GEORGE J. JIANG
RESEARCH:
Stock return predictability (idiosyncratic volatility and return relation, stock price jumps and return predictability, stock market behaviour vs. options market behaviour), Continuous time asset return models (modeling of interest rate term structure dynamics and exchange rate dynamics, estimation and model specification test), High frequency data analysis (estimation of latent variable models using high frequency data, test of jumps in asset prices), Valuation and use of contingent claims (risk measurement and management, implied risk measures from option prices), etc.
In refereed academic journals:
16. “Nonparametric Estimation of the Short Rate Diffusion from a Panel of Yields,” with Abdoul G. Sam, forthcoming, Journal of Financial and Quantitative Analysis.
15. "Testing for Jumps When Asset Prices are Observed with Noise -- A "Swap Variance" Approach," with Roel Oomen, forthcoming, Journal of Econometrics.
14. “The Information Content of Idiosyncratic Volatility”, with Danielle Xu and Tong Yao, forthcoming Journal of Financial and Quantitative Analysis.
13. “Do Mutual Funds Time the Market? Evidence from Portfolio Holdings”, 2007, with Tong Yao and Tong Yu, Journal of Financial Economics, 86, 724-758.
12. “Extracting Model-Free Volatility from Option Prices: An Examination of the VIX Index,” 2007, with Yisong Tian, Journal of Derivatives, Spring, 1-26.
11. “Estimating the Latent Variable and Jump Diffusion Models using High-Frequency Data,” 2007, with Roel Oomen, Journal of Financial Econometrics, 5(1), 1-30.
10. “The Model-Free Implied Volatility and Its Information Content”, 2005, with Yisong S. Tian, Review of Financial Studies 18(4), 1305-1342.
9. “Stochastic Conditional Duration Models with ‘Leverage Effect’ for Financial Transaction Data,” with D. Feng and Peter Song, Journal of Financial Econometrics, 2004 (3), No.3, 390-421.
8. “Estimating and Testing Affine Option Pricing Models with Stochastic Volatility, Random Jump and Stochastic Interest Rate,” 2004, International Review of Finance 3, 233-272.
7. “Estimation of Continuous-time Processes via Empirical Characteristic Function,” with John Knight, Journal of Business and Economic Statistics, 2002, 20(2), 198-212.
6. “What could also cause or aggravate the implicit ‘smile’ and ‘asymmetry’?” Applied Economics Letters, 2002 (9), 75-80.
5. “Pricing of Stock Index Options under Stochastic Volatility and Stochastic Interest Rates with Efficient Method of Moments Estimation,” with Pieter van der Sluis, European Finance Review, 2000(3), 273-310.
4. “Stochastic Volatility and Jump-Diffusion --- Implications on Option Pricing,” International Journal of Theoretical and Applied Finance, 1999 (2), No. 4, 409-440.
3. “Finite Sample Comparison of Alternative Estimators of Itô Diffusion Processes --- A Monte Carlo Study,” with John Knight, Journal of Computational Finance, 1999 (2), Nov. 3, 1-34.
2. “Nonparametric Modeling of U.S. Interest Rate Term Structure Dynamics and Implications on the Prices of Derivative Securities," Journal of Financial and Quantitative Analysis, 1998, Vol. 33, No.4, 465-497.
1. “A Nonparametric Approach to the Estimation of Diffusion Processes - with an application to a short-term interest rate model," with John Knight, Econometric Theory, 1997 (13), 615-645.
In refereed collections:
“The Term Structure of Mortality-Contingent Claims: Some Canadian Evidence”, Proceedings of the 5th annual Conference on Insurance Mathematics and Economics, Penn State University, July 2003 (with M. Milevsky and D. Promislow).
“Option Pricing with the Efficient Method of Moments," with Pieter J. van der Sluis, in Computational Finance, Edited by Yaser S. Abu-Mostafa, Blake LeBaron, Andrew W. Lo, and Andreas S. Weigend. 1999, Cambridge, MA: MIT Press.
“Estimation of Jump-Diffusion Process based on Indirect Inference," in S. Holly and S. Greenblatt (Eds.) Issues in Computational Economics and Finance, 1999, Amsterdam: Elsevier, pp. 100-110.
In book chapters:
“Implementing Option Pricing Model When Asset Returns are Predictable and Discontinuous”, in John L Knight and Stephen Satchell Eds. Return Distributions in Finance, 2000, Butterworth-Heinemann.
“Stochastic Volatility and Option Pricing", in J.L. Knight and S. E. Satchell (Eds.) Forecasting Volatility in the Financial Market, 1998, London: Butterworth Hernemann, pp. 45-96.
In practitioner journals:
“VaR under Stochastic Volatility” (invited contribution), Derivatives Use, Trading and Regulation, 2001 (7), 73-81.
“The Cross-Section of Stock Price Jumps and Return Predictability”, with Tong Yao, Working paper.
“Affine-Quadratic Term Structure Models – Toward the understanding of jumps in interest rate,” with Shu Yan, Working paper.
"Using Historical Volatility for Stock Option Expensing under SFAS 123R: Improving Forecasting Performance with Long Memory and Comovements," with Yisong Tian, Working paper.
“The Martingale Restriction and Option Market Reaction to Information,” with Yisong Tian, Working paper.
“Alternative Specifications of Stochastic Volatility Models – Theoretical and Empirical Comparison”, with John Knight and Grant Wang, Working paper.
“ECF Estimation of Markov Models Where the Transition Density is Unknown”, with John Knight, Working paper.