Zhiguang (Gerald) Wang
Associate Professor, PhD, CFA
Box 2220, Harding Hall (SHH) 227
Department of Economics
South Dakota State University
Email: firstname.lastname at sdstate.edu
Fall 2019: Business Finance (FIN310), Investments (FIN411/511)
Fall 2009-Fall 2018: Business Finance (FIN310, Face-to-Face, Online and Hybrid); Financial Management (ECON610); Investments (FIN411/511, ECON792); Student Managed Investment Fund (FIN4/592), Principle of Macroeconomics (ECON202).
Research Interests: Asset pricing, Financial and Commodity Derivatives, Volatility, Machine Learning, Non-Gaussian Distributions and Processes
Publications (*graduate advisee)
Graham* and Wang (2016). Volatility Transmission: A Linkage between Grain Markets and Food Companies. Journal of Accounting and Finance, 16(4), 136-148.
Wang and Daigler (2016). The Option SKEW Index, VIX of VIX, and Market Tail Risk, Review of Futures Markets, 22(4), 1-28.
Wu, Meyers, Guan and Wang (2015). Risk-adjusted implied volatility and its performance in forecasting realized volatility in corn futures prices. Journal of Empirical Finance, 34, 260-274.
Osei* and Wang (2015). Seasonality and Stochastic Volatility in Wheat Options. Journal of Economics, XLI (1), 9-28.
Fausti, Wang, Qasmi and Diersen (2014). Risk and Marketing Behavior: Pricing Fed Cattle on a Grid. Agricultural Economics, 45(5), 601–612.
Schmitz*, Wang and Kimn (2014). A Jump Diffusion Model for Agricultural Commodities with Bayesian Analysis. Journal of Futures Markets, 34(3), 235-260.
Fausti, Wang and Lange (2013). Expected Utility, Risk, and Marketing Behavior: Theory and Evidence from the Fed Cattle Market. Canadian Journal of Agricultural Economics, 61(3):371–395.
Wang, Fausti and Qasmi (2012). Variance Risk Premiums and Predictive Power of Alternative Forward Variances in the Corn Market. Journal of Futures Markets, 32(6): 587-608.
Wang and Bidarkota (2012). Risk Premia in Forward Foreign Exchange Rates: A Comparison of Signal Extraction and Regression Methods. Empirical Economics, 42(1): 21-51.
Wang and Daigler (2011). The performance of VIX option pricing models: Empirical evidence beyond simulation. Journal of Futures Markets, 31(3): 251-281.
Wang and Bidarkota (2010). A long run risks model of asset pricing with fat tails. Review of Finance, 14(3): 409-449.
Wang and Dupoyet (2018). A Dimension-invariant Cascade Model for VIX Futures.
Wang (2009). How does the Market Price Risks: Evidence from Stock Options.