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

11

DOWNLOADS
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Top 41,572

in Total Papers Downloads

1,659

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Scholarly Papers (11)

1.

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 415 (101,264)

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

2.

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
University of Adelaide, 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 326 (132,573)

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

3.

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 241 (180,071)

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

4.

Intraday Return Predictability in the Cryptocurrency Markets: Momentum, Reversal, or Both

Number of pages: 42 Posted: 10 May 2022 Last Revised: 14 Jun 2022
PBCSF, Tsinghua University, Lebanese American University, Central University of Finance and Economics (CUFE) - China Economics and Management Academy and Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development
Downloads 219 (197,347)

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intraday return predictability; cryptocurrency markets; Bitcoin; momentum; reversal; economic value; market timing strategy

5.

Cross-Asset Time-Series Momentum: Crude Oil Volatility and Global Stock Markets

Number of pages: 59 Posted: 24 May 2021 Last Revised: 23 Sep 2022
Auckland University of Technology, University of Adelaide, University of Missouri at Saint Louis and Central University of Finance and Economics (CUFE) - China Economics and Management Academy
Downloads 146 (279,798)

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Cross-asset predictability; Crude oil market; International stock markets; OVX; Time-series momentum

6.

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 125 (315,162)
Citation 2

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

7.

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

Number of pages: 45 Posted: 10 Jul 2019
University of Adelaide, 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 66 (467,588)

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

8.

National Culture and Corporate Risk-Taking around the World

Number of pages: 29 Posted: 22 Feb 2022
Open University of the Netherlands - School of Management, Open University of the Netherlands, College of Business, Korea Advanced Institute of Science and Technology (KAIST), Liaoning University and Central University of Finance and Economics (CUFE) - China Economics and Management Academy
Downloads 59 (494,207)

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National culture, corporate risk-taking, individualism

9.

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 43 (565,626)

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

10.

Quantile Regression Analysis of the Relation between Returns and Implied Moments: Evidence from Precious Metals

Number of pages: 44 Posted: 23 Dec 2021
Wuhan University, Lebanese American University, Central University of Finance and Economics (CUFE) - China Economics and Management Academy and Southern University of Science and Technology
Downloads 19 (721,786)

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Quantile Regression, return-skewness relation, return-volatility relation, gold ETF data, silver ETF data

11.

Economic Policy Uncertainty and Volatility Spillovers Among International Stock Market Indices During the Covid-19 Outbreak

Number of pages: 46
Fei Su, Feifan Wang and Yahua Xu
Nanjing University of Aeronautics and Astronautics - College of Economics and Management, Shanghai University of Finance and Economics and Central University of Finance and Economics (CUFE) - China Economics and Management Academy
Downloads 0

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Global stock market, Volatility spillovers, EPU, COVID-19 pandemic

Other Papers (1)

Total Downloads: 23
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 23 (537,920)

Abstract:

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