Kent Wang

University of Queensland

Associate Prof.

Australia

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 23,658

SSRN RANKINGS

Top 23,658

in Total Papers Downloads

2,076

SSRN CITATIONS
Rank 38,936

SSRN RANKINGS

Top 38,936

in Total Papers Citations

1

CROSSREF CITATIONS

14

Scholarly Papers (10)

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 978 (23,302)
Citation 7

Abstract:

Loading...

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 260 (121,925)

Abstract:

Loading...

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 212 (149,206)

Abstract:

Loading...

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 193 (162,846)
Citation 1

Abstract:

Loading...

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 188 (166,764)

Abstract:

Loading...

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 155 (197,658)

Abstract:

Loading...

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 2 (693,665)
  • Add to Cart

Abstract:

Loading...

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 86 (302,716)

Abstract:

Loading...

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 2 (662,289)
  • Add to Cart

Abstract:

Loading...

9.

A State‐Price Volatility Index for China's Stock Market

Accounting & Finance, Vol. 56, Issue 3, pp. 607-626, 2016
Number of pages: 20 Posted: 02 Sep 2016
Bond University - Bond Business School, University of Queensland and The University of Western Australia Business School
Downloads 0 (691,345)
  • Add to Cart

Abstract:

Loading...

State‐Price Volatility, Fear gauge, China stock market

10.

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:

Loading...

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