Ai Jun Hou

Stockholm University

Associate Professor

Universitetsvägen 10

Stockholm, Stockholm SE-106 91

Sweden

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 15,629

SSRN RANKINGS

Top 15,629

in Total Papers Downloads

4,656

SSRN CITATIONS
Rank 24,751

SSRN RANKINGS

Top 24,751

in Total Papers Citations

32

CROSSREF CITATIONS

6

Scholarly Papers (15)

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
Downloads 1,487 (18,263)
Citation 15

Abstract:

Loading...

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 997 (32,808)
Citation 2

Abstract:

Loading...

3.

The Effect of Uncertainty on Volatility and Correlation

Number of pages: 40 Posted: 22 Mar 2018 Last Revised: 28 Mar 2022
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies, Aarhus University - CREATES and Stockholm University
Downloads 575 (68,453)
Citation 4

Abstract:

Loading...

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

4.

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 349 (123,332)
Citation 12

Abstract:

Loading...

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

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 231 (187,730)
Citation 3

Abstract:

Loading...

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

6.

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 180 (235,481)

Abstract:

Loading...

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

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 170 (247,236)
Citation 1

Abstract:

Loading...

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

8.

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 167 (250,884)

Abstract:

Loading...

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

9.

A Model-based Commodity Risk Measure on Commodity and Stock Market Returns

Number of pages: 84 Posted: 21 Sep 2022
Stockholm University, University of Bath - School of Management, University of Liverpool Management School and Washington University in St. Louis - John M. Olin Business School
Downloads 137 (296,095)

Abstract:

Loading...

Commodities, Term structure models, Predictability, Cross-sectional asset pricing

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 133 (301,112)
Citation 1

Abstract:

Loading...

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 113 (340,876)

Abstract:

Loading...

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:

Loading...

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

12.

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 69 (457,426)
Citation 6

Abstract:

Loading...

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

Effects of Forecasters Disagreement on the Crude Oil Volatility: A GARCH-MIDAS Approach

Number of pages: 32 Posted: 08 Apr 2022 Last Revised: 05 May 2022
Jönköping International Business School - Jönköping University, Stockholm University, Stockholm University - Stockholm Business School and University of Liverpool Management School
Downloads 22 (728,672)

Abstract:

Loading...

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

Effects of Forecasters Disagreement on the Crude Oil Volatility: A Garch-Midas Approach

Number of pages: 33 Posted: 13 May 2022
Jönköping International Business School - Jönköping University, Stockholm University, Stockholm University - Stockholm Business School and University of Liverpool Management School
Downloads 10 (835,662)

Abstract:

Loading...

C32, C52, Q47

14.

Term Premia Co-movement and Global Trade Network

Number of pages: 53 Posted: 12 Aug 2022
Ai Jun Hou, Caihong Xu and Xiaoxia Ye
Stockholm University, Stockholm University - Stockholm Business School and University of Liverpool Management School
Downloads 16 (747,932)

Abstract:

Loading...

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

15.

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:

Loading...

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