Jie Zhu

University of Aarhus - School of Economics and Management

researcher

Building 1323, Room 226

Aarhus, 8000

Denmark

Aarhus University - CREATES

School of Economics and Management

Building 1322, Bartholins Alle 10

DK-8000 Aarhus C

Denmark

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 33,617

SSRN RANKINGS

Top 33,617

in Total Papers Downloads

1,316

CITATIONS
Rank 25,259

SSRN RANKINGS

Top 25,259

in Total Papers Citations

24

Scholarly Papers (6)

1.

Estimating Equity Risk Premium: The Case of Great China

Number of pages: 25 Posted: 27 Apr 2009 Last Revised: 03 Jun 2009
Jie Zhu
University of Aarhus - School of Economics and Management
Downloads 415 (69,141)

Abstract:

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Equity risk premium, Relative estimation, Required rate of return

2.

Testing for Expected Return and Market Price of Risk in Chinese A-B Share Markets: A Geometric Brownian Motion and Multivariate Garch Model Approach

Number of pages: 29 Posted: 23 Apr 2007
Jie Zhu
University of Aarhus - School of Economics and Management
Downloads 352 (83,828)

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China, stock market, market segmentation, expected return, market price of risk, GBM, GARCH

Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model

Number of pages: 19 Posted: 22 Jun 2008
Aarhus University, Queen's University - Department of Economics and University of Aarhus - School of Economics and Management
Downloads 102 (261,632)
Citation 4

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FIEGARCH, financial leverage, GARCH, long memory, risk-return tradeoff, stock returns, volatility feedback

Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model

CREATES Research Paper No. 2007-10
Number of pages: 19 Posted: 24 Jun 2008
Aarhus University, Queen's University - Department of Economics and University of Aarhus - School of Economics and Management
Downloads 86 (292,787)
Citation 2

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FIEGARCH, financial leverage, GARCH, long memory, risk-return tradeoff, stock returns, volatility feedback

4.

Testing for Expected Return and Market Price of Risk in Chinese A-B Share Market: A Geometric Brownian Motion and Multivariate GARCH Model Approach

CREATES Research Paper No. 2008-15
Number of pages: 37 Posted: 25 Jun 2008
Jie Zhu
University of Aarhus - School of Economics and Management
Downloads 158 (186,039)
Citation 5

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China stock market, market segmentation, expected return, market price of risk, GBM, GARCH

5.

FIEGARCH-M and and International Crises: A Cross-Country Analysis

CREATES Research Paper No. 2008-16
Number of pages: 44 Posted: 25 Jun 2008
Jie Zhu
University of Aarhus - School of Economics and Management
Downloads 107 (251,483)

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FIEGARCH-M, international stock market crisis, 1987 stock market crash, dotcom bubble, Asian crisis, 9/11 attack, country-specific crisis

Pricing Volatility of Stock Returns With Volatile and Persistent Components

Number of pages: 39 Posted: 23 Apr 2007
Jie Zhu
University of Aarhus - School of Economics and Management
Downloads 96 (274,446)
Citation 13

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Risk-Return Relation, Component GARCH-M, Volatile and Persistent

Pricing Volatility of Stock Returns with Volatile and Persistent Components

Financial Markets and Portfolio Management, Vol. 23, No. 3, pp. 243-269, 2009
Posted: 20 Jun 2010
Jie Zhu
University of Aarhus - School of Economics and Management

Abstract:

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Risk return, In-mean effect, Volatility, Long memory, Innovations