Xiamen, Fujian 361005
China
Xiamen University - Department of Finance
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VIX, implied volatility, volatility risk premium, macroeconomic news, policy uncertainty
Stock-bond correlation, Business cycle, Asymmetry, Smooth transition, GARCH
volatility spillover; risk neutral volatility; quantitative easing; systemic risk; financial network; structural VAR
Chinese Stock Index Futures Market, Intraday, Recursive Cointegration Analysis, Multivariate GARCH
regime-switching, conditional co-skewness, intertemporal asset pricing, stock and bond co-movements
regime switching, conditional co-skewness, flight-to-quality
CMBS, REITs, Dynamic Conditional Correlation, Macroeconomic Variables
CMBS, REITs, Dynamic conditional correlation, Macroeconomic variables
option-implied volatility, VIX, MOVE, common information, information spillover, regime switch
COVID-19, coronavirus
Trade liberalization, tariff war, uncertainty, inter-government negotiation game
Network; Option-implied Volatility; Spillover; Systemic risk
Globalization, tariff negotiation, multiple equilibria, Nash equilibrium, Walrasian equilibrium
Peer effects, Risk-taking, Learning
local government financing vehicle, diversified investment, government debt, conglomerate
Network; Volatility Spillover; Asymmetric linkage; Systemic risk