Ai Jun Hou

Stockholm University

Associate Professor

Universitetsvägen 10

Stockholm, Stockholm SE-106 91

Sweden

SCHOLARLY PAPERS

12

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CITATIONS
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12

Scholarly Papers (12)

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, Humboldt University of Berlin, University of Glasgow, Adam Smith Business School and Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 468 (59,657)
Citation 7

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 451 (62,110)

Abstract:

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3.

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 251 (120,122)
Citation 4

Abstract:

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

4.

Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation

Number of pages: 47 Posted: 22 Mar 2018 Last Revised: 09 May 2019
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies, Aarhus University - CREATES and Stockholm University
Downloads 196 (152,683)

Abstract:

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Economic Policy Uncertainty Index, Mixed Data Sampling, Stock Market Correlation, Stock Market Volatility, Asymmetry

5.

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 194 (154,149)
Citation 3

Abstract:

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

6.

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 160 (182,748)

Abstract:

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

7.

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

Number of pages: 11 Posted: 04 Oct 2016 Last Revised: 12 Jan 2018
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies, Aarhus University - CREATES, University of Pretoria - Department of Economics and Stockholm University
Downloads 126 (221,720)

Abstract:

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

8.

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 122 (227,180)

Abstract:

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GARCH modeling, Nonparametric GARCH modeling, Generalized Additive

9.

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

Number of pages: 37 Posted: 05 Oct 2017 Last Revised: 29 May 2019
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies, Aarhus University - CREATES, Stockholm University and Humboldt University of Berlin
Downloads 103 (256,509)
Citation 1

Abstract:

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

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 101 (261,621)
Citation 1

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

11.

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 School, Queen Mary University of London, Sheffield University Management School, University of Sheffield and Stockholm University
Downloads 54 (370,275)

Abstract:

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

12.

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

Abstract:

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