Xiao Xiao

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

P.O. Box 1738

3000 DR Rotterdam, NL 3062 PA

Netherlands

Erasmus Research Institute of Management (ERIM)

P.O. Box 1738

3000 DR Rotterdam

Netherlands

SCHOLARLY PAPERS

8

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Scholarly Papers (8)

1.

Higher-Order Risk Premium, Stock Return Predictability, and Rare Event Dynamics

Number of pages: 60 Posted: 12 Feb 2018 Last Revised: 16 Mar 2019
Zhenzhen Fan, Xiao Xiao and Hao Zhou
School of Finance, Nankai University, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Tsinghua University - PBC School of Finance
Downloads 287 (105,915)
Citation 5

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Equity risk premium; Predictive regression; Higher-order risk premium; Variance risk premium; Rare events

2.

Default Risk and Option Returns

Number of pages: 61 Posted: 01 Oct 2015 Last Revised: 20 May 2019
Aurelio Vasquez and Xiao Xiao
Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 235 (130,216)

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Delta-Hedged Option Returns, Default Risk, Variance Risk Premium, Volatility, Capital Structure Model

3.

Volatility Uncertainty and the Cross-Section of Option Returns

Number of pages: 53 Posted: 25 May 2018 Last Revised: 05 Jun 2019
The Chinese University of Hong Kong (CUHK) - CUHK Business School, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 208 (146,406)
Citation 2

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Delta-hedged option returns; volatility estimates; uncertainty of volatility

4.

Common Factors in Equity Option Returns

Number of pages: 51 Posted: 07 Dec 2018
University of Miami - School of Business Administration - Department of Economics, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 152 (193,578)

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Cross Section of Option Returns, Latent Factors, Rank Estimation

5.

US Equity Tail Risk and Currency Risk Premia

Number of pages: 53 Posted: 17 Jun 2019
Zhenzhen Fan, Juan M. Londono and Xiao Xiao
School of Finance, Nankai University, Federal Reserve Board of Governors and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 79 (307,692)

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Equity tail risk; Global tail risk; Currency returns; Carry trade; Currency momentum

6.

Implied Volatility Changes and Corporate Bond Returns

Number of pages: 51 Posted: 18 Jun 2019
Jie Cao, Amit Goyal, Xiao Xiao and Xintong Zhan
The Chinese University of Hong Kong (CUHK) - CUHK Business School, University of Lausanne, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 61 (354,144)

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Corporate bonds, implied volatility changes, default risk, information diffusion

7.

Entropy-Based Implied Moments

De Nederlandsche Bank Working Paper No. 581
Number of pages: 54 Posted: 29 Dec 2017
Xiao Xiao and Chen Zhou
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and De Nederlandsche Bank
Downloads 50 (388,754)

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Option Pricing, Risk Neutral Distribution, Higher Order Moments

8.

The Decomposition of Jump Risks in Individual Stock Returns

Journal of Empirical Finance, Vol. 47, No. 207--228, 2018
Posted: 02 Feb 2017 Last Revised: 19 Dec 2018
Xiao Xiao and Chen Zhou
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

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jump-diffusion model, GARCH filtering, asset pricing

Other Papers (1)

Total Downloads: 29
1.

Option Implied Risk Measures: A Maximum Entropy Approach

27th Australasian Finance and Banking Conference 2014 Paper
Number of pages: 37 Posted: 22 Aug 2014
Xiao Xiao and Chen Zhou
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and De Nederlandsche Bank
Downloads 29

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volatility, skewness, kurtosis, nonparametric estimation, risk neutral distribution