Mei Yu

University of International Business and Economics (UIBE)

10, Huixin Dongjie

Changyang District

Beijing, Beijing 100029

China

SCHOLARLY PAPERS

5

DOWNLOADS

601

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (5)

1.

Variance Risk Premium and Return Predictability: Evidence from the Chinese SSE 50 ETF Options

Stevens Institute of Technology School of Business Research Paper
Number of pages: 23 Posted: 26 Jul 2019 Last Revised: 09 Dec 2019
Stevens Institute of Technology - School of Business, Beijing Foreign Studies University, Stevens Institute of Technology - School of Business and University of International Business and Economics (UIBE)
Downloads 275 (210,465)

Abstract:

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Emerging market, Variance risk premium, Downside variance risk premium, Upside variance risk premium, Delta hedging

2.

Liquidation, Leverage and Optimal Margin in Bitcoin Futures Markets

Number of pages: 21 Posted: 18 Feb 2021
University of International Business and Economics (UIBE), University of International Business and Economics (UIBE) - School of Banking and Finance, University of International Business and Economics (UIBE) - School of Banking and Finance and University of International Business and Economics (UIBE)
Downloads 125 (423,524)

Abstract:

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Bitcoin futures; Liquidation; Margin; Leverage; Generalized extreme value theory

3.

Does U.S. Monetary Policy Affect the Connectedness of Global Financial Markets?

Number of pages: 41 Posted: 02 May 2022
University of International Business and Economics (UIBE) - School of Banking and Finance, University of International Business and Economics (UIBE), University of International Business and Economics (UIBE) and University of International Business and Economics (UIBE)
Downloads 100 (498,604)

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U.S. monetary policy, global financial market connectedness, monetary policy shock, central bank information shock

4.

Factor-Timing in the Chinese Factor Zoo: The Role of Economic Policy Uncertainty

Number of pages: 40 Posted: 13 Sep 2022
Beijing Foreign Studies University, University of International Business and Economics, University of International Business and Economics and University of International Business and Economics (UIBE)
Downloads 92 (526,319)

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Economic Policy Uncertainty, Size Premium, Factor Timing

5.

Convertible Bond Return Predictability with Machine Learning

Number of pages: 54 Posted: 12 Jul 2024
Beijing Foreign Studies University, Peking University, University of International Business and Economics (UIBE) - School of Banking and Finance and University of International Business and Economics (UIBE)
Downloads 9 (1,083,989)

Abstract:

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convertible bonds, cross-sectional returns, machine learning, out-of-sample performance, predictors