111 Renai Road, SIP
, Lake Science and Education Innovation District
Suzhou, JiangSu province 215123
China
Xi'an Jiaotong-Liverpool University
SSRN RANKINGS
in Total Papers Citations
Volatility-Of-Volatility; Option Returns; Cross Section
Covariance risk premium, return predictability, implied volatility
Trading activity, return predictability, Currency futures, Hedging pressure, Systematic Risk, Idiosyncratic Risk, Implied volatility
Skew Swap; Skew Risk Premium; Variance Risk Premium; Cross-Section
Risk-neutral moments; risk-neutral cumulants, crude oil; options; stock returns; cross section
Infinite-activity jumps, VIX derivatives, unscented Kalman filter, maximum log-likelihood estimation
Ambiguity; Long-run risks; Multiple priors; Equity premium puzzle; Risk-free rate puzzle.
Time-varying uncertainty; AK production model; asset pricing; variance risk premium.
Jumps, Cubic variation, VIX
Variance risk premium; term structure; equity premium puzzle; cost-free production economy; affine model.
Market Moment Spreads; Cross Section of Expected Returns; Energy Sector
Uncertainty, Options market, COVID-19, WHO announcements, Government response
Ambiguity; Multiple priors; Equity premium puzzle
Profit and loss attribution, Implied volatility, China, Forecasting, Option-implied information
Realized skewness; swap rates; variance; jump; covariance.
Chinese crude oil options, Implied volatility smirk, Energy derivatives