Please visit my homepage for my recent working papers.

Publications in English: 

1. "Pricing VIX futures and options with good and bad volatility of volatility." (Zhiyu Guo, Zhuo Huang and Chen Tong*), Journal of Futures Markets, 2024, 44(11): 1832-1847.

2. "Pricing CBOE VIX in non-affine GARCH models with variance risk premium." (Sole author), Finance Research Letters, 2024, 62, Part A: 105115.

3. "Realized GARCH, CBOE VIX, and the volatility risk premium." (Peter Reinhard Hansen, Zhuo Huang, Chen Tong* and Tianyi Wang), Journal of Financial Econometrics, 2024, 21(1): 187-223.

4. "Characterizing correlation matrices that admit a clustered factor representation" (Chen Tong and Peter Reinhard Hansen*), Economics Letters, 2023, 233: 111433.

5. "The effects of economic uncertainty on financial volatility: A comprehensive investigation" (Chen Tong, Zhuo Huang, Tianyi Wang* and Cong Zhang), Journal of Empirical Finance, 2023, 73: 369-389.

6. "Good volatility, bad volatility, and VIX futures pricing: Evidence from the decomposition of VIX" (Chen Tong* and Zhuo Huang), The Journal of Derivatives, 2023, 30(3): 117-143.

7. "Do VIX futures contribute to the valuation of VIX options?" (Chen Tong, Zhuo Huang and Tianyi Wang*), Journal of Futures Markets, 2022, 42(9): 1644-1664.

8. "Option pricing with state-dependent pricing kernel" (Chen Tong, Peter Reinhard Hansen* and Zhuo Huang), Journal of Futures Markets, 2022, 42(8): 1409-1433.

9. "Pricing VIX options with realized volatility" (Chen Tong* and Zhuo Huang), Journal of Futures Markets, 2021, 41(8): 1180-1200.

10. "The predictive power of macroeconomic uncertainty for commodity futures volatility" (Zhuo Huang, Fang Liang and Chen Tong*), International Review of Finance, 2021, 21(3): 989-1012.

11. "Which volatility model for option valuation in China? Empirical evidence from SSE 50 ETF options." (Zhuo Huang, Chen Tong and Tianyi Wang*), Applied Economics, 2020, 52(17): 1866-1880.

12. "VIX term structure and VIX futures pricing with realized volatility" (Zhuo Huang, Chen Tong and Tianyi Wang*), Journal of Futures Markets, 2019, 39(1): 72-93.

13. "The spillover of macroeconomic uncertainty between the U.S. and China" (Zhuo Huang, Chen Tong, Han Qiu* and Yan Shen), Economics Letters, 2018, 171, 123-127.

中文期刊：

1. "基于LAD-LASSO的多门限波动率模型估计与应用" (李木易, 童晨, 张晓林*),《数理统计与管理》, 2024, 43: 559-570.

2. "测量中国的金融不确定性—基于大数据的方法" (黄卓, 邱晗*, 沈艳, 童晨),《金融研究》, 2018, 461(11): 30-46.

3. "最低工资、流动人口失业与犯罪" (张丹丹, 李力行*, 童晨),《经济学（季刊）》, 2018, 17(03): 1035-1054.

4. "经济不确定性对金融市场的影响：一个文献综述" (黄卓, 童晨, 梁方), 《金融科学》, 2017(02): 20-35.