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Jie Zhu

Personal Details

First Name:Jie
Middle Name:
Last Name:Zhu
Suffix:
RePEc Short-ID:pzh139
[This author has chosen not to make the email address public]

Affiliation

(in no particular order)

School of Economics and Management
Institut for Økonomi (Department of Economics and Business Economics)
Aarhus Universitet (Aarhus University)

Aarhus, Denmark
http://www.econ.au.dk/
RePEc:edi:anaaudk (more details at EDIRC)

Center for Research in Econometric Analysis of Time Series (CREATES)
Institut for Økonomi (Department of Economics and Business Economics)
Aarhus Universitet (Aarhus University)

Aarhus, Denmark
http://www.creates.au.dk/
RePEc:edi:creaudk (more details at EDIRC)

Research output

as
Jump to: Working papers

Working papers

  1. Jie Zhu, 2008. "FIEGARCH-M and and International Crises: A Cross-Country Analysis," CREATES Research Papers 2008-16, Department of Economics and Business Economics, Aarhus University.
  2. Jie Zhu, 2008. "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 Papers 2008-15, Department of Economics and Business Economics, Aarhus University.
  3. Jie Zhu, 2008. "Pricing Volatility of Stock Returns with Volatile and Persistent Components," CREATES Research Papers 2008-14, Department of Economics and Business Economics, Aarhus University.
  4. Bent Jesper Christensen & Morten Ørregaard Nielsen & Jie Zhu, 2007. "Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model," CREATES Research Papers 2007-10, Department of Economics and Business Economics, Aarhus University.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Jie Zhu, 2008. "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 Papers 2008-15, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Amit K. Sinha, 2021. "The reliability of geometric Brownian motion forecasts of S&P500 index values," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(8), pages 1444-1462, December.
    2. Enrico Geretto & Rubens Pauluzzo, 2012. "Stock Exchange Markets in China: Structure and Main Problems," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), vol. 19(1), pages 89-106, September.

  2. Bent Jesper Christensen & Morten Ørregaard Nielsen & Jie Zhu, 2007. "Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model," CREATES Research Papers 2007-10, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Luis A. Gil-Alana & Rangan Gupta, 2013. "Persistence and Cycles in Historical Oil Prices Data," Working Papers 201375, University of Pretoria, Department of Economics.
    2. Chen, Junping & Xiong, Xiong & Zhu, Jie & Zhu, Xiaoneng, 2017. "Asset prices and economic fluctuations: The implications of stochastic volatility," Economic Modelling, Elsevier, vol. 64(C), pages 128-140.
    3. Bernard Bollen, 2015. "What should the value of lambda be in the exponentially weighted moving average volatility model?," Applied Economics, Taylor & Francis Journals, vol. 47(8), pages 853-860, February.
    4. Dai, Zhifeng & Chang, Xiaoming, 2021. "Forecasting stock market volatility: Can the risk aversion measure exert an important role?," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    5. Christensen, Bent Jesper & Dahl, Christian M. & Iglesias, Emma M., 2012. "Semiparametric inference in a GARCH-in-mean model," Journal of Econometrics, Elsevier, vol. 167(2), pages 458-472.
    6. Conrad, Christian & Karanasos, Menelaos & Zeng, Ning, 2011. "Multivariate fractionally integrated APARCH modeling of stock market volatility: A multi-country study," Journal of Empirical Finance, Elsevier, vol. 18(1), pages 147-159, January.
    7. Bent Jesper Christensen & Morten Ørregaard Nielsen & Jie Zhu, 2012. "The impact of financial crises on the risk-return tradeoff and the leverage effect," CREATES Research Papers 2012-19, Department of Economics and Business Economics, Aarhus University.
    8. Zouheir Mighri & Faysal Mansouri, 2014. "Modeling international stock market contagion using multivariate fractionally integrated APARCH approach," Cogent Economics & Finance, Taylor & Francis Journals, vol. 2(1), pages 1-25, December.
    9. Chkili, Walid & Aloui, Chaker & Nguyen, Duc Khuong, 2012. "Asymmetric effects and long memory in dynamic volatility relationships between stock returns and exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(4), pages 738-757.
    10. Dimitrakopoulos, Stefanos & Tsionas, Mike, 2019. "Ordinal-response GARCH models for transaction data: A forecasting exercise," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1273-1287.
    11. Harry Vander Elst, 2015. "FloGARCH : Realizing long memory and asymmetries in returns volatility," Working Paper Research 280, National Bank of Belgium.
    12. Gil-Alana, Luis A. & Mudida, Robert & Yaya, OlaOluwa S & Osuolale, Kazeem & Ogbonna, Ephraim A, 2019. "Influence of US Presidential Terms on S&P500 Index Using a Time Series Analysis Approach," MPRA Paper 93941, University Library of Munich, Germany.
    13. Massimiliano Caporin & Angelo Ranaldo & Paolo Santucci de Magistris, 2011. "On the Predictability of Stock Prices: A Case for High and Low Prices," "Marco Fanno" Working Papers 0136, Dipartimento di Scienze Economiche "Marco Fanno".
    14. Richard T. Baillie & Fabio Calonaci & Dooyeon Cho & Seunghwa Rho, 2019. "Long Memory, Realized Volatility and HAR Models," Working Papers 881, Queen Mary University of London, School of Economics and Finance.
    15. Vafiadis Nikolaos, 2015. "Forecasting Volatility and the Risk–Return Tradeoff: An Application on the Fama–French Benchmark Market Return," Journal of Time Series Econometrics, De Gruyter, vol. 7(2), pages 181-216, July.
    16. Liang, Chao & Ma, Feng & Li, Ziyang & Li, Yan, 2020. "Which types of commodity price information are more useful for predicting US stock market volatility?," Economic Modelling, Elsevier, vol. 93(C), pages 642-650.
    17. He, Xue-Zhong & Zheng, Huanhuan, 2016. "Trading heterogeneity under information uncertainty," Journal of Economic Behavior & Organization, Elsevier, vol. 130(C), pages 64-80.
    18. Chkili, Walid & Aloui, Chaker & Nguyen, Duc Khuong, 2014. "Instabilities in the relationships and hedging strategies between crude oil and US stock markets: Do long memory and asymmetry matter?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 354-366.
    19. Ceylan, Ozcan, 2012. "Time-Varying Volatility Asymmetry: A Conditioned HAR-RV(CJ) EGARCH-M Model," GIAM Working Papers 12-4, Galatasaray University Economic Research Center.
    20. Saker Sabkha & Christian de Peretti & Dorra Hmaied, 2018. "The Credit Default Swap market contagion during recent crises: International evidence," Post-Print hal-01572510, HAL.
    21. Zouheir Mighri, 2018. "On the Dynamic Linkages Among International Emerging Currencies," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(2), pages 427-473, June.
    22. Jie Zhu, 2008. "FIEGARCH-M and and International Crises: A Cross-Country Analysis," CREATES Research Papers 2008-16, Department of Economics and Business Economics, Aarhus University.
    23. Fu, Hui & Chen, Wenting & He, Xin-Jiang, 2018. "On a class of estimation and test for long memory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 906-920.
    24. Samet Günay, 2016. "Performance of the Multifractal Model of Asset Returns (MMAR): Evidence from Emerging Stock Markets," IJFS, MDPI, vol. 4(2), pages 1-17, May.
    25. He, Zhongzhi (Lawrence) & Zhu, Jie & Zhu, Xiaoneng, 2015. "Multi-factor volatility and stock returns," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 132-149.
    26. Dahl, Christian M. & Iglesias, Emma M., 2009. "Volatility spill-overs in commodity spot prices: New empirical results," Economic Modelling, Elsevier, vol. 26(3), pages 601-607, May.
    27. Meng, Bo & Vijh, Anand M., 2021. "Stock merger activity and industry performance," Journal of Banking & Finance, Elsevier, vol. 129(C).
    28. He, Zhongzhi (Lawrence) & Zhu, Jie & Zhu, Xiaoneng, 2015. "Dynamic factors and asset pricing: International and further U.S. evidence," Pacific-Basin Finance Journal, Elsevier, vol. 32(C), pages 21-39.
    29. Naveen Musunuru, 2019. "Modeling Long Range Dependence in Wheat Food Price Returns," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 11(9), pages 1-46, September.
    30. Luis A. Gil‐Alana & Robert Mudida & OlaOluwa S. Yaya & Kazeem A. Osuolale & Ahamuefula E. Ogbonna, 2021. "Mapping US presidential terms with S&P500 index: Time series analysis approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 1938-1954, April.
    31. Dahl Christian M & Iglesias Emma, 2011. "Modeling the Volatility-Return Trade-Off When Volatility May Be Nonstationary," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-32, February.
    32. A. M. M. Shahiduzzaman Quoreshi & Reaz Uddin & Viroj Jienwatcharamongkhol, 2019. "Equity Market Contagion in Return Volatility during Euro Zone and Global Financial Crises: Evidence from FIMACH Model," JRFM, MDPI, vol. 12(2), pages 1-18, June.
    33. Andrew Harvey & Rutger-Jan Lange, 2015. "Modeling the Interactions between Volatility and Returns," Cambridge Working Papers in Economics 1518, Faculty of Economics, University of Cambridge.
    34. Andrew Harvey & Rutger‐Jan Lange, 2018. "Modeling the Interactions between Volatility and Returns using EGARCH‐M," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 909-919, November.
    35. Zhang, Jiu & Jin, Li-Fu & Zheng, Bo & Li, Yan & Jiang, Xiong-Fei, 2022. "Simplified calculations of time correlation functions in non-stationary complex financial systems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 589(C).
    36. Charfeddine, Lanouar, 2014. "True or spurious long memory in volatility: Further evidence on the energy futures markets," Energy Policy, Elsevier, vol. 71(C), pages 76-93.
    37. Zhang, Heng-Guo & Su, Chi-Wei & Song, Yan & Qiu, Shuqi & Xiao, Ran & Su, Fei, 2017. "Calculating Value-at-Risk for high-dimensional time series using a nonlinear random mapping model," Economic Modelling, Elsevier, vol. 67(C), pages 355-367.
    38. Cevik, Emrah Ismail & Topaloğlu, Gültekin, 2014. "Volatilitede uzun hafıza ve yapısal kırılma: Borsa Istanbul örneği [Long memory and structural breaks on volatility: evidence from Borsa Istanbul]," MPRA Paper 71485, University Library of Munich, Germany, revised 2014.
    39. Juan Carlos Cuestas & Luis A. Gil-Alana & Laura Sauci, 2020. "Public finances in the EU-27: Are they sustainable?," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 47(1), pages 181-204, February.

More information

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 4 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (2) 2008-06-27 2008-06-27
  2. NEP-ETS: Econometric Time Series (2) 2008-06-27 2008-06-27
  3. NEP-FMK: Financial Markets (2) 2008-06-27 2008-06-27
  4. NEP-SEA: South East Asia (2) 2008-06-27 2008-06-27
  5. NEP-CNA: China (1) 2008-06-27
  6. NEP-TRA: Transition Economics (1) 2008-06-27

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