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

7

DOWNLOADS

750

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Scholarly Papers (7)

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 231 (165,157)

Abstract:

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

2.

Intraday Momentum and Return Predictability: Evidence from the Crude Oil Market

Number of pages: 35 Posted: 07 May 2020
Zhuzhu Wen, Gong Xu, Diandian Ma and Yahua Xu
affiliation not provided to SSRN, Xiamen University, University of Auckland Business School and Central University of Finance and Economics (CUFE) - China Economics and Management Academy
Downloads 202 (187,476)

Abstract:

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

3.

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 114 (298,491)
Citation 2

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

4.

Cross-asset Time-series Momentum: Crude Oil Options and Global Stock Markets

Number of pages: 53 Posted: 24 May 2021 Last Revised: 21 Jun 2021
Auckland University of Technology, Auckland University of Technology - Department of Finance, University of Missouri at Saint Louis and Central University of Finance and Economics (CUFE) - China Economics and Management Academy
Downloads 67 (413,546)

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cross-asset predictability, time-series momentum, options straddle returns, crude oil market, international stock markets

5.

Intraday Return Predictability in the Crude Oil Market: The Role of EIA Inventory Announcements

Number of pages: 38 Posted: 09 Apr 2021 Last Revised: 19 Aug 2021
Auckland University of Technology - Department of Finance, University of Texas at San Antonio - College of Business - Department of Economics, PBCSF, Tsinghua University and Central University of Finance and Economics (CUFE) - China Economics and Management Academy
Downloads 53 (463,119)

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Crude oil market, EIA announcements, Intraday momentum, Return predictability

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 49 (479,167)

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

7.

Downside Uncertainty Shocks in the Oil and Gold Markets

Number of pages: 39 Posted: 07 Apr 2020
Tai-Yong Roh, Suk Joon Byun and Yahua Xu
Liaoning University, Graduate School of Finance and Central University of Finance and Economics (CUFE) - China Economics and Management Academy
Downloads 34 (549,404)

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

Other Papers (1)

Total Downloads: 21
1.

Volatility-of-Volatility Risk in the Crude Oil Market

Number of pages: 33 Posted: 31 Jul 2019 Last Revised: 13 Mar 2020
Tai-Yong Roh and Yahua Xu
Liaoning University and Central University of Finance and Economics (CUFE) - China Economics and Management Academy
Downloads 21 (537,920)

Abstract:

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