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Variance term structure and VIX futures pricing
Zhu, Yingzi; Zhang, Jin E. - In: International journal of theoretical and applied finance 10 (2007) 1, pp. 111-127
Persistent link: https://www.econbiz.de/10003415735
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The new market for volatility trading
Zhang, Jin E.; Shu, Jinghong; Brenner, Menachem - In: The journal of futures markets 30 (2010) 9, pp. 809-833
Persistent link: https://www.econbiz.de/10008900929
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The dynamics of long forward rate term structures
Luo, Xingguo; Zhang, Jin E. - In: The journal of futures markets 30 (2010) 10, pp. 957-982
Persistent link: https://www.econbiz.de/10008900931
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The term structure of VIX
Luo, Xingguo; Zhang, Jin E. - In: The journal of futures markets 32 (2012) 12, pp. 1092-1123
Persistent link: https://www.econbiz.de/10009697787
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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
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Equilibrium variance risk premium in a cost-free production economy
Ruan, Xinfeng; Zhang, Jin E. - In: Journal of economic dynamics & control 96 (2018), pp. 42-60
Persistent link: https://www.econbiz.de/10012004952
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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
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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