Jinming Xue

Southern Methodist University (SMU) - Finance Department

Assistant Professor of Finance

United States

http://sites.google.com/view/jinming-xue

SCHOLARLY PAPERS

6

DOWNLOADS

1,126

SSRN CITATIONS

1

CROSSREF CITATIONS

3

Scholarly Papers (6)

1.

Volatility Uncertainty and VIX Futures Contango

Fox School of Business Research Paper Forthcoming, SMU Cox School of Business Research Paper No. 21-19
Number of pages: 46 Posted: 16 Dec 2021
Temple University - Fox School of Business and ManagementFox School of Business, University of Maryland - Robert H. Smith School of Business, Fox School of Business, Temple University and Southern Methodist University (SMU) - Finance Department
Downloads 385 (108,009)

Abstract:

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VIX futures curve, stochastic orders, hedging instruments, contango

2.

Oil and Equity Return Predictability: The Importance of Dissecting Oil Price Changes

Robert H. Smith School Research Paper No. RHS 2822061, Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 79 Posted: 15 Aug 2016 Last Revised: 08 Nov 2018
Tulane University - A.B. Freeman School of BusinessESG UQAM, University of British Columbia (UBC) - Division of Finance and Southern Methodist University (SMU) - Finance Department
Downloads 249 (170,269)
Citation 4

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Equity Return Predictability; Structural VAR Model; Oil Price Change Decomposition; Oil Supply Shock; Global Demand Shock; Oil-Speci

3.

Recovery with Applications to Forecasting Equity Disaster Probability and Testing the Spanning Hypothesis in the Treasury Market

Journal of Financial and Quantitative Analysis, forthcoming
Number of pages: 60 Posted: 23 Nov 2019 Last Revised: 28 Jan 2022
Temple University - Fox School of Business and ManagementFox School of Business, Fox School of Business, Temple University and Southern Methodist University (SMU) - Finance Department
Downloads 159 (255,068)

Abstract:

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recovery

4.

Measuring Liquidity Provision by Customers in Corporate Bond Markets: Evidence from 54 Million Transactions

Paris December 2019 Finance Meeting EUROFIDAI
Number of pages: 73 Posted: 29 Oct 2019 Last Revised: 26 Dec 2019
Jinming Xue
Southern Methodist University (SMU) - Finance Department
Downloads 151 (265,928)

Abstract:

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corporate bond; customer liquidity provision; structural vector autoregression; sign restrictions

5.

'Buy the Rumor, Sell the News': Liquidity Provision by Bond Funds Following Corporate News Events

SMU Cox School of Business Research Paper No. 22-06
Number of pages: 42 Posted: 14 Feb 2022
Alan Guoming Huang, Russ Wermers and Jinming Xue
University of Waterloo, University of Maryland - Robert H. Smith School of Business and Southern Methodist University (SMU) - Finance Department
Downloads 93 (375,837)

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6.

An Approach to Measure the Expectation of Generic Functions of the Market Return

Number of pages: 59 Posted: 11 Sep 2017
Temple University - Fox School of Business and ManagementFox School of Business, Fox School of Business, Temple University and Southern Methodist University (SMU) - Finance Department
Downloads 89 (386,037)

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Expected market return; Disaster probabilities; Girsanov theorem; Equity index options