Xinfeng Ruan
University of Otago
H-index: 10
Oceania-New Zealand
Top articles of Xinfeng Ruan
Title | Journal | Author(s) | Publication Date |
|---|---|---|---|
Modelling the Index Option Smirk in China: Do Non-Affine Two-Factor Stochastic Volatility Models Work? | Available at SSRN | Yifan Ye Zheqi Fan Xinfeng Ruan | 2024 |
Doing well while doing good: ESG ratings and corporate bond returns | Applied Economics | Sebastian A Gehricke Xinfeng Ruan Jin E Zhang | 2024/2/13 |
Comomentum in China: Inferring arbitrage activity from return correlation | Pacific-Basin Finance Journal | Tian Yue Jiexiang Huang Xinfeng Ruan | 2024/4/2 |
An empirical study on the early exercise premium of American options: Evidence from OEX and XEO options | Journal of Futures Markets | Weihan Li Jin E Zhang Xinfeng Ruan Pakorn Aschakulporn | 2024/3 |
Information Content of the Implied Volatility Smirk of VIX and VXX on SPX Options | Jungah Yoon Xinfeng Ruan Jin E Zhang | 2023 | |
Carr and Wu’s (2020) framework in the oil ETF option market | Journal of Commodity Markets | Xiaolan Jia Xinfeng Ruan Jin E Zhang | 2023/5/24 |
Term spreads of implied volatility smirk and variance risk premium | Journal of Futures Markets | Wei Guo Xinfeng Ruan Sebastian A Gehricke Jin E Zhang | 2023/6/7 |
Towards a Theory of Skewness Trading | Available at SSRN 4670477 | Xinfeng Ruan Pakorn Aschakulporn Jin E Zhang | 2023/12/20 |
The COVID-19 risk in the cross-section of equity options | Finance Research Letters | Kanokrak Jitsawatpaiboon Xinfeng Ruan | 2023/5 |
Does short-term momentum exist in China? | Pacific-Basin Finance Journal | Tian Yue Tianjiao Li Xinfeng Ruan | 2023/2 |
Do short-term market swings improve realized volatility forecasts? | Finance Research Letters | Junyu Zhang Xinfeng Ruan Jin E Zhang | 2023/10/27 |
Testing and Forecasting Price Jumps with Return Moments | Available at SSRN 4560079 | Fang Zhen Xinfeng Ruan Jin E Zhang | 2023 |
The Volatility Index and Volatility Risk Premium in China | The Quarterly Review of Economics and Finance | Tian Yue Xinfeng Ruan Sebastian Gehricke Jin E Zhang | 2023/10 |
Corporate governance and firm-level jump and volatility risks | Applied Economics | Haileslasie Tadele Xinfeng Ruan Weihan Li | 2022/5/9 |
Pricing S&P 500 Variance Futures based on the instantaneous variance of the S&P 500 index with double jump processes | Shu Su Jiling Cao Xinfeng Ruan Wenjun Zhang | 2022/12/8 | |
The price of COVID-19-induced uncertainty in the options market | Economics Letters | Jianhui Li Xinfeng Ruan Jin E Zhang | 2022/1/25 |
Risk‐neutral moments and return predictability: International evidence | Journal of Forecasting | Junyu Zhang Xinfeng Ruan Jin E Zhang | 2023/7/4 |
The Shape of the Implied Volatility Smirk, Investor Sentiment, and the Cross-Section of Stock Returns | Jianhui Li Xinfeng Ruan Jin E Zhang | 2023 | |
The role of risk-neutral moments in forecasting future realised volatility: An international perspective | Junyu Zhang Xinfeng Ruan Jin E Zhang | 2023 | |
The Role of Hedgers and Speculators in the Currency Futures Markets | Jungah Yoon Xinfeng Ruan Jin E Zhang | 2023 |
Co-Authors
