GEORGE J. JIANG
Tests of asset pricing models and cross-sectional stock return distribution (non-linear asset pricing models, evaluation of mutual fund active management ability, idiosyncratic volatility and future stock returns, stock price jumps and return predictability);
Informational uncertainty in financial markets (volatility estimates using high frequency data, modeling and forecasting stochastic volatility, model-free implied volatility of the options market, information content of options market, statistical tests of jumps in asset prices, jumps in financial market and macroeconomic shocks, market microstructure);
Modeling asset return dynamics (interest rate term structure dynamics, non-parametric estimation of diffusions, asset return process with stochastic volatility and random jumps, implications of stochastic volatility and random jumps on option pricing); etc.
In refereed academic journals:
25. “ A Random Walk down Options Market,” with Yisong Tian, Journal of Futures Markets, forthcoming.
24. “Option Pricing when Changes of the Underlying Asset Prices Are Restricted,” with G. Pan and L. Shi, Journal of Mathematical Finance, 2011, 1, 28-33.
23. “Information Shocks, Liquidity Shocks, Jumps, and Price Discovery -- Evidence from the U.S. Treasury Market,” with Ingrid Lo and Adrien Verdelhan, Journal of Financial and Quantitative Analysis, 2011, 46(2), 527 - 551.
22. “ ECF Estimation of Markov Models Where the Transition Density is Unknown,” with John Knight, The Econometrics Journal, 2010, 13, 245-270.
21. “Forecasting Volatility Using Long Memory and Comovements: An application to option valuation under SFAS 123R,” with Yisong Tian, Journal of Financial and Quantitative Analysis, 2010, 45(2), 503-533.
20. “ Misreaction or Misspecification? A re-examination of volatility anomalies,” with Yisong Tian, Journal of Banking and Finance, 2010, 34 (10), 2358-2369.
19. “Nonparametric Estimation of the Short Rate Diffusion from a Panel of Yields,” with Abdoul G. Sam, Journal of Financial and Quantitative Analysis, 2009, 44(5), 1197-1230.
18. “The Information Content of Idiosyncratic Volatility”, with Danielle Xu and Tong Yao, Journal of Financial and Quantitative Analysis, 2009, 44(1), 1-28.
17. “Fund of Funds, Portable Alpha, and Portfolio Optimization,” with Peng Chen and Kevin X. Zhu, Journal of Portfolio Management, 2009, Spring, 79-93.
16. “Linear-Quadratic Term Structure Models – Toward the understanding of jumps in interest rate,” with Shu Yan, Journal of Banking and Finance, 2009, 33(3), 473-485.
15. "Testing for Jumps When Asset Prices are Observed with Noise -- A "Swap Variance" Approach," with Roel Oomen, , Journal of Econometrics, 2008, 144(2), 352-370.
14. “Valuing Illiquid Common Stocks,” with Ed Dyl, Financial Analysts Journal, 64 (4), July/August, 2008.
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.
“Alternative Specifications of Stochastic Volatility Models – Theoretical and Empirical Comparison”, with John Knight and Grant Wang, Working paper.
“ The Information content of Analyst Recommendation Revisions - Evidence from the Chinese Stock Market,” with L.L. Lu and D.M. Zhu, Working paper .
“ Market Reaction to Information Shocks - Does the Bloomberg and Briefing.com survey matter?,” with L. Chen and Q. Wang, Working paper .