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Publications

by members of

Colorado State University → Department of Finance and Real Estate

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Journal articles |

Journal articles

2022

  1. Tianyang Wang & Robert G. Schwebach & Sriram V. Villupuram, 2022, "Reference point formation: Does the market whisper in the background?," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, volume 45, issue 2, pages 384-421, June, DOI: 10.1111/jfir.12278.

2021

  1. Jian Yang & Zheng Li & Hong Miao, 2021, "Volatility spillovers in commodity futures markets: A network approach," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 41, issue 12, pages 1959-1987, December, DOI: 10.1002/fut.22270.
  2. Haiying Wang & Ying Yuan & Tianyang Wang, 2021, "The dynamics of cross‐boundary fire—Financial contagion between the oil and stock markets," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 41, issue 10, pages 1655-1673, October, DOI: 10.1002/fut.22239.
  3. Seiji Harikae & James S. Dyer & Tianyang Wang, 2021, "Valuing Real Options in the Volatile Real World," Production and Operations Management, Production and Operations Management Society, volume 30, issue 1, pages 171-189, January, DOI: 10.1111/poms.13261.

2020

  1. Yong Ma & Dongtao Pan & Tianyang Wang, 2020, "Exchange options under clustered jump dynamics," Quantitative Finance, Taylor & Francis Journals, volume 20, issue 6, pages 949-967, June, DOI: 10.1080/14697688.2019.1704045.

2019

  1. Arjun Chatrath & Rohan A. Christie‐David & Hong Miao & Sanjay Ramchander, 2019, "Losers and prospectors in the short‐term options market," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 39, issue 6, pages 721-743, June, DOI: 10.1002/fut.21989.
  2. Kokoszka Piotr & Miao Hong & Stoev Stilian & Zheng Ben, 2019, "Risk Analysis of Cumulative Intraday Return Curves," Journal of Time Series Econometrics, De Gruyter, volume 11, issue 2, pages 1-31, July, DOI: 10.1515/jtse-2018-0011.
  3. Kokoszka, Piotr & Miao, Hong & Petersen, Alexander & Shang, Han Lin, 2019, "Forecasting of density functions with an application to cross-sectional and intraday returns," International Journal of Forecasting, Elsevier, volume 35, issue 4, pages 1304-1317, DOI: 10.1016/j.ijforecast.2019.05.007.
  4. Qu, Hui & Wang, Tianyang & Zhang, Yi & Sun, Pengfei, 2019, "Dynamic hedging using the realized minimum-variance hedge ratio approach – Examination of the CSI 300 index futures," Pacific-Basin Finance Journal, Elsevier, volume 57, issue C, DOI: 10.1016/j.pacfin.2018.08.002.

2018

  1. Hong Miao & Sanjay Ramchander & Tianyang Wang & Jian Yang, 2018, "The impact of crude oil inventory announcements on prices: Evidence from derivatives markets," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 38, issue 1, pages 38-65, January, DOI: 10.1002/fut.21850.
  2. Miao, Hong & Ramchander, Sanjay & Ryan, Patricia & Wang, Tianyang, 2018, "Default prediction models: The role of forward-looking measures of returns and volatility," Journal of Empirical Finance, Elsevier, volume 46, issue C, pages 146-162, DOI: 10.1016/j.jempfin.2018.01.001.
  3. Piotr Kokoszka & Hong Miao & Matthew Reimherr & Bahaeddine Taoufik, 2018, "Dynamic Functional Regression with Application to the Cross-section of Returns," Journal of Financial Econometrics, Oxford University Press, volume 16, issue 3, pages 461-485.
  4. Jing Ai & Vickie Bajtelsmit & Tianyang Wang, 2018, "The Combined Effect of Enterprise Risk Management and Diversification on Property and Casualty Insurer Performance," Journal of Risk & Insurance, The American Risk and Insurance Association, volume 85, issue 2, pages 513-543, June, DOI: 10.1111/jori.12166.

2017

  1. Miao, Hong & Ramchander, Sanjay & Wang, Tianyang & Yang, Dongxiao, 2017, "Influential factors in crude oil price forecasting," Energy Economics, Elsevier, volume 68, issue C, pages 77-88, DOI: 10.1016/j.eneco.2017.09.010.
  2. Miao, Hong & Ramchander, Sanjay & Wang, Tianyang & Yang, Dongxiao, 2017, "Role of index futures on China's stock markets: Evidence from price discovery and volatility spillover," Pacific-Basin Finance Journal, Elsevier, volume 44, issue C, pages 13-26, DOI: 10.1016/j.pacfin.2017.05.003.
  3. Li, Keming & Lockwood, Jimmy & Miao, Hong, 2017, "Risk-shifting, equity risk, and the distress puzzle," Journal of Corporate Finance, Elsevier, volume 44, issue C, pages 275-288, DOI: 10.1016/j.jcorpfin.2017.04.003.
  4. Li, Changsheng & Wang, Haiyu & Miao, Hong & Ye, Bin, 2017, "The economic and social performance of integrated photovoltaic and agricultural greenhouses systems: Case study in China," Applied Energy, Elsevier, volume 190, issue C, pages 204-212, DOI: 10.1016/j.apenergy.2016.12.121.
  5. Kokoszka Piotr & Miao Hong & Zheng Ben, 2017, "Testing for asymmetry in betas of cumulative returns: Impact of the financial crisis and crude oil price," Statistics & Risk Modeling, De Gruyter, volume 34, issue 1-2, pages 33-53, June, DOI: 10.1515/strm-2016-0010.
  6. Jing Ai & Patrick L. Brockett & Tianyang Wang, 2017, "Optimal Enterprise Risk Management and Decision Making With Shared and Dependent Risks," Journal of Risk & Insurance, The American Risk and Insurance Association, volume 84, issue 4, pages 1127-1169, December, DOI: 10.1111/jori.12140.
  7. Tianyang Wang & James S. Dyer & Warren J. Hahn, 2017, "Sensitivity analysis of decision making under dependent uncertainties using copulas," EURO Journal on Decision Processes, Springer;EURO - The Association of European Operational Research Societies, volume 5, issue 1, pages 117-139, November, DOI: 10.1007/s40070-017-0071-2.

2016

  1. Chatrath, Arjun & Miao, Hong & Ramchander, Sanjay & Wang, Tianyang, 2016, "An examination of the flow characteristics of crude oil: Evidence from risk-neutral moments," Energy Economics, Elsevier, volume 54, issue C, pages 213-223, DOI: 10.1016/j.eneco.2015.12.005.
  2. Tianyang Wang & James S. Dyer & John C. Butler, 2016, "Modeling Correlated Discrete Uncertainties in Event Trees with Copulas," Risk Analysis, John Wiley & Sons, volume 36, issue 2, pages 396-410, February, DOI: 10.1111/risa.12451.

2015

  1. Bahram Adrangi & Arjun Chatrath & Rohan A. Christie‐David & Hong Miao & Sanjay Ramchander, 2015, "Stock‐Versus‐Flow Distinctions, Information, and the Role of Inventory," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 35, issue 11, pages 1003-1025, November.
  2. Chatrath, Arjun & Christie-David, Rohan A. & Miao, Hong & Ramchander, Sanjay, 2015, "Short-term options: Clienteles, market segmentation, and event trading," Journal of Banking & Finance, Elsevier, volume 61, issue C, pages 237-250, DOI: 10.1016/j.jbankfin.2015.09.001.
  3. Arjun Chatrath & Hong Miao & Sanjay Ramchander & Tianyang Wang, 2015, "The Forecasting Efficacy of Risk‐Neutral Moments for Crude Oil Volatility," Journal of Forecasting, John Wiley & Sons, Ltd., volume 34, issue 3, pages 177-190, April.
  4. Piotr Kokoszka & Hong Miao & Xi Zhang, 2015, "Functional Dynamic Factor Model for Intraday Price Curves," Journal of Financial Econometrics, Oxford University Press, volume 13, issue 2, pages 456-477.
  5. Vickie L. Bajtelsmit & Sriram V. Villupuram & Tianyang Wang, 2015, "Life Insurer Cost of Equity with Asymmetric Risk Factors," The Financial Review, Eastern Finance Association, volume 50, issue 3, pages 435-457, August.
  6. Tianyang Wang & James Dyer & Warren Hahn, 2015, "A copula-based approach for generating lattices," Review of Derivatives Research, Springer, volume 18, issue 3, pages 263-289, October, DOI: 10.1007/s11147-015-9111-x.

2014

  1. Chatrath, Arjun & Miao, Hong & Ramchander, Sanjay & Villupuram, Sriram, 2014, "Currency jumps, cojumps and the role of macro news," Journal of International Money and Finance, Elsevier, volume 40, issue C, pages 42-62, DOI: 10.1016/j.jimonfin.2013.08.018.
  2. Elder, John & Miao, Hong & Ramchander, Sanjay, 2014, "Price discovery in crude oil futures," Energy Economics, Elsevier, volume 46, issue S1, pages 18-27, DOI: 10.1016/j.eneco.2014.09.012.
  3. Hong Miao & Sanjay Ramchander & Tianyang Wang, 2014, "The Response of Bond Prices to Insurer Ratings Changes," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, volume 39, issue 2, pages 389-413, April.
  4. Hong Miao & Sanjay Ramchander & J. Kenton Zumwalt, 2014, "S&P 500 Index‐Futures Price Jumps and Macroeconomic News," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 34, issue 10, pages 980-1001, October.
  5. Chatrath, Arjun & Miao, Hong & Ramchander, Sanjay, 2014, "Crude oil moments and PNG stock returns," Energy Economics, Elsevier, volume 44, issue C, pages 222-235, DOI: 10.1016/j.eneco.2014.04.010.

2013

  1. John Elder & Robert J. Elliott & Hong Miao, 2013, "Fractional differencing in discrete time," Quantitative Finance, Taylor & Francis Journals, volume 13, issue 2, pages 195-204, January, DOI: 10.1080/14697688.2012.676207.

2012

  1. Elder, John & Miao, Hong & Ramchander, Sanjay, 2012, "Impact of macroeconomic news on metal futures," Journal of Banking & Finance, Elsevier, volume 36, issue 1, pages 51-65, DOI: 10.1016/j.jbankfin.2011.06.007.
  2. Arjun Chatrath & Hong Miao & Sanjay Ramchander, 2012, "Does the price of crude oil respond to macroeconomic news?," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 32, issue 6, pages 536-559, June.
  3. Robert J. Elliott & John W. Lau & Hong Miao & Tak Kuen Siu, 2012, "Viterbi-Based Estimation for Markov Switching GARCH Model," Applied Mathematical Finance, Taylor & Francis Journals, volume 19, issue 3, pages 219-231, August, DOI: 10.1080/1350486X.2011.620396.
  4. Tianyang Wang & James S. Dyer, 2012, "A Copulas-Based Approach to Modeling Dependence in Decision Trees," Operations Research, INFORMS, volume 60, issue 1, pages 225-242, February, DOI: 10.1287/opre.1110.1004.

2011

  1. Hong Miao & Sanjay Ramchander & Marc W. Simpson, 2011, "Return and Volatility Transmission in U.S. Housing Markets," Real Estate Economics, American Real Estate and Urban Economics Association, volume 39, issue 4, pages 701-741, December, DOI: j.1540-6229.2010.00303.x.
  2. Ahmed A. A. Khalifa & Hong Miao & Sanjay Ramchander, 2011, "Return distributions and volatility forecasting in metal futures markets: Evidence from gold, silver, and copper," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 31, issue 1, pages 55-80, January.

2010

  1. Elliott, Robert J. & Lyle, Matthew R. & Miao, Hong, 2010, "A model for energy pricing with stochastic emission costs," Energy Economics, Elsevier, volume 32, issue 4, pages 838-847, July.
  2. Tianyang Wang & James S. Dyer, 2010, "Valuing Multifactor Real Options Using an Implied Binomial Tree," Decision Analysis, INFORMS, volume 7, issue 2, pages 185-195, June, DOI: 10.1287/deca.1100.0174.

2009

  1. Abel Cadenillas & Robert Elliott & Hong Miao & Zhenyu Wu, 2009, "Risk-Hedging in Real Estate Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 16, issue 4, pages 265-285, December, DOI: 10.1007/s10690-009-9095-3.
  2. Robert Elliott & Hong Miao, 2009, "VaR and expected shortfall: a non-normal regime switching framework," Quantitative Finance, Taylor & Francis Journals, volume 9, issue 6, pages 747-755, DOI: 10.1080/14697680902849320.
  3. Robert J. Elliott & Hong Miao & Jin Yu, 2009, "Investment Timing Under Regime Switching," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 12, issue 04, pages 443-463, DOI: 10.1142/S0219024909005361.

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