Victor Chow

West Virginia University - Department of Finance

Professor of Finance

P. O. Box 6025

Morgantown, WV 26506

United States

  • West Virginia University - Department of Finance

SCHOLARLY PAPERS

8

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Top 16,998

in Total Papers Downloads

4,680

SSRN CITATIONS

1

CROSSREF CITATIONS

5

Ideas:
“  Volatility Asymmetries, Asymmetry-Risk, and Stochastic Dominance Asset Pricing  ”

  • West Virginia University - Department of Finance

Scholarly Papers (8)

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1.

Does VIX Truly Measure Return Volatility?

Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning, Forthcoming
Number of pages: 35 Posted: 31 Aug 2014 Last Revised: 07 Jul 2020
Victor Chow, Wanjun Jiang and Jingrui Li
West Virginia University - Department of Finance, Guang Hua School of Management, Peking University and Stevens Institute of Technology - School of Business
Downloads 3,482 (5,116)
Citation 9

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Implied Volatility, VIX, Ex-ante Moments

2.

Conditional Sharpe Ratios

Number of pages: 23 Posted: 02 Sep 2014
Victor Chow and Christine W. Lai
West Virginia University - Department of Finance and Yuan Ze University
Downloads 418 (109,037)
Citation 1

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Sharp ratio, information ratio, portfolio management, stochastic dominance

3.

Decomposing the VIX: Implications for the Predictability of Stock Returns

The Financial Review, Forthcoming
Number of pages: 39 Posted: 14 Mar 2016 Last Revised: 19 Aug 2020
Victor Chow, Wanjun Jiang, Bingxin Li and Jingrui Li
West Virginia University - Department of Finance, Guang Hua School of Management, Peking University, West Virginia University and Stevens Institute of Technology - School of Business
Downloads 387 (119,101)

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Polynomial Variation, Quadratic Variation, Variance Risk Premium, Tail Risk Premium, Predictability

4.

Implied Equity Premium and Market Beta

Number of pages: 59 Posted: 10 Feb 2021 Last Revised: 18 May 2021
Victor Chow, Jiahao Gu and Zhan Wang
West Virginia University - Department of Finance, West Virginia University - Department of Finance and Research Center of Finance, Shanghai Business School
Downloads 134 (326,595)

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Volatility-asymmetry, Implied Equity Premium, Implied Beta, VIX, SVIX, AVIX

5.

Mean Swap Variance, Portfolio Thoery and Asset Pricing

Number of pages: 45 Posted: 12 May 2017 Last Revised: 09 Jan 2018
Victor Chow and Zhan Wang
West Virginia University - Department of Finance and Research Center of Finance, Shanghai Business School
Downloads 130 (334,131)

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Mean-Variance, Rational Decision Maker, Symmetry, Swap Variance, Human Decision Maker, Asymmetry, Expected Utility Maximization, Stochastic Dominance, Capital Market Equilibrium, Loss-Aversion, and Gain-Preference

6.

Persistence of Jump-Induced Tail Risk and Limits to Arbitrage

Quantitative Finance, Forthcoming
Number of pages: 49 Posted: 22 Nov 2022 Last Revised: 27 Nov 2022
Victor Chow, Kose John, Jingrui Li and Ben J. Sopranzetti
West Virginia University - Department of Finance, New York University (NYU) - Department of Finance, Stevens Institute of Technology - School of Business and Rutgers Business School: Newark and New Brunswick
Downloads 69 (502,015)

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tail risk, asymmetry, cross-section of stock returns, return prediction, empirical asset pricing

7.

Asymmetry-Risk and Stochastic Dominance Asset Pricing

Number of pages: 70 Posted: 19 Aug 2019 Last Revised: 29 Jun 2020
Victor Chow, Ben J. Sopranzetti and Zhan Wang
West Virginia University - Department of Finance, Rutgers Business School: Newark and New Brunswick and Research Center of Finance, Shanghai Business School
Downloads 57 (552,105)

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Volatility Asymmetry, Stochastic Dominance, Asset Pricing, CAPM

8.

Tail Risk

Number of pages: 58
Victor Chow, Jiahao Gu and Zhan Wang
West Virginia University - Department of Finance, West Virginia University - Department of Finance and Research Center of Finance, Shanghai Business School
Downloads 3

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Tail Risk, Swap-Variance, Risk-Indifference Curve, Equity Premium Puzzle, Low Beta Anomaly, Capital Asset Pricing