Kent Wang

University of Queensland

Associate Prof.

Australia

SCHOLARLY PAPERS

9

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2,359

SSRN CITATIONS
Rank 49,349

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Top 49,349

in Total Papers Citations

0

CROSSREF CITATIONS

13

Scholarly Papers (9)

1.

Good Jumps, Bad Jumps, and Conditional Equity Premium

Asian Finance Association (AsianFA) 2014 Conference Paper, PBCSF-NIFR Research Paper No. 14-05
Number of pages: 53 Posted: 27 Oct 2014 Last Revised: 18 Feb 2019
Hui Guo, Kent Wang and Hao Zhou
University of Cincinnati - Department of Finance - Real Estate, University of Queensland and Tsinghua University - PBC School of Finance
Downloads 1,146 (27,833)
Citation 5

Abstract:

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Realized Jump Risk, Good and Bad Jumps, Conditional Equity Premium, Downside Economic Uncertainty, Variance Risk Premium.

2.

Forecasting Volatilities in Equity, Bond, and Money Markets: A Market-Based Approach

21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 37 Posted: 03 Mar 2008 Last Revised: 02 Jun 2008
Kent Wang
University of Queensland
Downloads 266 (169,216)

Abstract:

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Market-based, Volatility Models, Forecasting, Option Pricing

3.

Realized Skewness at High Frequency and the Link to a Conditional Market Premium

Asian Finance Association (AsFA) 2013 Conference
Number of pages: 32 Posted: 25 Feb 2013 Last Revised: 26 Apr 2014
Zhi Liu, Kent Wang and Junwei Liu
University of Macau, University of Queensland and Xiamen University
Downloads 260 (173,160)

Abstract:

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Ito semi-martingale, High-frequency, Jump, Microstructure noise, Realized skewness, Stock return prediction

4.

Realised Co-Skewness of the VIX and S&P 500 and the Equity Premium

Asian Finance Association (AsianFA) 2014 Conference Paper
Number of pages: 27 Posted: 08 Jan 2014
University of Macau, Xiamen University, University of Queensland and Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Downloads 233 (192,600)
Citation 1

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Itˆo Variance hedging; Co-skewness; Stock return prediction; High frequency data; Market microstructure noise; Pre-averaging

5.

Volatility Linkages across Equity, Money and Bond Markets: An Implied Volatility Approach

Number of pages: 27 Posted: 03 Mar 2008
Kent Wang
University of Queensland
Downloads 194 (228,053)

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Market Volatility Linkage, Implied Volatility, Spurious Regression, GMM

Volatility Linkages of the Equity, Bond and Money Markets: An Implied Volatility Approach

Number of pages: 25 Posted: 28 May 2008 Last Revised: 21 Jul 2013
Kent Wang
University of Queensland
Downloads 159 (270,858)

Abstract:

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Volatility Linkage, Information Linkage, Implied Volatility, Spurious Regression, GMM

Volatility Linkages of the Equity, Bond and Money Markets: An Implied Volatility Approach

Accounting & Finance, Vol. 49, Issue 1, pp. 207-219, March 2009
Number of pages: 13 Posted: 31 Jan 2009
Kent Wang
University of Queensland
Downloads 3 (952,153)

Abstract:

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7.

Is Australia Risk Averse? Some Evidence from the All Ordinaries Index Market

21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 36 Posted: 13 Mar 2008 Last Revised: 02 Jun 2008
Kent Wang
University of Queensland
Downloads 95 (393,470)

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risk-return, all ordinaries, risk averse, ICAPM, EGARCH-in-Mean, GMM

8.

Market Price of Risk: A Comparison Among the United States, United Kingdom, Australia and Japan

International Review of Finance, Vol. 9, Issue 4, pp. 405-429, December 2009
Number of pages: 25 Posted: 08 Dec 2009
Kent Wang
University of Queensland
Downloads 3 (913,794)

Abstract:

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9.

Predictability of Time-Varying Jump Premiums: Evidence Based on Calibration

Australian Journal of Management, Vol. 39, No. 3, 2014
Posted: 20 Aug 2014
Kent Wang and Guo Yuqiang
University of Queensland and Independent

Abstract:

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equity premium, jump intensity, jump premium, stock return precdicatability, volatility predictability