Guanglian Hu

The University of Sydney - Discipline of Finance

Room 543 H69 Codrington Building

University of Sydney

Sydney, NSW 2006

Australia

SCHOLARLY PAPERS

4

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1

CROSSREF CITATIONS

11

Scholarly Papers (4)

1.

Volatility and Expected Option Returns

Number of pages: 43 Posted: 27 Nov 2015 Last Revised: 15 Jul 2017
Guanglian Hu and Kris Jacobs
The University of Sydney - Discipline of Finance and University of Houston - C.T. Bauer College of Business
Downloads 676 (41,076)
Citation 13

Abstract:

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expected option returns, volatility, cross-section of option returns

2.

Characterizing the Variance Risk Premium: The Role of the Leverage Effect

Finance Down Under 2019 Building on the Best from the Cellars of Finance
Number of pages: 58 Posted: 27 Aug 2018 Last Revised: 07 Aug 2019
Guanglian Hu, Kris Jacobs and Sang Byung Seo
The University of Sydney - Discipline of Finance, University of Houston - C.T. Bauer College of Business and University of Wisconsin - Madison
Downloads 118 (255,457)

Abstract:

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3.

The Pricing of Volatility and Jump Risks in the Cross-Section of Index Option Returns

Number of pages: 60 Posted: 28 Sep 2019
Guanglian Hu and Yuguo Liu
The University of Sydney - Discipline of Finance and University of Houston - C.T. Bauer College of Business
Downloads 78 (334,551)

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volatility risk premium; jump risk premium; expected option returns; the cross-section of index option returns

4.

Expected and Realized Returns on Volatility

Number of pages: 50 Posted: 14 May 2020
Guanglian Hu and Kris Jacobs
The University of Sydney - Discipline of Finance and University of Houston - C.T. Bauer College of Business
Downloads 77 (337,124)
Citation 1

Abstract:

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