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
Chinese Stock Index Futures Market, Intraday, Recursive Cointegration Analysis, Multivariate GARCH
volatility spillover; risk neutral volatility; quantitative easing; systemic risk; financial network; structural VAR
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
currency hedging, conditional coskewness, conditional cokurtosis, idiosyncratic skewness, international asset pricing
Globalization, tariff negotiation, multiple equilibria, Nash equilibrium, Walrasian equilibrium
local government financing vehicle, diversified investment, government debt, conglomerate
Network; Volatility Spillover; Asymmetric linkage; Systemic risk