Jingrui (Victoria) Li

Tulane University - A.B. Freeman School of Business

7 McAlister Drive

New Orleans, LA 70118

United States

SCHOLARLY PAPERS

4

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Top 15,293

in Total Papers Downloads

3,534

SSRN CITATIONS

0

CROSSREF CITATIONS

5

Ideas:
“  Empirical Asset Pricing, FinTech, Machine Learning, Investments, and Derivatives  ”

Scholarly Papers (4)

1.

Does VIX Truly Measure Return Volatility?

Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning, Forthcoming
Number of pages: 35 Posted: 31 Aug 2014 Last Revised: 07 Jul 2020
Victor Chow, Wanjun Jiang and Jingrui (Victoria) Li
West Virginia University - Department of Finance, Guang Hua School of Management, Peking University and Tulane University - A.B. Freeman School of Business
Downloads 3,139 (3,913)
Citation 9

Abstract:

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Implied Volatility, VIX, Ex-ante Moments

2.

Decomposing the VIX: Implications for the Predictability of Stock Returns

The Financial Review, Forthcoming
Number of pages: 39 Posted: 14 Mar 2016 Last Revised: 19 Aug 2020
Victor Chow, Wanjun Jiang, Bingxin Li and Jingrui (Victoria) Li
West Virginia University - Department of Finance, Guang Hua School of Management, Peking University, West Virginia University and Tulane University - A.B. Freeman School of Business
Downloads 320 (105,800)

Abstract:

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Polynomial Variation, Quadratic Variation, Variance Risk Premium, Tail Risk Premium, Predictability

3.

The Predictive Power of Tail Risk Premia on Individual Stock Returns

30th Annual Conference on Financial Economics and Accounting at NYU Stern
Number of pages: 47 Posted: 15 Mar 2018 Last Revised: 07 Jul 2020
Victor Chow, Jingrui (Victoria) Li and Ben J. Sopranzetti
West Virginia University - Department of Finance, Tulane University - A.B. Freeman School of Business and Rutgers Business School: Newark and New Brunswick
Downloads 75 (351,916)

Abstract:

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tail risk, asymmetry, cross-section of stock returns, return prediction, empirical asset pricing

4.

Decomposing the VIX: Implications for the Predictability of Stock Returns

Financial Review, Vol. 55, Issue 4, pp. 645-668, 2020
Number of pages: 24 Posted: 09 Oct 2020
K. Victor Chow, Wanjun Jiang, Bingxin Li and Jingrui (Victoria) Li
West Virginia University, Guang Hua School of Management, Peking University, West Virginia University and Tulane University - A.B. Freeman School of Business
Downloads 0 (739,561)
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Abstract:

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polynomial variation, predictability, quadratic variation, tail risk premium, variance risk premium