The model-free implied volatility and its information content

GJ Jiang, YS Tian - The Review of Financial Studies, 2005 - academic.oup.com
Britten-Jones and Neuberger (2000) derived a model-free implied volatility under the
diffusion assumption. In this article, we extend their model-free implied volatility to asset price …

Do mutual funds time the market? Evidence from portfolio holdings

GJ Jiang, T Yao, T Yu - Journal of Financial Economics, 2007 - Elsevier
Previous research finds insignificant market-timing ability for mutual funds using tests based
on fund returns. The return-based tests, however, are subject to the “artificial timing” bias. In …

The information content of idiosyncratic volatility

GJ Jiang, D Xu, T Yao - Journal of Financial and Quantitative …, 2009 - cambridge.org
Ang, Hodrick, Xing, and Zhang (2006a) show that stocks with high idiosyncratic return volatility
tend to have low future returns. This paper further documents that idiosyncratic volatility is …

Testing for jumps when asset prices are observed with noise–a “swap variance” approach

GJ Jiang, RCA Oomen - Journal of Econometrics, 2008 - Elsevier
This paper proposes a new test for jumps in asset prices that is motivated by the literature on
variance swaps. Formally, the test follows by a direct application of Itô’s lemma to the semi-…

Extracting model-free volatility from option prices: An examination of the VIX index

GJ Jiang, YS Tian - Journal of Derivatives, 2007 - papers.ssrn.com
The Chicago Board Options Exchange (CBOE) recently redesigned its widely followed VIX
volatility index. While the new VIX is conceptually more appealing than its predecessor, the …

A nonparametric approach to the estimation of diffusion processes, with an application to a short-term interest rate model

GJ Jiang, JL Knight - Econometric Theory, 1997 - cambridge.org
In this paper, we propose a nonparametric identification and estimation procedure for an ltd
diffusion process based on discrete sampling observations. The nonparametric kernel …

Information shocks, liquidity shocks, jumps, and price discovery: Evidence from the US Treasury market

GJ Jiang, I Lo, A Verdelhan - Journal of Financial and Quantitative …, 2011 - cambridge.org
… The jump test used in our study is the “variance swap” approach proposed in Jiang and
Oomen (… The jump test employed in our study is a combination of the Jiang and Oomen (2008) …

Absolute infrared intensities and band shapes in pure solid CO and CO in some solid matrices

GJ Jiang, WB Person, KG Brown - The Journal of Chemical Physics, 1975 - pubs.aip.org
The infrared absorption spectra of carbon monoxide in argon matrices have been studied
over a wide range of CO concentrations. The absolute infrared intensities of pure crystalline …

[HTML][HTML] Metformin improves the angiogenic functions of endothelial progenitor cells via activating AMPK/eNOS pathway in diabetic mice

…, YP Deng, X Han, GF Ren, J Cai, GJ Jiang - Cardiovascular …, 2016 - Springer
Background Endothelial dysfunction has been suggested as a possible causal link between
hyperglycemia and microvascular complications in diabetes mellitus. The effect of metformin …

The characterization of organic modified clay and clay‐filled PMMA nanocomposite

JM Hwu, GJ Jiang, ZM Gao, W Xie… - Journal of Applied …, 2002 - Wiley Online Library
Recently, polymer–clay hybrid materials have received considerable attention from both a
fundamental research and application point of view. 1–3 This organic–inorganic hybrid, which …