Please visit my homepage for my recent working papers.

Publications in English: 

1. [1] Option pricing with time-varying volatility risk aversion (Peter Reinhard Hansen and Chen Tong*), Review of Financial Studies, 2026, published online.

2. [2] Convolution-t Distributions. (Peter Reinhard Hansen and Chen Tong*), Journal of Econometrics, 2026, forthcoming.

3. [3] Cluster GARCH (Chen Tong, Peter Reinhard Hansen* and Ilya Archakov), Journal of Business & Economic Statistics, 2026, published online.

4. [4] VIX option pricing with detected jumps (Zhiyu Guo, Zhuo Huang and Chen Tong*), Journal of Futures Markets, 2026, 46(1): 138-156.

5. [5] 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.

6. [6] 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.

7. [7] 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.

8. [8] 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.

9. [9] Option pricing with state-dependent pricing kernel (Chen Tong, Peter Reinhard Hansen* and Zhuo Huang), Journal of Futures Markets, 2022, 42(8): 1409-1433.

10. [10] Pricing VIX options with realized volatility (Chen Tong* and Zhuo Huang), Journal of Futures Markets, 2021, 41(8): 1180-1200.

11. [11] 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.

12. [12] Good volatility, bad volatility, and VIX futures pricing: Evidence from the decomposition of VIX (Chen Tong* and Zhuo Huang), Journal of Derivatives, 2023, 30(3): 117-143.

13. [13] Pricing CBOE VIX in non-affine GARCH models with variance risk premium (Sole author), Finance Research Letters, 2024, 62, Part A: 105115.

14. [14] Characterizing correlation matrices that admit a clustered factor representation (Chen Tong and Peter Reinhard Hansen*), Economics Letters, 2023, 233: 111433.

15. [15] 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.

16. [16] 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.

17. [17] 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.

中文期刊：

1. [18] 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(3): 559-570.

2. [19] 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. [20] 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. [21] 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.