Lai Xu

Syracuse University

Assistant Professor

900 S. Crouse Avenue

Syracuse, NY 13244-2130

United States

SCHOLARLY PAPERS

4

DOWNLOADS

578

SSRN CITATIONS
Rank 38,916

SSRN RANKINGS

Top 38,916

in Total Papers Citations

5

CROSSREF CITATIONS

9

Scholarly Papers (4)

Variance Premium, Downside Risk, and Expected Stock Returns

Number of pages: 49 Posted: 06 Nov 2017 Last Revised: 27 Nov 2017
Bank of Canada, Syracuse University - Whitman School of Management, ESSEC Business School and Syracuse University
Downloads 237 (129,638)

Abstract:

Loading...

Variance Forecasting, Signed Jump Risk Premium

Variance Premium, Downside Risk, and Expected Stock Returns

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 47 Posted: 04 Jun 2018
Bank of Canada, Syracuse University - Whitman School of Management, ESSEC Business School and Syracuse University
Downloads 38 (446,064)
Citation 5

Abstract:

Loading...

Variance Forecasting, Signed Jump Risk Premium

2.

Variance Risk Premiums in Emerging Markets: Global Integration and Economic Uncertainty

Number of pages: 83 Posted: 25 Jun 2018 Last Revised: 09 May 2019
Tsinghua University - PBC School of Finance, Syracuse University, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 175 (172,909)
Citation 3

Abstract:

Loading...

Variance risk premium, emerging markets, stock return predictability, market integration, economic uncertainty

3.

The Cross-Section of Monetary Policy Announcement Premium

Number of pages: 36 Posted: 01 Mar 2019 Last Revised: 25 May 2019
University of Minnesota - Twin Cities - Carlson School of Management, University of Hong Kong, University of Oklahoma and Syracuse University
Downloads 113 (245,613)
Citation 2

Abstract:

Loading...

FOMC announcement, implied volatility, cross-section of equity returns

4.

The Term Structure of Expected Quadratic Loss and Gain

Number of pages: 43 Posted: 30 Aug 2019
Bank of Canada, Syracuse University - Whitman School of Management, ESSEC Business School and Syracuse University
Downloads 15 (556,146)

Abstract:

Loading...

quadratic risk premium, loss uncertainty, gain uncertainty, term structure