Ai Jun Hou

Stockholm University

Associate Professor

Universitetsvägen 10

Stockholm, Stockholm SE-106 91

Sweden

SCHOLARLY PAPERS

18

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7,295

SSRN CITATIONS
Rank 19,256

SSRN RANKINGS

Top 19,256

in Total Papers Citations

66

CROSSREF CITATIONS

6

Scholarly Papers (18)

1.

Pricing Cryptocurrency Options: The Case of Bitcoin and CRIX

Number of pages: 46 Posted: 27 Apr 2018 Last Revised: 13 Jul 2019
Stockholm University, University of Yorkaffiliation not provided to SSRN, University of Glasgow, Adam Smith Business School and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 1,693 (20,284)
Citation 15

Abstract:

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Cryptocurrency IndeX, CRIX, Bitcoin, Cryptocurrency, SVCJ, Option pricing, OCRIX

2.

VIX Futures Calendar Spreads

Number of pages: 44 Posted: 16 May 2017
Ai Jun Hou and Lars L. Norden
Stockholm University and Stockholm University - Stockholm Business School
Downloads 1,324 (29,308)
Citation 3

Abstract:

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3.

Commodity Inflation Risk Premium: Evidence from the Cross-Section of Commodity Futures

2022 University of Rochester Conference in Econometrics, Paris December Finance Meeting 2022, 2023 Annual Meeting of the Swiss Society for Financial Market Research (SGF), FMA Annual Meeting 2022, FMA-Europe 2022, CFE Berlin 2023, EFMA 2022, Proceedings of the EUROFIDAI-ESSEC Paris December Finance Meeting 2022
Number of pages: 56 Posted: 21 Sep 2022 Last Revised: 30 May 2024
Stockholm University, University of Bath - School of Management, University of Exeter Business School - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 1,222 (33,026)
Citation 1

Abstract:

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Commodities, Term structure models, Predictability, Inflation risk premium, Cross-sectional asset pricing JEL Classification: G12, G13, G17, Q02

4.

The Effect of Uncertainty on Volatility and Correlation

Number of pages: 38 Posted: 22 Mar 2018 Last Revised: 18 May 2023
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies, Aarhus University - CREATES and Stockholm University
Downloads 827 (57,034)
Citation 4

Abstract:

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economic uncertainty; HAR model; international-portfolio analysis; stock market correlation; stock market volatility

5.

Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification

Number of pages: 38 Posted: 12 Apr 2014 Last Revised: 04 Nov 2015
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies, Aarhus University - CREATES and Stockholm University
Downloads 450 (122,863)
Citation 12

Abstract:

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DCC-MIDAS model; Long-run correlation; Macro-finance variables; Stock-bond correlation

6.

Effects of Macroeconomic Uncertainty on the Stock and Bond Markets

Number of pages: 14 Posted: 24 Mar 2015 Last Revised: 26 Mar 2015
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies, Aarhus University - CREATES and Stockholm University
Downloads 260 (222,692)
Citation 4

Abstract:

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DCC-MIDAS model; GARCH-MIDAS model; Macroeconomic uncertainty index; Stock-bond correlation; Stock volatility; Bond volatility

7.

Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation

Number of pages: 58 Posted: 04 Oct 2016 Last Revised: 29 Jun 2020
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies, Aarhus University - CREATES, University of Pretoria - Department of Economics and Stockholm University
Downloads 215 (267,650)
Citation 1

Abstract:

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economic policy uncertainty index; mixed data sampling; stock market correlation; stock market volatility

8.

Long- and Short-Run Components of Factor Betas: Implications for Stock Pricing

Number of pages: 37 Posted: 05 Oct 2017 Last Revised: 16 Aug 2021
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies, Aarhus University - CREATES, Stockholm University and University of Yorkaffiliation not provided to SSRN
Downloads 210 (273,527)

Abstract:

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long-run betas; short-run betas; risk premia; business cycles; component GARCH model; MIDAS

9.

The Trade Imbalance Network and Currency Returns

Number of pages: 77 Posted: 09 Aug 2023 Last Revised: 19 Apr 2024
Ai Jun Hou, Lucio Sarno and Xiaoxia Ye
Stockholm University, University of Cambridge - Judge Business School and University of Exeter Business School - Department of Finance
Downloads 207 (277,179)

Abstract:

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Trade imbalance network, Currency premia, Carry trade, Network centrality

10.

EMU Equity Markets’ Return Variance and Spill Over Effects from Short-Term Interest Rates

Number of pages: 43 Posted: 09 Mar 2010 Last Revised: 19 Jun 2010
Ai Jun Hou
Stockholm University
Downloads 191 (298,064)

Abstract:

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MCMC, Markov Switching, GJR-M, EMU stock markets, short term interest

11.

Asymmetry Effects in Chinese Stock Markets Volatility: A Generalized Additive Nonparametric Approach

Midwest Finance Association Conference, USA, February 2010
Number of pages: 35 Posted: 24 Nov 2009 Last Revised: 16 Mar 2010
Ai Jun Hou
Stockholm University
Downloads 186 (305,288)
Citation 1

Abstract:

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GARCH modeling, Nonparametric GARCH modeling, Generalized Additive

Modelling and Forecasting Short-Term Interest Rate Volatility: A Semiparametric Approach

Number of pages: 38 Posted: 20 Nov 2009 Last Revised: 25 Nov 2009
Ai Jun Hou and Sandy Suardi
Stockholm University and La Trobe University
Downloads 139 (391,157)

Abstract:

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interest rates, GARCH modelling, nonparametric method, volatility estimation

Modelling and Forecasting Short-Term Interest Rate Volatility: A Semiparametric Approach

Journal of Empirical Finance, Vol. 18, No. 4, 2011
Posted: 25 Apr 2012
Ai Jun Hou and Sandy Suardi
Stockholm University and University of Wollongong

Abstract:

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Interest rates, GARCH modelling, Nonparametric method, Volatility estimation, Forecasts

13.

Futures Trading Costs and Market Microstructure Invariance: Identifying Bet Activity

Number of pages: 49 Posted: 28 Dec 2022
Ai Jun Hou, Lars L. Norden and Caihong Xu
Stockholm University, Stockholm University - Stockholm Business School and Stockholm University - Stockholm Business School
Downloads 116 (448,296)

Abstract:

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Market microstructure invariance, bet volume, bet volatility, transactions costs

14.

Global Trade Network and Term Premia Dynamics

Number of pages: 58 Posted: 12 Aug 2022 Last Revised: 11 Feb 2024
Ai Jun Hou, Caihong Xu and Xiaoxia Ye
Stockholm University, Stockholm University - Stockholm Business School and University of Exeter Business School - Department of Finance
Downloads 109 (469,524)

Abstract:

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Term structure of interest rates, Term premium, Global trade network

15.

Determinants of Time Varying Co-Movements Among International Stock Markets During Crisis and Non-Crisis Periods

Journal of Financial Stability, 2016
Number of pages: 24 Posted: 14 Mar 2016
Stockholm Business SchoolStockholm Business School, City University London - The Business SchoolQueen Mary University of London, Sheffield University Management School, University of Sheffield and Stockholm University
Downloads 84 (557,365)
Citation 6

Abstract:

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Stock market Co-movement, Advanced and Emerging markets, Crisis, Transmission mechanisms.

16.

Do Oil Price Forecast Disagreement of Survey of Professional Forecasters Predict Crude Oil Return Volatility?

Number of pages: 32 Posted: 17 Jan 2024
Jönköping International Business School - Jönköping University, Stockholm University, University of Wollongong, Stockholm University - Stockholm Business School and University of Exeter Business School - Department of Finance
Downloads 35 (834,083)

Abstract:

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Crude oil market, GARCH-MIDAS, Professional forecasters, Disagreement

17.

Spillover Effects of Monetary Policy and Information Shocks

Number of pages: 18 Posted: 05 Oct 2023 Last Revised: 02 Apr 2024
Stockholm University, Stockholm Business School, Stockholm University, University of Wollongong and Stockholm University - Stockholm Business School
Downloads 27 (902,959)

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Monetary Policy Shock Spillover, Monetary Information Shock Spillover, Interest Rate Comovement

18.

A Nonparametric Model of Crude Oil Price Return Volatility

Energy Economics, Vol. 34, 2012
Posted: 28 Apr 2012
Ai Jun Hou and Sandy Suardi
Stockholm University and University of Wollongong

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Crude oil prices, GARCH modelling, Non-parametric method, Volatility estimation, Forecasts