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Zhenxiong Li

Department of Economics, Dongwu Business School, Soochow University

Associate Professor

No.50 Donghuan Road

Gusu District

Suzhou , JiangSu

China

http://web.suda.edu.cn/zxli/

  • Department of Economics, Dongwu Business School, Soochow University

SCHOLARLY PAPERS

3

DOWNLOADS

747

TOTAL CITATIONS

5

Scholarly Papers (3)

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1.

Downside Implied Correlation: The Driving Force of Volatility Risk

Number of pages: 68 Posted: 30 Apr 2024 Last Revised: 15 Jan 2026
Zhenxiong Li, Rodrigo Hizmeri, Xingzhi Yao and Marwan Izzeldin
Department of Economics, Dongwu Business School, Soochow University, University of Liverpool - Management School (ULMS), Xi'an Jiaotong-Liverpool University (XJTLU) - International Business School Suzhou and Lancaster University Management School
Downloads 407 (185,792)

Abstract:

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Diversification risk, Implied correlation risk, Volatility risk, Downside risk, Cross-section of stock returns

2.

On the Right Jump Tail Inferred from the VIX Market

Number of pages: 49 Posted: 27 Dec 2021 Last Revised: 07 Jun 2022
Zhenxiong Li, Xingzhi Yao and Marwan Izzeldin
Department of Economics, Dongwu Business School, Soochow University, Xi'an Jiaotong-Liverpool University (XJTLU) - International Business School Suzhou and Lancaster University Management School
Downloads 173 (442,467)
Citation 1

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Jump tail risk, return predictability, VIX derivatives

3.

A Novel Cluster HAR-Type Model for Forecasting Realized Volatility

International Journal of Forecasting, Forthcoming
Number of pages: 41 Posted: 18 Mar 2019 Last Revised: 26 Apr 2019
Xingzhi Yao, Marwan Izzeldin and Zhenxiong Li
Xi'an Jiaotong-Liverpool University (XJTLU) - International Business School Suzhou, Lancaster University Management School and Department of Economics, Dongwu Business School, Soochow University
Downloads 167 (454,356)
Citation 4

Abstract:

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Heterogeneous autoregressive model; Clustering; Lasso; Realized volatility