Mei Yu

University of International Business and Economics (UIBE)

10, Huixin Dongjie

Changyang District

Beijing, Beijing 100029

China

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Scholarly Papers (1)

1.

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

Number of pages: 23 Posted: 26 Jul 2019 Last Revised: 29 Jul 2019
Stevens Institute of Technology - School of Business, University of International Business and Economics (UIBE), Stevens Institute of Technology - School of Business and University of International Business and Economics (UIBE)
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Abstract:

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