Xinfeng Ruan

Xi'an Jiaotong-Liverpool University

111 Renai Road, SIP

, Lake Science and Education Innovation District

Suzhou, JiangSu province 215123

China

  • Xi'an Jiaotong-Liverpool University

SCHOLARLY PAPERS

17

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Ideas:
“  Asset Pricing and Derivatives  ”

  • Xi'an Jiaotong-Liverpool University

Scholarly Papers (17)

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1.

Volatility-of-Volatility and the Cross-Section of Option Returns

Journal of Financial Markets, Forthcoming
Number of pages: 93 Posted: 20 Oct 2017 Last Revised: 01 Apr 2019
Xinfeng Ruan
Xi'an Jiaotong-Liverpool University
Downloads 371 (148,338)
Citation 12

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Volatility-Of-Volatility; Option Returns; Cross Section

2.

Covariance Risk Premium and Expected Stock Returns

Number of pages: 56 Posted: 22 Nov 2023
Xiaolan Jia, Xinfeng Ruan and Jin E. Zhang
Chongqing University of Education, Xi'an Jiaotong-Liverpool University and University of Otago, Otago Business School, Department of Accountancy and Finance
Downloads 298 (188,353)

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Covariance risk premium, return predictability, implied volatility

3.

The Role of Hedgers and Speculators in the Currency Futures Markets

Number of pages: 73 Posted: 09 Aug 2022
Jungah (Isabella) Yoon, Xinfeng Ruan and Jin E. Zhang
University of Otago - Department of Accountancy and Finance, Xi'an Jiaotong-Liverpool University and University of Otago, Otago Business School, Department of Accountancy and Finance
Downloads 242 (231,527)

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Trading activity, return predictability, Currency futures, Hedging pressure, Systematic Risk, Idiosyncratic Risk, Implied volatility

4.

The Cross-Sectional Variation of Skew Risk Premia

Number of pages: 37 Posted: 20 Sep 2017
Xinfeng Ruan and Jin E. Zhang
Xi'an Jiaotong-Liverpool University and University of Otago, Otago Business School, Department of Accountancy and Finance
Downloads 129 (400,624)

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Skew Swap; Skew Risk Premium; Variance Risk Premium; Cross-Section

5.

Risk-Neutral Moments in the Crude Oil Market

Energy Economics, Vol. 72, No. 2018, 2018
Number of pages: 61 Posted: 06 Sep 2017 Last Revised: 30 Aug 2018
Xinfeng Ruan and Jin E. Zhang
Xi'an Jiaotong-Liverpool University and University of Otago, Otago Business School, Department of Accountancy and Finance
Downloads 116 (433,798)
Citation 4

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Risk-neutral moments; risk-neutral cumulants, crude oil; options; stock returns; cross section

6.

Pricing VIX Derivatives with Infinite-Activity Jumps

Journal of Futures Markets
Number of pages: 46 Posted: 11 Nov 2019 Last Revised: 03 Aug 2021
Jiling Cao, Xinfeng Ruan, Shu Su and wenjun zhang
Auckland University of Technology, Xi'an Jiaotong-Liverpool University, Auckland University of Technology and Auckland University of Technology
Downloads 83 (543,251)
Citation 1

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Infinite-activity jumps, VIX derivatives, unscented Kalman filter, maximum log-likelihood estimation

7.

Ambiguity, Long-Run Risks, and Asset Prices in Continuous Time

International Review of Economics & Finance, Vol. 71, 2021
Number of pages: 29 Posted: 03 May 2018 Last Revised: 26 Oct 2023
Xinfeng Ruan
Xi'an Jiaotong-Liverpool University
Downloads 72 (589,395)

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Ambiguity; Long-run risks; Multiple priors; Equity premium puzzle; Risk-free rate puzzle.

8.

Time-varying uncertainty and variance risk premium

2019 Financial Markets & Corporate Governance Conference, Journal of Macroeconomics, Vol. 69, 2021
Number of pages: 28 Posted: 23 Oct 2017 Last Revised: 01 Nov 2023
Xinfeng Ruan and Jin E. Zhang
Xi'an Jiaotong-Liverpool University and University of Otago, Otago Business School, Department of Accountancy and Finance
Downloads 69 (603,351)

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Time-varying uncertainty; AK production model; asset pricing; variance risk premium.

9.

Testing and Forecasting Price Jumps with Return Moments

Number of pages: 20 Posted: 02 Sep 2023
Fang Zhen, Xinfeng Ruan and Jin E. Zhang
Central University of Finance and Economics (CUFE) - China Economics and Management Academy, Xi'an Jiaotong-Liverpool University and University of Otago, Otago Business School, Department of Accountancy and Finance
Downloads 64 (627,466)

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Jumps, Cubic variation, VIX

10.

Equilibrium Variance Risk Premium in a Cost-free Production Economy

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 48 Posted: 10 May 2018 Last Revised: 10 Jan 2019
Xinfeng Ruan and Jin E. Zhang
Xi'an Jiaotong-Liverpool University and University of Otago, Otago Business School, Department of Accountancy and Finance
Downloads 63 (632,398)
Citation 1

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Variance risk premium; term structure; equity premium puzzle; cost-free production economy; affine model.

11.

Moment Spreads in the Energy Market

Energy Economics, Vol. 81, 2019
Number of pages: 39 Posted: 06 Sep 2017 Last Revised: 30 Oct 2023
Xinfeng Ruan and Jin E. Zhang
Xi'an Jiaotong-Liverpool University and University of Otago, Otago Business School, Department of Accountancy and Finance
Downloads 63 (632,398)
Citation 1

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Market Moment Spreads; Cross Section of Expected Returns; Energy Sector

12.

The Price of Covid-19-Induced Uncertainty in the Options Market

Number of pages: 19 Posted: 07 Dec 2021 Last Revised: 02 Apr 2024
Jianhui Li, Xinfeng Ruan and Jin E. Zhang
University of Otago - Department of Accountancy and Finance, Xi'an Jiaotong-Liverpool University and University of Otago, Otago Business School, Department of Accountancy and Finance
Downloads 55 (675,336)
Citation 1

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Uncertainty, Options market, COVID-19, WHO announcements, Government response

13.

Ambiguity on uncertainty and the equity premium

Finance Research Letters, Vol. 38, 2021
Number of pages: 19 Posted: 23 Oct 2017 Last Revised: 26 Oct 2023
Xinfeng Ruan and Jin E. Zhang
Xi'an Jiaotong-Liverpool University and University of Otago, Otago Business School, Department of Accountancy and Finance
Downloads 45 (736,819)

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Ambiguity; Multiple priors; Equity premium puzzle

14.

Option Profit and Loss Attribution and Pricing in the Chinese Option Market

Number of pages: 21 Posted: 26 Oct 2023
Xiaolan Jia, Zheqi Fan and Xinfeng Ruan
Chongqing University of Education, affiliation not provided to SSRN and Xi'an Jiaotong-Liverpool University
Downloads 40 (771,763)

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Profit and loss attribution, Implied volatility, China, Forecasting, Option-implied information

15.

Towards a Theory of Skewness Trading

Number of pages: 51 Posted: 20 Dec 2023
Xinfeng Ruan, Pakorn Aschakulporn and Jin E. Zhang
Xi'an Jiaotong-Liverpool University, University of Otago and University of Otago, Otago Business School, Department of Accountancy and Finance
Downloads 32 (832,840)

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Realized skewness; swap rates; variance; jump; covariance.

16.

Smirking in the Energy Market: Evidence from the Chinese Crude Oil Options Market

Number of pages: 50 Posted: 16 Apr 2024
tian yue, Lu-Lu Li and Xinfeng Ruan
Chongqing Jiaotong University, Chongqing Jiaotong University and Xi'an Jiaotong-Liverpool University
Downloads 0

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Chinese crude oil options, Implied volatility smirk, Energy derivatives

17.

Can the relative price ratio of gold to platinum predict the Chinese stock market?

Pacific-Basin Finance Journal, 62, 101379. https://doi.org/10.1016/j.pacfin.2020.101379, The University of Auckland Business School Research Paper Series
Posted: 15 Feb 2022
Xing Han, Xinfeng Ruan and Yongxian Tan
University of Auckland Business School, Xi'an Jiaotong-Liverpool University and Curtin University

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