Yahua Xu

Central University of Finance and Economics (CUFE) - China Economics and Management Academy

NO.39 South College Road

Haidian District

Beijing, 100081

China

SCHOLARLY PAPERS

6

DOWNLOADS

442

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (6)

1.

Variance and Skew Risk Premiums for the Volatility Market: The VIX Evidence

Number of pages: 30 Posted: 20 Jul 2016 Last Revised: 14 Aug 2017
José Da Fonseca and Yahua Xu
Auckland University of Technology - Faculty of Business & Law and Central University of Finance and Economics (CUFE) - China Economics and Management Academy
Downloads 216 (141,221)

Abstract:

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VIX option market, variance swap, skew swap, risk premiums

2.

Higher Moment Risk Premiums for the Crude Oil Market: A Downside and Upside Conditional Decomposition

Asian Finance Association (AsianFA) 2017 Conference
Number of pages: 41 Posted: 22 Dec 2016 Last Revised: 02 Sep 2017
José Da Fonseca and Yahua Xu
Auckland University of Technology - Faculty of Business & Law and Central University of Finance and Economics (CUFE) - China Economics and Management Academy
Downloads 96 (272,216)

Abstract:

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Crude Oil Market; Variance Risk Premium; Skew Risk Premium; Conditional Risk Premiums; Forecasting

3.

Intraday Momentum: Evidence from the Crude Oil Market

Number of pages: 26 Posted: 11 Jul 2019
Zhuzhu Wen, Ro Cho, Diandian Ma and Yahua Xu
affiliation not provided to SSRN, Massey University, College of Business, School of Economics and Finance, Lecturer in Accounting and Central University of Finance and Economics (CUFE) - China Economics and Management Academy
Downloads 72 (326,754)

Abstract:

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intraday momentum, return predictability, crude oil market, market timing strategy

4.

Downside Uncertainty Shocks in the Oil and Gold Markets

Number of pages: 33 Posted: 08 Aug 2019
Yahua Xu, Ro Cho and Tai-Yong Roh
Central University of Finance and Economics (CUFE) - China Economics and Management Academy, Massey University, College of Business, School of Economics and Finance and Liaoning University
Downloads 20 (522,107)

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Commodity markets; Downside uncertainty shocks; Downside variance risk premiums; Pricing implications

5.

Volatility-of-Volatility Risk in the Crude Oil Market

Number of pages: 33 Posted: 31 Jul 2019 Last Revised: 17 Aug 2019
Tai-Yong Roh and Yahua Xu
Liaoning University and Central University of Finance and Economics (CUFE) - China Economics and Management Academy
Downloads 20 (522,107)

Abstract:

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Crude oil market; Stochastic volatility-of-volatility risk; Delta-hedged gains; Jump risks; Pricing implications

6.

Bad Volatility Is Not Always Bad: Evidence from the Commodity Markets

Number of pages: 45 Posted: 10 Jul 2019
Auckland University of Technology - Department of Finance, University of Texas at San Antonio - College of Business - Department of Economics, Liaoning University and Central University of Finance and Economics (CUFE) - China Economics and Management Academy
Downloads 18 (533,873)

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Commodity markets; Upside and downside variance risk premiums; Asymmetric risk; Prediction