANKINGS

Top 17,495

in Total Papers Downloads

4,139

SSRN CITATIONS
Rank 17,511

SSRN RANKINGS

Top 17,511

in Total Papers Citations

32

CROSSREF CITATIONS

29

Scholarly Papers (16)

1.
Downloads 1,038 ( 24,148)
Citation 2

What Makes the VIX Tick?

Number of pages: 61 Posted: 09 Sep 2012 Last Revised: 27 Feb 2014
Warren Bailey, Lin Zheng and Yinggang Zhou
Cornell University, City University of New York, CUNY City College of New York - Department of Economics and Business and Xiamen University - Department of Finance
Downloads 1,038 (30,128)
Citation 2

Abstract:

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VIX, implied volatility, volatility risk premium, macroeconomic news, policy uncertainty

2.

The Stock-Bond Correlation and Macroeconomic Conditions: One and a Half Centuries of Evidence

Number of pages: 36 Posted: 22 Dec 2008
Jian Yang, Yinggang Zhou and Zijun Wang
University of Colorado at Denver - Business School, Xiamen University - Department of Finance and Texas A&M University
Downloads 655 (57,170)
Citation 11

Abstract:

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Stock-bond correlation, Business cycle, Asymmetry, Smooth transition, GARCH

3.

Intraday Price Discovery and Volatility Transmission in Stock Index and Stock Index Futures Markets: Evidence from China

Journal of Futures Markets, Forthcoming
Number of pages: 32 Posted: 11 Dec 2010 Last Revised: 25 Jan 2011
Jian Yang, Yinggang Zhou and Zihui Yang
University of Colorado at Denver - Business School, Xiamen University - Department of Finance and Sun Yat Sen University - Lingnan College
Downloads 502 (79,947)
Citation 3

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Chinese Stock Index Futures Market, Intraday, Recursive Cointegration Analysis, Multivariate GARCH

4.

Quantitative Easing and Volatility Spillovers Across Countries and Asset Classes

Management Science, Forthcoming
Number of pages: 68 Posted: 27 Jan 2016
Zihui Yang and Yinggang Zhou
Sun Yat Sen University - Lingnan College and Xiamen University - Department of Finance
Downloads 491 (82,091)
Citation 10

Abstract:

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volatility spillover; risk neutral volatility; quantitative easing; systemic risk; financial network; structural VAR

5.

Conditional Co-Skewness in Stock and Bond Markets: Time Series Evidence

Management Science, Forthcoming
Number of pages: 39 Posted: 21 May 2008 Last Revised: 13 Apr 2011
Jian Yang, Yinggang Zhou and Zijun Wang
University of Colorado at Denver - Business School, Xiamen University - Department of Finance and Texas A&M University
Downloads 348 (122,034)

Abstract:

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regime-switching, conditional co-skewness, intertemporal asset pricing, stock and bond co-movements

6.

Credit Risk Spillovers among Financial Institutions around the Global Credit Crisis: Firm-Level Evidence

Management Science, Forthcoming
Number of pages: 52 Posted: 12 Oct 2010 Last Revised: 25 Dec 2012
Jian Yang and Yinggang Zhou
University of Colorado at Denver - Business School and Xiamen University - Department of Finance
Downloads 328 (130,124)
Citation 6

Abstract:

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7.

Regime Switching and Stock-Bond Co-Skewness

Number of pages: 50 Posted: 21 Mar 2007
Yinggang Zhou
Xiamen University - Department of Finance
Downloads 243 (176,432)

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regime switching, conditional co-skewness, flight-to-quality

Asymmetric Correlation and Volatility Dynamics Among Stock, Bond, and Securitized Real Estate Markets

Journal of Real Estate Finance and Economics, Forthcoming
Number of pages: 48 Posted: 01 Aug 2010
Jian Yang, Yinggang Zhou and Wai Kin Leung
University of Colorado at Denver - Business School, Xiamen University - Department of Finance and The Chinese University of Hong Kong (CUHK) - School of Hotel and Tourism Management
Downloads 181 (231,385)

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CMBS, REITs, Dynamic Conditional Correlation, Macroeconomic Variables

Asymmetric Correlation and Volatility Dynamics Among Stock, Bond, and Securitized Real Estate Markets

Journal of Real Estate Finance and Economics, Vol. 45, No. 2, 2012
Posted: 29 Aug 2012
Jian Yang, Yinggang Zhou and Wai Kin Leung
University of Colorado at Denver - Business School, Xiamen University - Department of Finance and The Chinese University of Hong Kong (CUHK) - School of Hotel and Tourism Management

Abstract:

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CMBS, REITs, Dynamic conditional correlation, Macroeconomic variables

9.

Modeling the Joint Dynamics of Risk-Neutral Stock Index and Bond Yield Volatilities

Journal of Banking and Finance, Vol. 38, No. 1, 2014
Number of pages: 37 Posted: 01 Mar 2014
Yinggang Zhou
Xiamen University - Department of Finance
Downloads 109 (342,692)
Citation 2

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option-implied volatility, VIX, MOVE, common information, information spillover, regime switch

10.

The Effect of Control Measures on COVID-19 Transmission and Work Resumption: International Evidence

Number of pages: 38 Posted: 30 Jul 2020
Xiamen University, Xiamen University - Department of Finance, Xiamen University, Coventry University London, Coventry University - School of Strategy and Leadership, National Research Council (CNR), Stanford University - Global Projects Center and Blockchain Research Center
Downloads 70 (447,716)
Citation 1

Abstract:

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COVID-19, coronavirus

11.

Trade Liberalization as a Game of Decision Under Uncertainty

Number of pages: 22 Posted: 28 Mar 2007
Henry Wan and Yinggang Zhou
Cornell University - Department of Economics and Xiamen University - Department of Finance
Downloads 66 (461,499)

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Trade liberalization, tariff war, uncertainty, inter-government negotiation game

12.

Systemic Risk in Global Volatility Spillover Networks: Evidence from Option-Implied Volatility Indices

The Journal of Futures Markets, Forthcoming
Number of pages: 35 Posted: 14 Mar 2020
Zihui Yang, Yinggang Zhou and Xin Cheng
Sun Yat Sen University - Lingnan College, Xiamen University - Department of Finance and Xiamen University - School of Economics
Downloads 44 (553,046)

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Network; Option-implied Volatility; Spillover; Systemic risk

13.

Is the Renminbi a Safe-Haven Currency? Evidence from Conditional Coskewness and Cokurtosis

Journal of International Money and Finance, Vol. 113, 2021, Hong Kong Institute for Monetary and Financial Research (HKIMR) Research Paper WP No. 24/2021
Number of pages: 54 Posted: 18 Nov 2021
Xin Cheng, Hongyi Chen and Yinggang Zhou
Southwestern University of Finance and Economics (SWUFE), Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR) and Xiamen University - Department of Finance
Downloads 33 (612,192)

Abstract:

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currency hedging, conditional coskewness, conditional cokurtosis, idiosyncratic skewness, international asset pricing

14.

Tariff Reduces Unpredictability: A Solution to the Tariff Reduction Paradox

Number of pages: 39 Posted: 28 Mar 2007
Yinggang Zhou
Xiamen University - Department of Finance
Downloads 31 (624,288)

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Globalization, tariff negotiation, multiple equilibria, Nash equilibrium, Walrasian equilibrium

15.

Investing like Conglomerates? When Local Governments Diversify Beyond Public Services

Posted: 10 Jun 2021 Last Revised: 06 Jul 2021
Warren Bailey, Jianchao Fan, Jing Liu and Yinggang Zhou
Cornell University, Xiamen University - Wang Yanan Institute for Studies in Economics (WISE), HSBC Ltd. and Xiamen University - Department of Finance

Abstract:

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local government financing vehicle, diversified investment, government debt, conglomerate

16.

Asymmetric Networks of Global Volatility Spillovers

First Annual Volatility Institute at NYU Shanghai (VINS) Conference - 2015
Posted: 14 Jun 2016
Zihui Yang and Yinggang Zhou
Sun Yat Sen University - Lingnan College and Xiamen University - Department of Finance

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Network; Volatility Spillover; Asymmetric linkage; Systemic risk