厦门大学学者库

学者信息

童晨

经济学院

归档
2024
2023
2022
2021
合作者

已发表成果：

WOK 论文 13 篇;

  • Pricing VIX Futures and Options With Good and Bad Volatility of Volatility

    JOURNAL OF FUTURES MARKETS,0270-7314,2024-08-19.
    Guo, Zhiyu; Huang, Zhuo; Tong, Chen
    WOS:001292826300001   10.1002/fut.22545
    收录情况：SSCI

  • Cluster GARCH

    arXiv,,2024-06-10.
    Tong, Chen (1); Hansen, Peter Reinhard (2); Archakov, Ilya (3)
    EI:20240284430   10.48550/arXiv.2406.06860
    收录情况：EI

  • Pricing CBOE VIX in non-affine GARCH models with variance risk premium

    FINANCE RESEARCH LETTERS,1544-6123,2024-04.
    Tong, Chen
    WOS:001185771500001   10.1016/j.frl.2024.105115
    收录情况：SSCI

  • Convolution-t Distributions

    arXiv,,2024-03-31.
    Hansen, Peter Reinhard (1); Tong, Chen (2)
    EI:20240192597   10.48550/arXiv.2404.00864
    收录情况：EI

  • Good Volatility, Bad Volatility, and VIX Futures Pricing: Evidence from the Decomposition of VIX

    JOURNAL OF DERIVATIVES,1074-1240,2023-spr.
    Tong, Chen; Huang, Zhuo
    WOS:001150859700006  
    收录情况：SSCI

  • Characterizing correlation matrices that admit a clustered factor representation

    ECONOMICS LETTERS,0165-1765,2023-12.
    Tong, Chen; Hansen, Peter Reinhard
    WOS:001111422800001   10.1016/j.econlet.2023.111433
    收录情况：SSCI

  • Characterizing Correlation Matrices that Admit a Clustered Factor Representation

    SSRN,1556-5068,2023-09-22.
    Tong, Chen (1); Hansen, Peter Reinhard (2)
    EI:20230328530   10.2139/ssrn.4579593
    收录情况：EI

  • The effects of economic uncertainty on financial volatility: A comprehensive investigation

    JOURNAL OF EMPIRICAL FINANCE,0927-5398,2023-09.
    Tong, Chen; Huang, Zhuo; Wang, Tianyi; Zhang, Cong
    WOS:001071184300001   10.1016/j.jempfin.2023.08.004
    收录情况：SSCI

  • Characterizing Correlation Matrices that Admit a Clustered Factor Representation

    arXiv,,2023-08-10.
    Tong, Chen (1); Hansen, Peter Reinhard (2)
    EI:20230289953   10.48550/arXiv.2308.05895
    收录情况：EI

  • Realized GARCH, CBOE VIX, and the Volatility Risk Premium

    JOURNAL OF FINANCIAL ECONOMETRICS,1479-8409,2022-09.
    Hansen, Peter Reinhard; Huang, Zhuo; Tong, Chen; Wang, Tianyi
    WOS:000858092400001   10.1093/jjfinec/nbac033
    收录情况：SSCI

  • Option pricing with state-dependent pricing kernel

    JOURNAL OF FUTURES MARKETS,0270-7314,2022-05.
    Tong, Chen; Hansen, Peter Reinhard; Huang, Zhuo
    WOS:000795931400001   10.1002/fut.22338
    收录情况：SSCI

  • Option Pricing with Time-Varying Volatility Risk Aversion

    arXiv,,2022-04-14.
    Hansen, Peter Reinhard (1, 4); Tong, Chen (2, 3)
    EI:20220096178  
    收录情况：EI

  • Pricing VIX options with realized volatility

    JOURNAL OF FUTURES MARKETS,0270-7314,2021-08.
    Tong, Chen; Huang, Zhuo
    WOS:000628394000001   10.1002/fut.22201
    收录情况：SSCI