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Publications

by alumni of

Peking University → National School of Development

These are publications listed in RePEc written by alumni of the above institution who are registered with the RePEc Author Service and listed in the RePEc Genealogy. List of alumni. For a list of publications by current members of the department, see here. Register yourself.

This page is updated in the first days of each month.

| Working papers | Journal articles | Books | Chapters |

Working papers

2025

  1. Ilhyock Shim & Torsten Ehlers & Fredy Gamboa & Han Qiu, 2025, "Regional integration amid global fragmentation," BIS Bulletins, Bank for International Settlements, number 102, Jun.
  2. Michael Chui & Leonardo Gambacorta & Emanuel Kohlscheen & Han Qiu, 2025, "Navigating global headwinds: Africa's trade landscape and growth opportunities," BIS Bulletins, Bank for International Settlements, number 109, Jul.
  3. Han Qiu & Hyun Song Shin & Leanne Si Ying Zhang, 2025, "International footprint of global firms: residence and nationality perspectives on maritime shipments," BIS Bulletins, Bank for International Settlements, number 118, Dec.
  4. Yanfei Dong & Jiayin Hu & Yiping Huang & Han Qiu & Yingguang Zhang, 2025, "The use and disuse of FinTech credit: When buy-now-pay-later meets credit reporting," BIS Working Papers, Bank for International Settlements, number 1239, Jan.
  5. Han Qiu & Dora Xia & James Yetman, 2025, "The role of geopolitics in international trade," BIS Working Papers, Bank for International Settlements, number 1249, Mar.
  6. Benoit Mojon & Han Qiu & Fang Wang & Michael Weber, 2025, "Housing wealth effects in China," BIS Working Papers, Bank for International Settlements, number 1319, Dec.

2024

  1. Leonardo Gambacorta & Han Qiu & Shuo Shan & Daniel M Rees, 2024, "Generative AI and labour productivity: a field experiment on coding," BIS Working Papers, Bank for International Settlements, number 1208, Sep.
  2. Huang, Yiping & Li, Xiang & Qiu, Han & Su, Dan & Yu, Changhua, 2024, "Bigtech credit, small business, and monetary policy transmission: Theory and evidence," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 18/2022, revised 2024.

2023

  1. Han Qiu & Hyun Song Shin & Leanne Si Ying Zhang, 2023, "Mapping the realignment of global value chains," BIS Bulletins, Bank for International Settlements, number 78, Oct.
  2. Yiping Huang & Xiang Li & Han Qiu & Changhua Yu, 2023, "Big tech credit and monetary policy transmission: micro-level evidence from China," BIS Working Papers, Bank for International Settlements, number 1084, Mar.

2022

  1. Thorsten Beck & Leonardo Gambacorta & Yiping Huang & Zhenhua Li & Han Qiu, 2022, "Big techs, QR code payments and financial inclusion," BIS Working Papers, Bank for International Settlements, number 1011, May.

2021

  1. Yiping Huang & Han Qiu & Jingyi Wang, 2021, "Digital Technology and Economic Impacts of COVID-19: Experiences of the People’s Republic of China," ADBI Working Papers, Asian Development Bank Institute, number 1276, Jul.
  2. Zhiyong Cheng & Jun Deng & Tianyi Wang & Mei Yu, 2021, "Liquidation, Leverage and Optimal Margin in Bitcoin Futures Markets," Papers, arXiv.org, number 2102.04591, Feb.
  3. Peter Reinhard Hansen & Zhuo Huang & Chen Tong & Tianyi Wang, 2021, "Realized GARCH, CBOE VIX, and the Volatility Risk Premium," Papers, arXiv.org, number 2112.05302, Dec.

2020

  1. Leonardo Gambacorta & Yiping Huang & Zhenhua Li & Han Qiu & Shu Chen, 2020, "Data vs collateral," BIS Working Papers, Bank for International Settlements, number 881, Sep.
  2. Yiping Huang & Ms. Longmei Zhang & Zhenhua Li & Han Qiu & Tao Sun & Xue Wang, 2020, "Fintech Credit Risk Assessment for SMEs: Evidence from China," IMF Working Papers, International Monetary Fund, number 2020/193, Sep.

2019

  1. Leonardo Gambacorta & Yiping Huang & Han Qiu & Jingyi Wang, 2019, "How do machine learning and non-traditional data affect credit scoring? New evidence from a Chinese fintech firm," BIS Working Papers, Bank for International Settlements, number 834, Dec.

Journal articles

2024

  1. Han Qiu & Dora Xia & James Yetman, 2024, "Deconstructing global trade: the role of geopolitical alignment," BIS Quarterly Review, Bank for International Settlements, September.
  2. Gambacorta, Leonardo & Huang, Yiping & Qiu, Han & Wang, Jingyi, 2024, "How do machine learning and non-traditional data affect credit scoring? New evidence from a Chinese fintech firm," Journal of Financial Stability, Elsevier, volume 73, issue C, DOI: 10.1016/j.jfs.2024.101284.

2023

  1. Chen, Sally & Goel, Tirupam & Qiu, Han, 2023, "Beyond technology: Considerations for retail central bank digital currency adoption in Asia–Pacific," Journal of Payments Strategy & Systems, Henry Stewart Publications, volume 17, issue 4, pages 408-421, December.
  2. Dong, Yingwei & Gou, Qin & Qiu, Han, 2023, "Big tech credit score and default risk ——Evidence from loan-level data of a representative microfinance company in China," China Economic Review, Elsevier, volume 81, issue C, DOI: 10.1016/j.chieco.2023.102010.
  3. Huang, Yiping & Li, Zhenhua & Qiu, Han & Tao, Sun & Wang, Xue & Zhang, Longmei, 2023, "BigTech credit risk assessment for SMEs," China Economic Review, Elsevier, volume 81, issue C, DOI: 10.1016/j.chieco.2023.102016.
  4. Leonardo Gambacorta & Yiping Huang & Zhenhua Li & Han Qiu & Shu Chen, 2023, "Data versus Collateral," Review of Finance, European Finance Association, volume 27, issue 2, pages 369-398.
  5. Tong, Chen & Huang, Zhuo & Wang, Tianyi & Zhang, Cong, 2023, "The effects of economic uncertainty on financial volatility: A comprehensive investigation," Journal of Empirical Finance, Elsevier, volume 73, issue C, pages 369-389, DOI: 10.1016/j.jempfin.2023.08.004.
  6. Chen, Xiaoyi & Feng, JianFen & Wang, Tianyi, 2023, "Pricing VIX futures: A framework with random level shifts," Finance Research Letters, Elsevier, volume 52, issue C, DOI: 10.1016/j.frl.2022.103501.
  7. Li, Zhiyong & Wan, Yifan & Wang, Tianyi & Yu, Mei, 2023, "Factor-timing in the Chinese factor zoo: The role of economic policy uncertainty," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 85, issue C, DOI: 10.1016/j.intfin.2023.101782.

2022

  1. Wang, Tianyi & Liang, Fang & Huang, Zhuo & Yan, Hong, 2022, "Do realized higher moments have information content? - VaR forecasting based on the realized GARCH-RSRK model," Economic Modelling, Elsevier, volume 109, issue C, DOI: 10.1016/j.econmod.2022.105781.
  2. Tianyi Wang & Sicong Cheng & Fangsheng Yin & Mei Yu, 2022, "Directly pricing VIX futures: the role of dynamic volatility and jump intensity," Applied Economics, Taylor & Francis Journals, volume 54, issue 32, pages 3678-3694, July, DOI: 10.1080/00036846.2021.2016592.
  3. Tianyi Wang & Sicong Cheng & Fangsheng Yin & Mei Yu, 2022, "Overnight volatility, realized volatility, and option pricing," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 42, issue 7, pages 1264-1283, July, DOI: 10.1002/fut.22330.
  4. Chen Tong & Zhuo Huang & Tianyi Wang, 2022, "Do VIX futures contribute to the valuation of VIX options?," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 42, issue 9, pages 1644-1664, September, DOI: 10.1002/fut.22278.

2021

  1. Huang, Zhuo & Liang, Fang & Wang, Tianyi & Li, Chao, 2021, "Modeling dynamic higher moments of crude oil futures," Finance Research Letters, Elsevier, volume 39, issue C, DOI: 10.1016/j.frl.2020.101570.
  2. Bian, Timothy Yang & Wang, Tianyi & Zhou, Zipeng, 2021, "Measuring investors’ risk aversion in China’s stock market," Finance Research Letters, Elsevier, volume 42, issue C, DOI: 10.1016/j.frl.2020.101891.
  3. Zhiyong Cheng & Jun Deng & Tianyi Wang & Mei Yu, 2021, "Liquidation, leverage and optimal margin in bitcoin futures markets," Applied Economics, Taylor & Francis Journals, volume 53, issue 47, pages 5415-5428, October, DOI: 10.1080/00036846.2021.1922597.
  4. Fangsheng Yin & Yang Bian & Tianyi Wang, 2021, "A short cut: Directly pricing VIX futures with discrete‐time long memory model and asymmetric jumps," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 41, issue 4, pages 458-477, April, DOI: 10.1002/fut.22183.

2020

  1. Wang, Yajing & Liang, Fang & Wang, Tianyi & Huang, Zhuo, 2020, "Does measurement error matter in volatility forecasting? Empirical evidence from the Chinese stock market," Economic Modelling, Elsevier, volume 87, issue C, pages 148-157, DOI: 10.1016/j.econmod.2019.07.014.
  2. Zhuo Huang & Chen Tong & Tianyi Wang, 2020, "Which volatility model for option valuation in China? Empirical evidence from SSE 50 ETF options," Applied Economics, Taylor & Francis Journals, volume 52, issue 17, pages 1866-1880, April, DOI: 10.1080/00036846.2019.1679348.

2019

  1. Yaojie Zhang & Feng Ma & Tianyi Wang & Li Liu, 2019, "Out‐of‐sample volatility prediction: A new mixed‐frequency approach," Journal of Forecasting, John Wiley & Sons, Ltd., volume 38, issue 7, pages 669-680, November, DOI: 10.1002/for.2590.
  2. Zhuo Huang & Chen Tong & Tianyi Wang, 2019, "VIX term structure and VIX futures pricing with realized volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 39, issue 1, pages 72-93, January, DOI: 10.1002/fut.21955.

2018

  1. Huang, Zhuo & Tong, Chen & Qiu, Han & Shen, Yan, 2018, "The spillover of macroeconomic uncertainty between the U.S. and China," Economics Letters, Elsevier, volume 171, issue C, pages 123-127, DOI: 10.1016/j.econlet.2018.07.018.

2017

  1. Xiaohua Wang & Zhi Luo & Tianyi Wang & Zhuo Huang, 2017, "The Impact of Privatization on TFP: a Quasi-Experiment in China," Annals of Economics and Finance, Society for AEF, volume 18, issue 1, pages 53-71, May.
  2. Zhuo Huang & Tianyi Wang & Peter Reinhard Hansen, 2017, "Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 37, issue 4, pages 328-358, April.
  3. Tianyi Wang & Yiwen Shen & Yueting Jiang & Zhuo Huang, 2017, "Pricing the CBOE VIX Futures with the Heston–Nandi GARCH Model," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 37, issue 7, pages 641-659, July.

2016

  1. Huang, Zhuo & Liu, Hao & Wang, Tianyi, 2016, "Modeling long memory volatility using realized measures of volatility: A realized HAR GARCH model," Economic Modelling, Elsevier, volume 52, issue PB, pages 812-821, DOI: 10.1016/j.econmod.2015.10.018.
  2. Hao Liu & Shihan Shen & Tianyi Wang & Zhuo Huang, 2016, "Revisiting the risk-return relation in the Chinese stock market: Decomposition of risk premium and volatility feedback effect," China Economic Journal, Taylor & Francis Journals, volume 9, issue 2, pages 140-153, May, DOI: 10.1080/17538963.2016.1163813.

2015

  1. Xiuping Hua & Laixiang Sun & Tianyi Wang, 2015, "Impact of exchange rate regime reform on asset returns in China," The European Journal of Finance, Taylor & Francis Journals, volume 21, issue 2, pages 147-171, January, DOI: 10.1080/1351847X.2013.838183.

2012

  1. Tianyi Wang & Zhuo Huang, 2012, "The Relationship between Volatility and Trading Volume in the Chinese Stock Market: A Volatility Decomposition Perspective," Annals of Economics and Finance, Society for AEF, volume 13, issue 1, pages 211-236, May.
  2. Huang, Wen & Huang, Zhuo & Matei, Marius & Wang, Tianyi, 2012, "Price Volatility Forecast for Agricultural Commodity Futures： The Role of High Frequency Data," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 83-103, December.

2011

  1. Chia-Shang James Chu & Tianyi Wang & Huihui Li, 2011, "China's macroeconomic stability – an empirical study based on survey data," China Economic Journal, Taylor & Francis Journals, volume 4, issue 1, pages 43-64, DOI: 10.1080/17538963.2011.609329.

Books

2022

  1. Sally Chen & Tirupam Goel & Han Qiu & Ilhyock Shim, 2022, "CBDCs in emerging market economies," BIS Papers, Bank for International Settlements, number 123, ISBN: ARRAY(0x8a8ba588).

Chapters

2022

  1. Sally Chen & Tirupam Goel & Han Qiu & Ilhyock Shim, 2022, "CBDCs in emerging market economies," BIS Papers chapters, Bank for International Settlements, in: Bank for International Settlements, "CBDCs in emerging market economies".

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