Yinggang Zhou

Xiamen University - Department of Finance

Professor

Xiamen, Fujian 361005

China

  • Xiamen University - Department of Finance

SCHOLARLY PAPERS

18

DOWNLOADS
Rank 15,146

SSRN RANKINGS

Top 15,146

in Total Papers Downloads

4,236

SSRN CITATIONS
Rank 17,374

SSRN RANKINGS

Top 17,374

in Total Papers Citations

32

CROSSREF CITATIONS

31

Scholarly Papers (18)

Actions:
Email selected abstracts
1.

What Makes the VIX Tick?

Downloads 1,201 ( 22,174)
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 1,016 (27,869)
Citation 2

Abstract:

Loading...

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

What Makes the VIX Tick?

HKIMR Working Paper No.22/2012
Number of pages: 61 Posted: 03 Nov 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 185 (207,692)

Abstract:

Loading...

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 576 (60,795)
Citation 11

Abstract:

Loading...

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 486 (75,165)
Citation 3

Abstract:

Loading...

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 432 (86,513)
Citation 10

Abstract:

Loading...

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 341 (113,281)

Abstract:

Loading...

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 313 (124,275)
Citation 6

Abstract:

Loading...

7.

Regime Switching and Stock-Bond Co-Skewness

Number of pages: 50 Posted: 21 Mar 2007
Yinggang Zhou
Xiamen University - Department of Finance
Downloads 240 (163,100)

Abstract:

Loading...

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

8.

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

Downloads 178 (214,863)

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 178 (214,906)

Abstract:

Loading...

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:

Loading...

CMBS, REITs, Dynamic conditional correlation, Macroeconomic variables

9.

Property Investment and Rental Rates Under Housing Price Uncertainty: A Real Options Approach

HKIMR Working Paper No.24/2013
Number of pages: 44 Posted: 27 Nov 2013 Last Revised: 12 Oct 2015
Honglin Wang, Fan Yu and Yinggang Zhou
Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR), Claremont McKenna College - Robert Day School of Economics and Finance and Xiamen University - Department of Finance
Downloads 108 (317,112)

Abstract:

Loading...

Investment Under Uncertainty, Real Options, Housing Price, Rent, China

10.

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 103 (327,412)
Citation 2

Abstract:

Loading...

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

11.

Extreme Conditional Quantiles for Panel Data Model with Individual Effects

Number of pages: 21 Posted: 06 Apr 2021 Last Revised: 15 May 2021
Yanxi Hou, Xuan Leng and Yinggang Zhou
Fudan University - School of Data Science, Xiamen University - Wang Yanan Institute for Studies in Economics (WISE) and Xiamen University - Department of Finance
Downloads 68 (419,494)

Abstract:

Loading...

Extreme value theory, Extreme conditional quantiles, Heteroscedastic extremes, Panel data, Individual effects

12.

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 65 (429,475)

Abstract:

Loading...

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

13.

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

Number of pages: 38 Posted: 30 Jul 2020
Lina Meng, Yinggang Zhou, Ruige Zhang, Zhen (Peter) Ye, Senmao Xia, Giovanni Cerulli, Carter Casady and Wolfgang K. Härdle
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 55 (465,555)

Abstract:

Loading...

COVID-19, coronavirus

14.

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 35 (555,814)

Abstract:

Loading...

Network; Option-implied Volatility; Spillover; Systemic risk

15.

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 (577,731)

Abstract:

Loading...

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

16.

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

Journal of International Money and Finance, Vol. 113, 2021, HKIMR Working Paper 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 4 (772,688)

Abstract:

Loading...

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

17.

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:

Loading...

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

18.

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

Abstract:

Loading...

Network; Volatility Spillover; Asymmetric linkage; Systemic risk