Ai Jun Hou

Stockholm University

Associate Professor

Universitetsvägen 10

Stockholm, Stockholm SE-106 91

Sweden

  • Stockholm University

SCHOLARLY PAPERS

16

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SSRN CITATIONS
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Top 19,810

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53

CROSSREF CITATIONS

6

Scholarly Papers (16)

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1.

Pricing Cryptocurrency Options: The Case of Bitcoin and CRIX

Number of pages: 46 Posted: 27 Apr 2018 Last Revised: 13 Jul 2019
Ai Jun Hou, Weining Wang, Weining Wang, Cathy Yi‐Hsuan Chen and Wolfgang Karl Härdle
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 1,597 (19,220)
Citation 15

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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 1,189 (29,907)
Citation 3

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3.

Commodity Inflation Risk Premium and Stock Market Returns

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, EFMA 2022, Proceedings of the EUROFIDAI-ESSEC Paris December Finance Meeting 2022
Number of pages: 83 Posted: 21 Sep 2022 Last Revised: 03 Jul 2023
Ai Jun Hou, Emmanouil Platanakis, Xiaoxia Ye and Guofu Zhou
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 954 (40,924)
Citation 1

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Commodities, Term structure models, Predictability, Inflation risk premium, Cross-sectional asset pricing

4.

The Effect of Uncertainty on Volatility and Correlation

Number of pages: 38 Posted: 22 Mar 2018 Last Revised: 18 May 2023
Hossein Asgharian, Charlotte Christiansen and Ai Jun Hou
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies, Aarhus University - CREATES and Stockholm University
Downloads 725 (59,417)
Citation 4

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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
Hossein Asgharian, Charlotte Christiansen and Ai Jun Hou
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies, Aarhus University - CREATES and Stockholm University
Downloads 404 (122,051)
Citation 12

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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
Hossein Asgharian, Charlotte Christiansen and Ai Jun Hou
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies, Aarhus University - CREATES and Stockholm University
Downloads 246 (206,468)
Citation 4

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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
Hossein Asgharian, Charlotte Christiansen, Rangan Gupta and Ai Jun Hou
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies, Aarhus University - CREATES, University of Pretoria - Department of Economics and Stockholm University
Downloads 200 (251,106)
Citation 1

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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
Hossein Asgharian, Charlotte Christiansen, Ai Jun Hou, Weining Wang and Weining Wang
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 199 (252,247)

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

9.

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 179 (277,051)

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

10.

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 156 (311,478)
Citation 1

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GARCH modeling, Nonparametric GARCH modeling, Generalized Additive

11.

The Trade Imbalance Network and Currency Returns

Number of pages: 58 Posted: 09 Aug 2023 Last Revised: 21 Aug 2023
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 133 (360,111)

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

12.

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

Downloads 131 (357,996)

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 131 (359,113)

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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

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

13.

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
Mobarek Asma, Mobarek Asma, Yaz Gulnur Muradoglu, Yaz Gulnur Muradoglu, Sabur Mollah and Ai Jun Hou
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 76 (515,622)
Citation 6

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

14.

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 71 (535,598)

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

15.

Term Premia Co-movement and Global Trade Network

Number of pages: 53 Posted: 12 Aug 2022 Last Revised: 09 Oct 2022
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 56 (603,747)

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

16.

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