Similar Search Results

Yoon, Jungah; Ruan, Xinfeng; Zhang, Jin E. - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-24

In this paper, we study the skewness risk and its return predictability in the energy market. Skewness risk is often used to measure the possibility of market crash. We study both physical skewness (market skewness and cross-sectional average realized skewness) estimated from underlying stock...

Persistent link: https://www.econbiz.de/10012801590

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

Risk-neutral moments in the crude oil market

Ruan, Xinfeng; Zhang, Jin E. - In: Energy economics 72 (2018), pp. 583-600

Persistent link: https://www.econbiz.de/10011972460

Do short-term market swings improve realized volatility forecasts?

Zhang, Junyu; Ruan, Xinfeng; Zhang, Jin E. - In: Finance research letters 58 (2023) 4, pp. 1-10

Persistent link: https://www.econbiz.de/10014632688

Moment spreads in the energy market

Ruan, Xinfeng; Zhang, Jin E. - In: Energy economics 81 (2019), pp. 598-609

Persistent link: https://www.econbiz.de/10012172876

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

Forecasting the term structure of Chinese Treasury yields

Luo, Xingguo; Han, Haifeng; Zhang, Jin E. - In: Pacific-Basin finance journal 20 (2012) 5, pp. 639-659

Persistent link: https://www.econbiz.de/10009619800