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

4

DOWNLOADS

364

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (4)

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 218 (144,336)

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 99 (274,908)

Abstract:

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

3.

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 26 (502,357)

Abstract:

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

4.

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 21 (531,308)

Abstract:

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