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Zhiguang Wang

Personal Details

First Name:Zhiguang
Middle Name:
Last Name:Wang
Suffix:
RePEc Short-ID:pwa481
[This author has chosen not to make the email address public]
http://www.sdstate.edu/econ/faculty/zhiguang-wang/

Affiliation

Economics Department
South Dakota State University

Brookings, South Dakota (United States)
http://econ.sdstate.edu/

: 605-688-4141
605-688-6386
Box 504, Scobey Hall, Brookings, SD 57007-0895
RePEc:edi:edsdsus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Fausti, Scott W. & Wang, Zhiguang & Lange, Brent, 2013. "Expected Utility, Risk, and Market Behavior: Theory and Evidence from the Fed Cattle Market," SCC-76 Meeting, March 14-16, 2013, Pensacola, Florida 147660, SCC-76: Economics and Management of Risk in Agriculture and Natural Resources.
  2. Scott Fausti & Zhiguang (Gerald) Wang & Bashir Qasmi & Matt Diersen, 2012. "Risk and Marketing Behavior: Pricing Fed Cattle on a Grid," Staff Papers 12001, South Dakota State University, Department of Economics.
  3. Zhiguang Wang & Scott W. Fausti & Bashir A. Qasmi, 2010. "Variance Risk Premiums and Predictive Power of Alternative Forward Variances in the Corn Market," Staff Papers 100001, South Dakota State University, Department of Economics.
  4. Zhiguang (Gerald) Wang, 2009. "Volatility Risk," Issue Briefs 2009513, South Dakota State University, Department of Economics.

Articles

  1. Wu, Feng & Myers, Robert J. & Guan, Zhengfei & Wang, Zhiguang, 2015. "Risk-adjusted implied volatility and its performance in forecasting realized volatility in corn futures prices," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 260-274.
  2. Michael Osei & Zhiguang Wang, 2015. "Seasonality and Stochastic Volatility in Wheat Options," Journal of Economic Insight (formerly the Journal of Economics (MVEA)), Missouri Valley Economic Association, vol. 41(1), pages 1-20.
  3. Scott W. Fausti & Zhiguang Wang & Bashir A. Qasmi & Matthew A. Diersen, 2014. "Risk and marketing behavior: pricing fed cattle on a grid," Agricultural Economics, International Association of Agricultural Economists, vol. 45(5), pages 601-612, September.
  4. Adam Schmitz & Zhiguang Wang & Jung‐Han Kimn, 2014. "A Jump Diffusion Model for Agricultural Commodities with Bayesian Analysis," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(3), pages 235-260, March.
  5. Scott W. Fausti & Zhiguang Wang & Brent Lange, 2013. "Expected Utility, Risk, and Marketing Behavior: Theory and Evidence from the Fed Cattle Market," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 61(3), pages 371-395, September.
  6. Zhiguang Wang & Prasad Bidarkota, 2012. "Risk premia in forward foreign exchange rates: a comparison of signal extraction and regression methods," Empirical Economics, Springer, vol. 42(1), pages 21-51, February.
  7. Zhiguang Wang & Scott W. Fausti & Bashir A. Qasmi, 2012. "Variance risk premiums and predictive power of alternative forward variances in the corn market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(6), pages 587-608, June.
  8. Zhiguang Wang & Robert T. Daigler, 2011. "The performance of VIX option pricing models: Empirical evidence beyond simulation," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 31(3), pages 251-281, March.
  9. Zhiguang (Gerald) Wang & Prasad V. Bidarkota, 2010. "A Long-Run Risks Model of Asset Pricing with Fat Tails," Review of Finance, European Finance Association, vol. 14(3), pages 409-449.

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. Fausti, Scott W. & Wang, Zhiguang & Lange, Brent, 2013. "Expected Utility, Risk, and Market Behavior: Theory and Evidence from the Fed Cattle Market," SCC-76 Meeting, March 14-16, 2013, Pensacola, Florida 147660, SCC-76: Economics and Management of Risk in Agriculture and Natural Resources.

    Cited by:

    1. Bodo E. Steiner, 2017. "A phenomenon-driven approach to the study of value creation and organizational design issues in agri-business value chains," ECONOMIA AGRO-ALIMENTARE, FrancoAngeli Editore, vol. 19(1), pages 89-118.

  2. Scott Fausti & Zhiguang (Gerald) Wang & Bashir Qasmi & Matt Diersen, 2012. "Risk and Marketing Behavior: Pricing Fed Cattle on a Grid," Staff Papers 12001, South Dakota State University, Department of Economics.

    Cited by:

    1. Thompson, Nathanael M. & DeVuyst, Eric A. & Brorsen, B. Wade & Lusk, Jayson L., 2015. "Using Genetic Testing to Improve Fed Cattle Marketing Decisions," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 204975, Agricultural and Applied Economics Association;Western Agricultural Economics Association.
    2. Fausti, Scott & Diersen, Matthew & Qasmi, Bashir & Adamson, Bill, 2015. "The Influence of Market Power and Market Trends on Grid Market Signals," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 40(1), January.

  3. Zhiguang Wang & Scott W. Fausti & Bashir A. Qasmi, 2010. "Variance Risk Premiums and Predictive Power of Alternative Forward Variances in the Corn Market," Staff Papers 100001, South Dakota State University, Department of Economics.

    Cited by:

    1. Andres Trujillo-Barrera & Philip Garcia & Mindy L Mallory, 2018. "Short-term price density forecasts in the lean hog futures market," European Review of Agricultural Economics, Foundation for the European Review of Agricultural Economics, vol. 45(1), pages 121-142.
    2. Trujillo-Barrera, Andres & Mallory, Mindy L. & Garcia, Philip, 2012. "Volatility Spillovers in U.S. Crude Oil, Ethanol, and Corn Futures Markets," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 37(2), August.
    3. Triantafyllou, Athanasios & Dotsis, George, 2017. "Option-implied expectations in commodity markets and monetary policy," Journal of International Money and Finance, Elsevier, vol. 77(C), pages 1-17.
    4. Dimitrios Bakas & Athanasios Triantafyllou, 2017. "The Impact of Uncertainty Shocks on the Volatility of Commodity Prices," Working Paper series 17-31, Rimini Centre for Economic Analysis.

  4. Zhiguang (Gerald) Wang, 2009. "Volatility Risk," Issue Briefs 2009513, South Dakota State University, Department of Economics.

    Cited by:

    1. Xiao-Hui Ni & Zhi-Qiang Jiang & Gao-Feng Gu & Fei Ren & Wei Chen & Wei-Xing Zhou, 2009. "Scaling and memory in the non-poisson process of limit order cancelation," Papers 0911.0057, arXiv.org.
    2. Linh Xuan Diep Nguyen & Simona Mateut & Thanaset Chevapatrakul, 2016. "Business-Linkage Volatility Spillover between US Industries," Discussion Papers 2016/05, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
    3. Fei Ren & Gao-Feng Gu & Wei-Xing Zhou, 2009. "Scaling and memory in the return intervals of realized volatility," Papers 0904.1107, arXiv.org, revised Aug 2009.
    4. Bernard Ben Sita, 2013. "Volatility links between US industries," Applied Financial Economics, Taylor & Francis Journals, vol. 23(15), pages 1273-1286, August.
    5. Zhi-Qiang Jiang & Askery A. Canabarro & Boris Podobnik & H. Eugene Stanley & Wei-Xing Zhou, 2015. "Early warning of large volatilities based on recurrence interval analysis in Chinese stock markets," Papers 1508.07505, arXiv.org.
    6. Chiu, Wan-Chien & Peña, Juan Ignacio & Wang, Chih-Wei, 2015. "Industry characteristics and financial risk contagion," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 411-427.
    7. X. F. Jiang & T. T. Chen & B. Zheng, 2013. "Time-reversal asymmetry in financial systems," Papers 1308.0669, arXiv.org.

Articles

  1. Wu, Feng & Myers, Robert J. & Guan, Zhengfei & Wang, Zhiguang, 2015. "Risk-adjusted implied volatility and its performance in forecasting realized volatility in corn futures prices," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 260-274.

    Cited by:

    1. Feng, Jiabao & Wang, Yudong & Yin, Libo, 2017. "Oil volatility risk and stock market volatility predictability: Evidence from G7 countries," Energy Economics, Elsevier, vol. 68(C), pages 240-254.

  2. Scott W. Fausti & Zhiguang Wang & Bashir A. Qasmi & Matthew A. Diersen, 2014. "Risk and marketing behavior: pricing fed cattle on a grid," Agricultural Economics, International Association of Agricultural Economists, vol. 45(5), pages 601-612, September.
    See citations under working paper version above.
  3. Adam Schmitz & Zhiguang Wang & Jung‐Han Kimn, 2014. "A Jump Diffusion Model for Agricultural Commodities with Bayesian Analysis," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(3), pages 235-260, March.

    Cited by:

    1. Diewald, Laszlo & Prokopczuk, Marcel & Wese Simen, Chardin, 2015. "Time-variations in commodity price jumps," Journal of Empirical Finance, Elsevier, vol. 31(C), pages 72-84.
    2. Chih-Chen Hsu & An-Sing Chen & Shih-Kuei Lin & Ting-Fu Chen, 2017. "The affine styled-facts price dynamics for the natural gas: evidence from daily returns and option prices," Review of Quantitative Finance and Accounting, Springer, vol. 48(3), pages 819-848, April.
    3. Wu, Feng & Myers, Robert J. & Guan, Zhengfei & Wang, Zhiguang, 2015. "Risk-adjusted implied volatility and its performance in forecasting realized volatility in corn futures prices," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 260-274.

  4. Scott W. Fausti & Zhiguang Wang & Brent Lange, 2013. "Expected Utility, Risk, and Marketing Behavior: Theory and Evidence from the Fed Cattle Market," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 61(3), pages 371-395, September.

    Cited by:

    1. Thompson, Nathanael M. & DeVuyst, Eric A. & Brorsen, B. Wade & Lusk, Jayson L., 2015. "Using Genetic Testing to Improve Fed Cattle Marketing Decisions," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 204975, Agricultural and Applied Economics Association;Western Agricultural Economics Association.
    2. Bodo E. Steiner, 2017. "A phenomenon-driven approach to the study of value creation and organizational design issues in agri-business value chains," ECONOMIA AGRO-ALIMENTARE, FrancoAngeli Editore, vol. 19(1), pages 89-118.

  5. Zhiguang Wang & Prasad Bidarkota, 2012. "Risk premia in forward foreign exchange rates: a comparison of signal extraction and regression methods," Empirical Economics, Springer, vol. 42(1), pages 21-51, February.

    Cited by:

    1. Aziz Chouikh & Abdelwahed Trabelsi, 2014. "The Determinants of Risk Premia in Forward Foreign Exchange (FX) Markets," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 5(2), pages 19-28, April.

  6. Zhiguang Wang & Scott W. Fausti & Bashir A. Qasmi, 2012. "Variance risk premiums and predictive power of alternative forward variances in the corn market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(6), pages 587-608, June.
    See citations under working paper version above.
  7. Zhiguang Wang & Robert T. Daigler, 2011. "The performance of VIX option pricing models: Empirical evidence beyond simulation," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 31(3), pages 251-281, March.

    Cited by:

    1. Javier Mencía & Enrique Sentana, 2009. "Valuation of VIX Derivatives," Working Papers wp2009_0913, CEMFI.
    2. Bujar Huskaj & Marcus Nossman, 2013. "A Term Structure Model for VIX Futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(5), pages 421-442, May.
    3. Kozarski, R., 2013. "Pricing and hedging in the VIX derivative market," Other publications TiSEM 221fefe0-241e-4914-b6bd-c, Tilburg University, School of Economics and Management.
    4. Jiao Li, 2016. "Trading VIX futures under mean reversion with regime switching," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(03), pages 1-20, September.
    5. Tim Leung & Jiao Li & Xin Li & Zheng Wang, 2016. "Speculative Futures Trading under Mean Reversion," Papers 1601.04210, arXiv.org.
    6. Markus Hertrich & Heinz Zimmermann, 2017. "On the Credibility of the Euro/Swiss Franc Floor: A Financial Market Perspective," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(2-3), pages 567-578, March.
    7. Hertrich Markus, 2016. "The Costs of Implementing a Unilateral One-Sided Exchange Rate Target Zone," Review of Economics, De Gruyter, vol. 67(1), pages 91-120, May.
    8. Markus Hertrich, 2015. "A Cautionary Note on the Put-Call Parity under an Asset Pricing Model with a Lower Reflecting Barrier," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 151(III), pages 227-260, September.
    9. Andrea Barletta & Paolo Santucci de Magistris & Francesco Violante, 2016. "Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach," CREATES Research Papers 2016-20, Department of Economics and Business Economics, Aarhus University.
    10. Ma, Jingtang & Li, Wenyuan & Han, Xu, 2015. "Stochastic lattice models for valuation of volatility options," Economic Modelling, Elsevier, vol. 47(C), pages 93-104.
    11. Bao, Qunfang & Li, Shenghong & Gong, Donggeng, 2012. "Pricing VXX option with default risk and positive volatility skew," European Journal of Operational Research, Elsevier, vol. 223(1), pages 246-255.
    12. Cheng, Jun & Ibraimi, Meriton & Leippold, Markus & Zhang, Jin E., 2012. "A remark on Lin and Chang's paper ‘Consistent modeling of S&P 500 and VIX derivatives’," Journal of Economic Dynamics and Control, Elsevier, vol. 36(5), pages 708-715.
    13. Andrea Barletta & Paolo Santucci de Magistris & Francesco Violante, 0404. "A Non-Structural Investigation of VIX Risk Neutral Density," CREATES Research Papers 2017-15, Department of Economics and Business Economics, Aarhus University.
    14. Bao, Qunfang, 2013. "Mean-Reverting Logarithmic Modeling of VIX," MPRA Paper 46413, University Library of Munich, Germany.
    15. Andrew Papanicolaou & Ronnie Sircar, 2014. "A regime-switching Heston model for VIX and S&P 500 implied volatilities," Quantitative Finance, Taylor & Francis Journals, vol. 14(10), pages 1811-1827, October.
    16. Gonzalez-Perez, Maria T., 2015. "Model-free volatility indexes in the financial literature: A review," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 141-159.
    17. Jiao Li, 2016. "Trading VIX Futures under Mean Reversion with Regime Switching," Papers 1605.07945, arXiv.org, revised Jun 2016.
    18. Lin, Yueh-Neng, 2013. "VIX option pricing and CBOE VIX Term Structure: A new methodology for volatility derivatives valuation," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4432-4446.

More information

Research fields, statistics, top rankings, if available.

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 3 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-RMG: Risk Management (2) 2010-01-23 2010-06-18. Author is listed
  2. NEP-UPT: Utility Models & Prospect Theory (2) 2010-06-18 2013-05-11. Author is listed
  3. NEP-FOR: Forecasting (1) 2010-06-18. Author is listed

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