Virgilio Zurita

Baylor University - Hankamer School of Business

Waco, TX 76706

United States

SCHOLARLY PAPERS

5

DOWNLOADS

868

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (5)

1.

Never a Dull Moment: Entropy Risk in Commodity Markets

Number of pages: 59 Posted: 14 Dec 2018 Last Revised: 06 Mar 2020
Fousseni Chabi-Yo, Hitesh Doshi and Virgilio Zurita
University of Massachusetts Amherst - Isenberg School of Management, University of Houston - C.T. Bauer College of Business and Baylor University - Hankamer School of Business
Downloads 313 (182,002)

Abstract:

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commodity returns; entropy; options; risk premium

2.

Digesting FOREXS: Information Transmission across Asset Classes and Return Predictability

Number of pages: 65 Posted: 07 Jul 2020 Last Revised: 22 Oct 2021
Joon Woo Bae, Zhi Da and Virgilio Zurita
Case Western Reserve University - Weatherhead School of Management, University of Notre Dame - Mendoza College of Business and Baylor University - Hankamer School of Business
Downloads 193 (292,017)

Abstract:

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return predictability, currency information, foreign operations

3.

Weather Variance Risk Premia

Number of pages: 48 Posted: 28 Sep 2023 Last Revised: 16 Jan 2024
Joon Woo Bae, Yoontae Jeon, Stephen Szaura and Virgilio Zurita
Case Western Reserve University - Weatherhead School of Management, McMaster University - Michael G. DeGroote School of Business, BI Norwegian School of Business and Baylor University - Hankamer School of Business
Downloads 141 (381,418)

Abstract:

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Weather Variance Risk Premia, Uncertainty, Municipal Bond, Corporate Bond, Stock Variance Risk Premia, Credit Spreads

4.

Blame it on the weather: Market implied weather volatility and firm performance

Number of pages: 47 Posted: 26 Jul 2023 Last Revised: 21 Mar 2024
Joon Woo Bae, Yoontae Jeon, Stephen Szaura and Virgilio Zurita
Case Western Reserve University - Weatherhead School of Management, McMaster University - Michael G. DeGroote School of Business, BI Norwegian School of Business and Baylor University - Hankamer School of Business
Downloads 133 (399,362)

Abstract:

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climate finance, option prices, stock returns, weather risk

5.

Corporate Hedging, Investment, and Higher Moments of Stock Returns

Number of pages: 50 Posted: 06 Dec 2021 Last Revised: 31 Aug 2023
Hitesh Doshi, Praveen Kumar and Virgilio Zurita
University of Houston - C.T. Bauer College of Business, University of Houston - Department of Finance and Baylor University - Hankamer School of Business
Downloads 88 (534,783)

Abstract:

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Hedging; Investment, Option Prices, Risk Management, Skewness