Jingrui Li

Stevens Institute of Technology - School of Business

Hoboken, NJ 07030

United States

  • Stevens Institute of Technology - School of Business

SCHOLARLY PAPERS

4

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Rank 19,880

SSRN RANKINGS

Top 19,880

in Total Papers Downloads

4,044

SSRN CITATIONS

3

CROSSREF CITATIONS

5

Scholarly Papers (4)

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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 Li
West Virginia University - Department of Finance, Guang Hua School of Management, Peking University and Stevens Institute of Technology - School of Business
Downloads 3,482 (5,127)
Citation 9

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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 Li
West Virginia University - Department of Finance, Guang Hua School of Management, Peking University, West Virginia University and Stevens Institute of Technology - School of Business
Downloads 387 (119,258)

Abstract:

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

3.

COVID-19, Volatility Dynamics, and Sentiment Trading

Journal of Banking and Finance, Forthcoming, NYU Stern School of Business Forthcoming
Number of pages: 62 Posted: 26 Apr 2021 Last Revised: 16 Sep 2021
Kose John and Jingrui Li
New York University (NYU) - Department of Finance and Stevens Institute of Technology - School of Business
Downloads 104 (392,444)

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COVID-19, coronavirus, virus, news, volatility, jumps, VIX, market, lockdown, government relief, banking, textual analysis, sentiment index, Google search index

4.

Persistence of Jump-Induced Tail Risk and Limits to Arbitrage

Quantitative Finance, Forthcoming
Number of pages: 49 Posted: 22 Nov 2022 Last Revised: 27 Nov 2022
Victor Chow, Kose John, Jingrui Li and Ben J. Sopranzetti
West Virginia University - Department of Finance, New York University (NYU) - Department of Finance, Stevens Institute of Technology - School of Business and Rutgers Business School: Newark and New Brunswick
Downloads 71 (495,045)

Abstract:

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