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Yinggang Zhou

Xiamen University - Department of Finance

Professor

Xiamen, Fujian 361005

China

  • Xiamen University - Department of Finance

SCHOLARLY PAPERS

13

DOWNLOADS
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Top 11,574

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3,330

CITATIONS
Rank 15,398

SSRN RANKINGS

Top 15,398

in Total Papers Citations

23

Scholarly Papers (13)

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1.

What Makes the VIX Tick?

Downloads 1,070 ( 15,450)

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 894 (19,845)

Abstract:

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 176 (141,119)

Abstract:

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 432 (45,976)
Citation 10

Abstract:

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 336 (55,976)
Citation 2

Abstract:

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

4.

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 265 (81,362)
Citation 3

Abstract:

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

5.

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 229 (90,787)
Citation 2

Abstract:

6.

Regime Switching and Stock-Bond Co-Skewness

Number of pages: 50 Posted: 21 Mar 2007
Yinggang Zhou
Xiamen University - Department of Finance
Downloads 210 (110,866)

Abstract:

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

7.

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

Downloads 150 (162,313)
Citation 5

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 150 (162,567)
Citation 5

Abstract:

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:

CMBS, REITs, Dynamic conditional correlation, Macroeconomic variables

8.

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 58 (239,044)

Abstract:

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

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 56 (271,683)

Abstract:

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

10.

Trade Liberalization as a Game of Decision Under Uncertainty

Number of pages: 22 Posted: 28 Mar 2007
Henry Wan Jr. and Yinggang Zhou
Cornell University - Department of Economics and Xiamen University - Department of Finance
Downloads 54 (304,354)
Citation 1

Abstract:

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

11.

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 25 (408,345)

Abstract:

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

12.

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:

Network; Volatility Spillover; Asymmetric linkage; Systemic risk

13.

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 0 (161,404)

Abstract:

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

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