The model-free implied volatility and its information content
Britten-Jones and Neuberger (2000) derived a model-free implied volatility under the
diffusion assumption. In this article, we extend their model-free implied volatility to asset price …
diffusion assumption. In this article, we extend their model-free implied volatility to asset price …
Do mutual funds time the market? Evidence from portfolio holdings
Previous research finds insignificant market-timing ability for mutual funds using tests based
on fund returns. The return-based tests, however, are subject to the “artificial timing” bias. In …
on fund returns. The return-based tests, however, are subject to the “artificial timing” bias. In …
The information content of idiosyncratic volatility
Ang, Hodrick, Xing, and Zhang (2006a) show that stocks with high idiosyncratic return volatility
tend to have low future returns. This paper further documents that idiosyncratic volatility is …
tend to have low future returns. This paper further documents that idiosyncratic volatility is …
Testing for jumps when asset prices are observed with noise–a “swap variance” approach
This paper proposes a new test for jumps in asset prices that is motivated by the literature on
variance swaps. Formally, the test follows by a direct application of Itô’s lemma to the semi-…
variance swaps. Formally, the test follows by a direct application of Itô’s lemma to the semi-…
Extracting model-free volatility from option prices: An examination of the VIX index
The Chicago Board Options Exchange (CBOE) recently redesigned its widely followed VIX
volatility index. While the new VIX is conceptually more appealing than its predecessor, the …
volatility index. While the new VIX is conceptually more appealing than its predecessor, the …
A nonparametric approach to the estimation of diffusion processes, with an application to a short-term interest rate model
GJ Jiang, JL Knight - Econometric Theory, 1997 - cambridge.org
In this paper, we propose a nonparametric identification and estimation procedure for an ltd
diffusion process based on discrete sampling observations. The nonparametric kernel …
diffusion process based on discrete sampling observations. The nonparametric kernel …
Information shocks, liquidity shocks, jumps, and price discovery: Evidence from the US Treasury market
GJ Jiang, I Lo, A Verdelhan - Journal of Financial and Quantitative …, 2011 - cambridge.org
… The jump test used in our study is the “variance swap” approach proposed in Jiang and
Oomen (… The jump test employed in our study is a combination of the Jiang and Oomen (2008) …
Oomen (… The jump test employed in our study is a combination of the Jiang and Oomen (2008) …
Absolute infrared intensities and band shapes in pure solid CO and CO in some solid matrices
GJ Jiang, WB Person, KG Brown - The Journal of Chemical Physics, 1975 - pubs.aip.org
The infrared absorption spectra of carbon monoxide in argon matrices have been studied
over a wide range of CO concentrations. The absolute infrared intensities of pure crystalline …
over a wide range of CO concentrations. The absolute infrared intensities of pure crystalline …
[HTML][HTML] Metformin improves the angiogenic functions of endothelial progenitor cells via activating AMPK/eNOS pathway in diabetic mice
…, YP Deng, X Han, GF Ren, J Cai, GJ Jiang - Cardiovascular …, 2016 - Springer
Background Endothelial dysfunction has been suggested as a possible causal link between
hyperglycemia and microvascular complications in diabetes mellitus. The effect of metformin …
hyperglycemia and microvascular complications in diabetes mellitus. The effect of metformin …
[HTML][HTML] The m6A/m5C/m1A regulated gene signature predicts the prognosis and correlates with the immune status of hepatocellular carcinoma
…, K Li, W Zhang, KW Yang, DA Mu, GJ Jiang… - Frontiers in …, 2022 - frontiersin.org
RNA modification of m6A/m5C/m1A contributes to the occurrence and development of cancer.
Consequently, this study aimed to investigate the functions of m6A/m5C/m1A regulated …
Consequently, this study aimed to investigate the functions of m6A/m5C/m1A regulated …