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Time-varying uncertainty and variance risk premium

Ruan, Xinfeng; Zhang, Jin E. - In: Journal of macroeconomics 69 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10013274639

Choosing factors for the Vietnamese stock market

Ryan, Nina; Ruan, Xinfeng; Zhang, Jin E.; Zhang, Jing A. - In: Journal of risk and financial management : JRFM 14 (2021) 3/96, pp. 1-23

In this paper, we test the applicability of different Fama-French (FF) factor models in Vietnam, we investigate the value factor redundancy and examine the choice of the profitability factor. Our empirical evidence shows that the FF five-factor model has more explanatory power than the FF...

Persistent link: https://www.econbiz.de/10012484859

Term spreads of implied volatility smirk and variance risk premium

Guo, Wei; Ruan, Xinfeng; Gehricke, Sebastian A.; Zhang, … - In: The journal of futures markets 43 (2023) 7, pp. 829-857

Persistent link: https://www.econbiz.de/10014293246

Risk-neutral moments and return predictability : international evidence

Zhang, Junyu; Ruan, Xinfeng; Zhang, Jin E. - In: Journal of forecasting 42 (2023) 5, pp. 1086-1111

Persistent link: https://www.econbiz.de/10014338814

Carr and Wu's (2020) framework in the oil ETF option market

Jia, Xiaolan; Ruan, Xinfeng; Zhang, Jin E. - In: Journal of commodity markets 31 (2023), pp. 1-21

Persistent link: https://www.econbiz.de/10014477744

Can the relative price ratio of gold to platinum predict the Chinese stock market?

Han, Xing; Ruan, Xinfeng; Tan, Yongxian - In: Pacific-Basin finance journal 62 (2020), pp. 1-6

Persistent link: https://www.econbiz.de/10012491944

The COVID-19 risk in the cross-section of equity options

Jitsawatpaiboon, Kanokrak; Ruan, Xinfeng - In: Finance research letters 53 (2023), pp. 1-14

Persistent link: https://www.econbiz.de/10014472524

GARCH option pricing models, the CBOE VIX, and variance risk premium

Hao, Jinji; Zhang, Jin E. - In: Journal of financial econometrics : official journal of … 11 (2013) 3, pp. 556-580

Persistent link: https://www.econbiz.de/10009786515

The skewness implied in the Heston model and its application

Zhang, Jin E.; Zhen, Fang; Sun, Xiaoxia; Zhao, Huimin - In: The journal of futures markets 37 (2017) 3, pp. 211-237

Persistent link: https://www.econbiz.de/10011669807

GARCH option pricing models and the variance risk premium

Zhang, WenJun; Zhang, Jin E. - In: Journal of risk and financial management : JRFM 13 (2020) 3/51, pp. 1-21

In this paper, we modify Duan’s (1995) local risk-neutral valuation relationship (mLRNVR) for the GARCH option-pricing models. In our mLRNVR, the conditional variances under two measures are designed to be different and the variance process is more persistent in the risk-neutral measure than...

Persistent link: https://www.econbiz.de/10012174118