Xiao Xiao

University of Amsterdam - Amsterdam Business School

Spui 21

Amsterdam, 1018 WB

Netherlands

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 19,767

SSRN RANKINGS

Top 19,767

in Total Papers Downloads

3,622

SSRN CITATIONS
Rank 45,320

SSRN RANKINGS

Top 45,320

in Total Papers Citations

7

CROSSREF CITATIONS

8

Ideas:
“  https://sites.google.com/site/shawnyxiaoxiao  ”

Scholarly Papers (9)

1.

Implied Volatility Changes and Corporate Bond Returns

Management Science accepted, Swiss Finance Institute Research Paper No. 19-75
Number of pages: 70 Posted: 18 Jun 2019 Last Revised: 03 Jun 2021
Jie Cao, Amit Goyal, Xiao Xiao and Xintong Zhan
The Chinese University of Hong Kong (CUHK) - CUHK Business School, University of Lausanne, University of Amsterdam - Amsterdam Business School and Department of Finance, School of Management, Fudan University
Downloads 822 (41,866)
Citation 3

Abstract:

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

2.

Moment Risk Premia and Stock Return Predictability

Number of pages: 54 Posted: 12 Feb 2018 Last Revised: 12 Aug 2020
Zhenzhen Fan, Xiao Xiao and Hao Zhou
University of Manitoba - Department of Accounting and Finance, University of Amsterdam - Amsterdam Business School and SUSTech Business School
Downloads 608 (62,179)
Citation 8

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Moment risk premia; Variance risk premium; Option-implied moments; Stock return predictability; Predictive regression

3.

Why Does Volatility Uncertainty Predict Equity Option Returns?

Number of pages: 61 Posted: 25 May 2018 Last Revised: 17 Mar 2022
The Chinese University of Hong Kong (CUHK) - CUHK Business School, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, University of Amsterdam - Amsterdam Business School and Department of Finance, School of Management, Fudan University
Downloads 606 (62,432)
Citation 7

Abstract:

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Delta-hedged option returns, volatility uncertainty, volatility-of-volatility, model risk, gambling preference

4.

Common Factors in Equity Option Returns

Number of pages: 50 Posted: 07 Dec 2018 Last Revised: 25 Sep 2020
University of Miami - School of Business Administration - Department of Economics, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration and University of Amsterdam - Amsterdam Business School
Downloads 512 (77,073)

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Cross Section of Option Returns, Latent Factors, Rank Estimation

5.

Default Risk and Option Returns

Number of pages: 76 Posted: 01 Oct 2015 Last Revised: 15 Feb 2022
Aurelio Vasquez and Xiao Xiao
Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration and University of Amsterdam - Amsterdam Business School
Downloads 510 (77,439)

Abstract:

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

6.

Equity Tail Risk and Currency Risk Premiums

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 69 Posted: 17 Jun 2019 Last Revised: 11 May 2021
Zhenzhen Fan, Juan M. Londono and Xiao Xiao
University of Manitoba - Department of Accounting and Finance, Board of Governors of the Federal Reserve System and University of Amsterdam - Amsterdam Business School
Downloads 432 (94,298)
Citation 1

Abstract:

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Global tail risk; Option-implied equity tail risk; Currency returns; Carry trade; Currency momentum

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
University of Amsterdam - Amsterdam Business School and De Nederlandsche Bank
Downloads 72 (436,638)

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Option Pricing, Risk Neutral Distribution, Higher Order Moments

8.

Us Equity Tail Risk and Currency Risk Premia

FRB International Finance Discussion Paper No. 1253
Number of pages: 51 Posted: 22 Oct 2019 Last Revised: 29 Apr 2020
Zhenzhen Fan, Juan M. Londono and Xiao Xiao
University of Manitoba - Department of Accounting and Finance, Board of Governors of the Federal Reserve System and University of Amsterdam - Amsterdam Business School
Downloads 60 (479,130)

Abstract:

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9.

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
University of Amsterdam - Amsterdam Business School and Erasmus University Rotterdam (EUR)

Abstract:

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jump-diffusion model, GARCH filtering, asset pricing

Other Papers (1)

Total Downloads: 34
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
University of Amsterdam - Amsterdam Business School and De Nederlandsche Bank
Downloads 34

Abstract:

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