Publications

Below is a list of DQFGroup publications since 2018.

2025

• Xu, Wen, Pakorn Aschakulporn, and Jin E. Zhang, 2025, Modelling and Forecasting the CBOE VIX with TVP-HAR Model. Journal of Forecasting, (forthcoming).
• Lin, Wei, Pakorn Aschakulporn, Yifan Ye, and Jin E. Zhang, 2025, Skewness and Option Prices under Stochastic Volatility Models: The Role of Shot-Noise Jumps, European Journal of Finance, (forthcoming).
• Xu, Wen, Pakorn Aschakulporn, and Jin E. Zhang, 2025, Heterogeneous Volatility Information Content for the Realized GARCH modeling and Forecasting Volatility, Studies in Nonlinear Dynamics and Econometrics, (forthcoming).
• Zhen, Fang, Xinfeng Ruan, and Jin E. Zhang, 2025, Testing and Forecasting Price Jumps with Return Moments, International Review of Finance, 25(1), e70002, 1-13.

2024

• Aschakulporn, Pakorn, and Jin E. Zhang, 2024, The Edgeworth and Gram-Charlier Densities, International Journal of Theoretical and Applied Finance, 27, 05n06, 2450020, 1-50.
• Yue, Tian, Lu-Lu Li, Xinfeng Ruan, and Jin E. Zhang, 2024, Smirking in the Energy Market: Evidence from the Chinese Crude Oil Options Market, International Review of Financial Analysis, 96, 103637, 1-17.
• Li, Weihan, Jin E. Zhang, Xinfeng Ruan, and Pakorn Aschakulporn, 2024, An Empirical Study on the Early Exercise Premium of American Options: Evidence from OEX and XEO Options, Journal of Futures Markets, 44(7), 1117-1153.
• Gehricke, Sebastian A., Xinfeng Ruan, and Jin E. Zhang, 2024, Doing Well While Doing Good: ESG Ratings and Corporate Bond Returns, Applied Economics, 56(16), 1916-1934.

2023

• Zhang, Junyu, Xinfeng Ruan, and Jin E. Zhang, 2023, Do short-term market swings improve realized volatility forecasts? Finance Research Letters, 58, 104629, 1-10.
• Guo, Wei, Xinfeng Ruan, Sebastian A. Gehricke, and Jin E. Zhang, 2023, Term spreads of implied volatility smirk and variance risk premium, Journal of Futures Markets 43, 829–857.
• Jia, Xiaolan, Xinfeng Ruan, and Jin E. Zhang, 2023, Carr and Wu’s (2020) framework in the oil ETF option market, Journal of Commodity Markets 31.
• Lin, Wei, K. Shen, and Jin E. Zhang, 2023, Further exploration into the valid regions of Gram–Charlier densities, Journal of Computational and Applied Mathematics 429.
• Yue, Tian, Tianjiao Li, and Xinfeng Ruan, 2023, Does short-term momentum exist in China? Pacific-Basin Finance Journal 77, 101920.
• Yue, Tian, Xinfeng Ruan, Sebastian A. Gehricke, and Jin E. Zhang, 2023, The volatility index and volatility risk premium in China, Quarterly Review of Economics and Finance 91, 40–55.
• Zhang, Junyu, Xinfeng Ruan, and Jin E. Zhang, 2023, Risk-Neutral Moments and Return Predictability: International Evidence, Journal of Forecasting, 42(5), 1086–1111.

2022

• Aschakulporn, Pakorn, and Jin E. Zhang, 2022, Bakshi, Kapadia and Madan (2003) Risk-Neutral Moment Estimators: A Gram-Charlier Density Approach, Review of Derivatives Research, 25(3), 233-281.
• Ford, Jansson, Sebastian A. Gehricke, and Jin E. Zhang, 2022, Option Traders Are Concerned About Climate Risks: ESG Ratings and Short-Term Sentiment, Journal of Behavioral and Experimental Finance, 35, 100687.
• Li, Jianhui, Xinfeng Ruan, Sebastion A. Gehricke, and Jin E. Zhang, 2022, The COVID-19 Risk in the Chinese Option Market, International Review of Finance, 22(2), 346-355.
• Zhang, Jin E., and Hai Lin, 2022, Marketwide Liquidity and Options Market, Applied Finance Letters, 11(1), 66-74.
• Yoon, Jungah, Xinfeng Ruan, and Jin E. Zhang, 2022, VIX Option-Implied Volatility Slope and VIX Futures Returns, Journal of Futures Markets, 42(6), 1002-1038.
• Lin, Wei, and Jin E. Zhang, 2022, Pricing VXX Options by Modelling VIX Directly, Journal of Futures Markets, 42(5), 888-922.
• Aschakulporn, Pakorn, and Jin E. Zhang, 2022, Bakshi, Kapadia and Madan (2003) Risk-Neutral Moment Estimators: An Affine Jump-Diffusion Approach, Journal of Futures Markets, 42(3), 365-388.
• Li, Jianhui, Xinfeng Ruan, and Jin E. Zhang, 2022, The Price of COVID-19-Induced Uncertainty in the Options Market, Economics Letters, 211, 110265, 1-7.
• Tadele, Haileslasie, Xinfeng Ruan, and Weihan Li, 2022, Corporate Governance and Firm-Level Jump and Volatility Risks, Applied Economics, 2022, 54(22), 2529-2553.
• Lin, Wei, and Jin E. Zhang, 2022, The Valid Regions of the Gram-Charlier Densities with Higher-Order Cumulants, Journal of Computational and Applied Mathematics, 407, 113945, 1-28.

2021

• Cao, Jiling, Xinfeng Ruan, Shu Su, and Wenjun Zhang, 2021, Specification Analysis of VXX Option Pricing Models under Lévy Processes, Journal of Futures Markets, 41(9), 1456-1477.
• Chen, Xingjiang, Xinfeng Ruan, and Wenjun Zhang, 2021, Dynamic Portfolio Choice and Information Trading with Recursive Utility, Economic Modelling, 98, 154-167.
• Yoon, Jungah, Xinfeng Ruan, and Jin E. Zhang, 2021, Skewness Risk in the Energy Market, Journal of Risk and Financial Management, 14(12), 620, 1-24.
• Kirk-Reeve, Samuel, Sebastian A. Gehricke, Xinfeng Ruan, and Jin E. Zhang, 2021, National Air Pollution and the Cross-Section of Stock Returns in China, Journal of Behavioral and Experimental Finance, 32, 100572, 1-15.
• Stuart, Connor J. A., Sebastian A. Gehricke, Jin E. Zhang, and Xinfeng Ruan, 2021, Implied Volatility Smirk in the Australian Dollar Market, Accounting and Finance, 61(3), 4573-4599.
• Yue, Tian, Sebastian A. Gehricke, Jin E. Zhang, and Zheyao Pan, 2021, The Implied Volatility Smirk in the Chinese Equity Options Market, Pacific-Basin Finance Journal, 69, 101624, 1-16.
• Ruan, Xinfeng, and Jin E. Zhang, 2021, Time-Varying Uncertainty and Variance Risk Premium, Journal of Macroeconomics, 69, 103347, 1-13.
• Aschakulporn, Pakorn, and Jin E. Zhang, 2021, New Zealand Whole Milk Powder Options, Accounting and Finance, 61(S1), 2201-2246.
• Guo, Wei, Sebastian A. Gehricke, Xinfeng Ruan, and Jin E. Zhang, 2021, The Implied Volatility Smirk in SPY Options, Applied Economics, 53(23), 2671-2692.
• Tan, Xiaoyu, Chengxiang Wang, Wei Lin, Jin E. Zhang, Shenghong Li, Xuejun Zhao, and Zili Zhang, 2021, The Term Structure of the VXX Option Smirk: Pricing VXX Options with a Two-Factor Model and Asymmetry Jumps, Journal of Futures Markets, 41(4), 439-457. Lead article.
• Ryan, Nina, Xinfeng Ruan, Jin E. Zhang, and Jing A. Zhang, 2021, Choosing Factors for the Vietnamese Stock Market, Journal of Risk and Financial Management, 14, 96, 1-23.
• Ruan, Xinfeng, and Jin E. Zhang, 2021, The Economics of the Financial Market for Volatility Trading, Journal of Financial Markets, 52, 100556, 1-20.
• Ruan, Xinfeng, and Jin E. Zhang, 2021, Ambiguity on Uncertainty and the Equity Premium, Finance Research Letters, 38, 101429, 1-8.
• Gehricke, Sebastian A., and Jin E. Zhang, 2021, Tracking Performance of VIX Futures ETPs, Journal of Empirical Finance, 61, 103-117.
• Jia, Xiaolan, Xinfeng Ruan, and Jin E. Zhang, 2021, The Implied Volatility Smirk of Commodity Options, Journal of Futures Markets, 41(1), 72-104.

2020

• Han, Xing, Xinfeng Ruan, and Yongxian Tan, 2020, Can the Relative Price Ratio of Gold to Platinum Predict the Chinese Stock Market? Pacific-Basin Finance Journal, 62, 101379.
• Cao, Jiling, Xinfeng Ruan, and Wenjun Zhang, 2020, Inferring Information from the S&P 500, CBOE VIX and CBOE SKEW Indices, Journal of Futures Markets, 40(6), 945-973.
• Cao, Jiling, Xinfeng Ruan, Shu Su, and Wenjun Zhang, 2020, Pricing VIX Derivatives with Infinite-Activity Jumps, Journal of Futures Markets, 40(3), 329-354.
• Ruan, Xinfeng, 2020, Volatility-of-Volatility and the Cross-Section of Option Returns, Journal of Financial Markets, 48, 100492.
• Zhang, Jin E., Eric C. Chang, and Huimin Zhao, 2020, Market Excess Returns, Variance and the Third Cumulant, International Review of Finance, 20(3), 605-637.
• Gehricke, Sebastian A., and Jin E. Zhang, 2020, Modeling VXX under Jump-Diffusion with Stochastic Long-Term Mean, Journal of Futures Markets, 40(10), 1508-1534.
• Zhen, Fang, and Jin E. Zhang, 2020, Dissecting Skewness under Affine Jump-Diffusion, Studies in Nonlinear Dynamics and Econometrics, 24(4), 20180086, 1-19.
• Ruan, Xinfeng, and Jin E. Zhang, 2020, Asset Pricing in a Pure Exchange Economy with Heterogeneous Investors, Mathematics and Financial Economics, 14(4), 605-634. Lead article.
• Zhen, Fang, Xinfeng Ruan, and Jin E. Zhang, 2020, Left-Tail Risk in China, Pacific-Basin Finance Journal, 63, 101391, 1-11.
• Zhang, Wenjun, and Jin E. Zhang, 2020, GARCH Option Pricing Models and the Variance Risk Premium, Journal of Risk and Financial Management, 13(3), 51, 1-21
• Gehricke, Sebastian A., and Jin E. Zhang, 2020, The Implied Volatility Smirk in the VXX Options Market, Applied Economics, 52(8), 769-788. Lead article.

2019

• Li, Jianhui, Sebastian A. Gehricke, and Jin E. Zhang, 2019, How Do US Options Traders “Smirk” on China? Evidence from FXI Options, Journal of Futures Markets, 39(11), 1450-1470.
• Luo, Xingguo, Jin E. Zhang, and Wenjun Zhang, 2019, Instantaneous Squared VIX and VIX Derivatives, Journal of Futures Markets, 39(10), 1193-1213. Lead article.
• Ruan, Xinfeng, and Jin E. Zhang, 2019, Moment Spreads in the Energy Market, Energy Economics, 81, 598-609.
• Lin, Wei, Shenghong Li, Shane Chern, and Jin E. Zhang, 2019, Pricing VIX Derivatives with Free Stochastic Volatility Model, Review of Derivatives Research, 22(1), 41-75.

2018

• Ruan, Xinfeng, and Jin E. Zhang, 2018, Equilibrium Variance Risk Premium in a Cost-Free Production Economy, Journal of Economic Dynamics and Control, 96, 42-60.
• Gehricke, Sebastian A., and Jin E. Zhang, 2018, Modeling VXX, Journal of Futures Markets, 38(8), 758-776.
• Ruan, Xinfeng, and Jin E. Zhang, 2018, Risk-Neutral Moments in the Crude Oil Market, Energy Economics, 72, 583-600.