{"id":539,"date":"2022-09-21T12:58:28","date_gmt":"2022-09-21T00:58:28","guid":{"rendered":"https:\/\/blogs.otago.ac.nz\/dqfg\/?page_id=539"},"modified":"2025-02-12T11:59:19","modified_gmt":"2025-02-11T22:59:19","slug":"publications","status":"publish","type":"page","link":"https:\/\/blogs.otago.ac.nz\/dqfg\/publications\/","title":{"rendered":"Publications"},"content":{"rendered":"<p>Below is a list of DQFGroup publications since 2018.<\/p>\n<h4><strong>2025<\/strong><\/h4>\n<ul>\n<li><strong>Xu, Wen<\/strong>, <strong>Pakorn Aschakulporn<\/strong>, and <strong>Jin E. Zhang<\/strong>, 2025, Modelling and Forecasting the CBOE VIX with TVP-HAR Model. Journal of Forecasting, (forthcoming).<\/li>\n<li><strong>Lin, Wei<\/strong>, <strong>Pakorn Aschakulporn<\/strong>, Yifan Ye, and <strong>Jin E. Zhang<\/strong>, 2025, Skewness and Option Prices under Stochastic Volatility Models: The Role of Shot-Noise Jumps, European Journal of Finance, (forthcoming).<\/li>\n<li><strong>Xu, Wen<\/strong>, <strong>Pakorn Aschakulporn<\/strong>, and <strong>Jin E. Zhang<\/strong>, 2025, Heterogeneous Volatility Information Content for the Realized GARCH modeling and Forecasting Volatility, Studies in Nonlinear Dynamics and Econometrics, (forthcoming).<\/li>\n<li><strong>Zhen, Fang<\/strong>, <strong>Xinfeng Ruan<\/strong>, and <strong>Jin E. Zhang<\/strong>, 2025, Testing and Forecasting Price Jumps with Return Moments, International Review of Finance, 25(1), e70002, 1-13.<\/li>\n<\/ul>\n<h4><strong>2024<\/strong><\/h4>\n<ul>\n<li><strong>Aschakulporn, Pakorn<\/strong>, and <strong>Jin E. Zhang<\/strong>, 2024, The Edgeworth and Gram-Charlier Densities, International Journal of Theoretical and Applied Finance, 27, 05n06, 2450020, 1-50.<\/li>\n<li><strong>Yue, Tian<\/strong>, Lu-Lu Li, <strong>Xinfeng Ruan<\/strong>, and <strong>Jin E. Zhang<\/strong>, 2024, Smirking in the Energy Market: Evidence from the Chinese Crude Oil Options Market, International Review of Financial Analysis, 96, 103637, 1-17.<\/li>\n<li><strong>Li, Weihan<\/strong>, <strong>Jin E. Zhang<\/strong>, <strong>Xinfeng Ruan<\/strong>, and <strong>Pakorn Aschakulporn<\/strong>, 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.<\/li>\n<li><strong>Gehricke, Sebastian A.<\/strong>, <strong>Xinfeng Ruan<\/strong>, and <strong>Jin E. Zhang<\/strong>, 2024, Doing Well While Doing Good: ESG Ratings and Corporate Bond Returns, Applied Economics, 56(16), 1916-1934.<\/li>\n<\/ul>\n<h4><strong>2023<\/strong><\/h4>\n<ul>\n<li><strong>Zhang, Junyu<\/strong>, <strong>Xinfeng Ruan<\/strong>, and <strong>Jin E. Zhang<\/strong>, 2023, Do short-term market swings improve realized volatility forecasts? Finance Research Letters, 58, 104629, 1-10.<\/li>\n<li><strong>Guo, Wei<\/strong>, <strong>Xinfeng Ruan<\/strong>, <strong>Sebastian A. Gehricke<\/strong>, and <strong>Jin E. Zhang<\/strong>, 2023, Term spreads of implied volatility smirk and variance risk premium, Journal of Futures Markets 43, 829\u2013857.<\/li>\n<li><strong>Jia, Xiaolan<\/strong>, <strong>Xinfeng Ruan<\/strong>, and <strong>Jin E. Zhang<\/strong>, 2023, Carr and Wu\u2019s (2020) framework in the oil ETF option market, Journal of Commodity Markets 31.<\/li>\n<li><strong>Lin, Wei<\/strong>, K. Shen, and <strong>Jin E. Zhang<\/strong>, 2023, Further exploration into the valid regions of Gram\u2013Charlier densities, Journal of Computational and Applied Mathematics 429.<\/li>\n<li><strong>Yue, Tian<\/strong>, <strong>Tianjiao Li<\/strong>, and <strong>Xinfeng Ruan<\/strong>, 2023, Does short-term momentum exist in China? Pacific-Basin Finance Journal 77, 101920.<\/li>\n<li><strong>Yue, Tian<\/strong>, <strong>Xinfeng Ruan<\/strong>, <strong>Sebastian A. Gehricke<\/strong>, and <strong>Jin E. Zhang<\/strong>, 2023, The volatility index and volatility risk premium in China, Quarterly Review of Economics and Finance 91, 40\u201355.<\/li>\n<li><strong>Zhang, Junyu<\/strong>, <strong>Xinfeng Ruan<\/strong>, and <strong>Jin E. Zhang<\/strong>, 2023, Risk-Neutral Moments and Return Predictability: International Evidence, Journal of Forecasting, 42(5), 1086\u20131111.<\/li>\n<\/ul>\n<h4><strong>2022<\/strong><\/h4>\n<ul>\n<li><strong>Aschakulporn, Pakorn<\/strong>, and\u00a0<strong>Jin E. Zhang<\/strong>, 2022, Bakshi, Kapadia and Madan (2003) Risk-Neutral Moment Estimators: A Gram-Charlier Density Approach, Review of Derivatives Research, 25(3), 233-281.<\/li>\n<li><strong>Ford, Jansson<\/strong>, <strong>Sebastian A. Gehricke<\/strong>, and<strong> Jin E. Zhang<\/strong>, 2022, Option Traders Are Concerned About Climate Risks: ESG Ratings and Short-Term Sentiment, Journal of Behavioral and Experimental Finance, 35, 100687.<\/li>\n<li><strong>Li, Jianhui<\/strong>, <strong>Xinfeng Ruan<\/strong>, <strong>Sebastion A. Gehricke<\/strong>, and <strong>Jin E. Zhang<\/strong>, 2022, The COVID-19 Risk in the Chinese Option Market, International Review of Finance, 22(2), 346-355.<\/li>\n<li><strong>Zhang, Jin E.<\/strong>, and Hai Lin, 2022, Marketwide Liquidity and Options Market, Applied Finance Letters, 11(1), 66-74.<\/li>\n<li><strong>Yoon, Jungah<\/strong>, <strong>Xinfeng Ruan<\/strong>, and <strong>Jin E. Zhang<\/strong>, 2022, VIX Option-Implied Volatility Slope and VIX Futures Returns, Journal of Futures Markets, 42(6), 1002-1038.<\/li>\n<li><strong>Lin, Wei<\/strong>, and <strong>Jin E. Zhang<\/strong>, 2022, Pricing VXX Options by Modelling VIX Directly, Journal of Futures Markets, 42(5), 888-922.<\/li>\n<li><strong>Aschakulporn, Pakorn<\/strong>, and <strong>Jin E. Zhang<\/strong>, 2022, Bakshi, Kapadia and Madan (2003) Risk-Neutral Moment Estimators: An Affine Jump-Diffusion Approach, Journal of Futures Markets, 42(3), 365-388.<\/li>\n<li><strong>Li, Jianhui<\/strong>, <strong>Xinfeng Ruan<\/strong>, and <strong>Jin E. Zhang<\/strong>, 2022, The Price of COVID-19-Induced Uncertainty in the Options Market, Economics Letters, 211, 110265, 1-7.<\/li>\n<li>Tadele, Haileslasie, <strong>Xinfeng Ruan<\/strong>, and <strong>Weihan Li<\/strong>, 2022, Corporate Governance and Firm-Level Jump and Volatility Risks, Applied Economics, 2022, 54(22), 2529-2553.<\/li>\n<li><strong>Lin, Wei<\/strong>, and <strong>Jin E. Zhang<\/strong>, 2022, The Valid Regions of the Gram-Charlier Densities with Higher-Order Cumulants, Journal of Computational and Applied Mathematics, 407, 113945, 1-28.<\/li>\n<\/ul>\n<h4><strong>2021<\/strong><\/h4>\n<ul>\n<li>Cao, Jiling, <strong>Xinfeng Ruan<\/strong>, Shu Su, and Wenjun Zhang, 2021, Specification Analysis of VXX Option Pricing Models under L\u00e9vy Processes, Journal of Futures Markets, 41(9), 1456-1477.<\/li>\n<li>Chen, Xingjiang, <strong>Xinfeng Ruan<\/strong>, and Wenjun Zhang, 2021, Dynamic Portfolio Choice and Information Trading with Recursive Utility, Economic Modelling,\u00a098, 154-167.<\/li>\n<li><strong>Yoon, Jungah<\/strong>, <strong>Xinfeng Ruan<\/strong>, and <strong>Jin E. Zhang<\/strong>, 2021, Skewness Risk in the Energy Market, Journal of Risk and Financial Management, 14(12), 620, 1-24.<\/li>\n<li><strong>Kirk-Reeve, Samuel<\/strong>, <strong>Sebastian A. Gehricke<\/strong>, <strong>Xinfeng Ruan<\/strong>, and <strong>Jin E. Zhang<\/strong>, 2021, National Air Pollution and the Cross-Section of Stock Returns in China, Journal of Behavioral and Experimental Finance, 32, 100572, 1-15.<\/li>\n<li><strong>Stuart, Connor J. A.<\/strong>, <strong>Sebastian A. Gehricke<\/strong>, <strong>Jin E. Zhang<\/strong>, and <strong>Xinfeng Ruan<\/strong>, 2021, Implied Volatility Smirk in the Australian Dollar Market, Accounting and Finance, 61(3), 4573-4599.<\/li>\n<li><strong>Yue, Tian<\/strong>, <strong>Sebastian A. Gehricke<\/strong>, <strong>Jin E. Zhang<\/strong>, and Zheyao Pan, 2021, The Implied Volatility Smirk in the Chinese Equity Options Market, Pacific-Basin Finance Journal, 69, 101624, 1-16.<\/li>\n<li><strong>Ruan, Xinfeng<\/strong>, and <strong>Jin E. Zhang<\/strong>, 2021, Time-Varying Uncertainty and Variance Risk Premium, Journal of Macroeconomics, 69, 103347, 1-13.<\/li>\n<li><strong>Aschakulporn, Pakorn<\/strong>, and <strong>Jin E. Zhang<\/strong>, 2021, New Zealand Whole Milk Powder Options, Accounting and Finance, 61(S1), 2201-2246.<\/li>\n<li><strong>Guo, Wei<\/strong>, <strong>Sebastian A. Gehricke<\/strong>, <strong>Xinfeng Ruan<\/strong>, and <strong>Jin E. Zhang<\/strong>, 2021, The Implied Volatility Smirk in SPY Options, Applied Economics, 53(23), 2671-2692.<\/li>\n<li>Tan, Xiaoyu, Chengxiang Wang, <strong>Wei Lin<\/strong>, <strong>Jin E. Zhang<\/strong>, 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.<\/li>\n<li><strong>Ryan, Nina<\/strong>, <strong>Xinfeng Ruan<\/strong>, <strong>Jin E. Zhang<\/strong>, and Jing A. Zhang, 2021, Choosing Factors for the Vietnamese Stock Market, Journal of Risk and Financial Management, 14, 96, 1-23.<\/li>\n<li><strong>Ruan, Xinfeng<\/strong>, and <strong>Jin E. Zhang<\/strong>, 2021, The Economics of the Financial Market for Volatility Trading, Journal of Financial Markets, 52, 100556, 1-20.<\/li>\n<li><strong>Ruan, Xinfeng<\/strong>, and <strong>Jin E. Zhang<\/strong>, 2021, Ambiguity on Uncertainty and the Equity Premium, Finance Research Letters, 38, 101429, 1-8.<\/li>\n<li><strong>Gehricke, Sebastian A.<\/strong>, and <strong>Jin E. Zhang<\/strong>, 2021, Tracking Performance of VIX Futures ETPs, Journal of Empirical Finance, 61, 103-117.<\/li>\n<li><strong>Jia, Xiaolan<\/strong>, <strong>Xinfeng Ruan<\/strong>, and <strong>Jin E. Zhang<\/strong>, 2021, The Implied Volatility Smirk of Commodity Options, Journal of Futures Markets, 41(1), 72-104.<\/li>\n<\/ul>\n<h4><strong>2020<\/strong><\/h4>\n<ul>\n<li>Han, Xing, <strong>Xinfeng Ruan<\/strong>, and Yongxian Tan, 2020, Can the Relative Price Ratio of Gold to Platinum Predict the Chinese Stock Market? Pacific-Basin Finance Journal, 62, 101379.<\/li>\n<li>Cao, Jiling, <strong>Xinfeng Ruan<\/strong>, and Wenjun Zhang, 2020, Inferring Information from the S&amp;P 500, CBOE VIX and CBOE SKEW Indices, Journal of Futures Markets, 40(6), 945-973.<\/li>\n<li>Cao, Jiling, <strong>Xinfeng Ruan<\/strong>, Shu Su, and Wenjun Zhang, 2020, Pricing VIX Derivatives with Infinite-Activity Jumps, Journal of Futures Markets, 40(3), 329-354.<\/li>\n<li><strong>Ruan, Xinfeng<\/strong>, 2020, Volatility-of-Volatility and the Cross-Section of Option Returns, Journal of Financial Markets, 48, 100492.<\/li>\n<li><strong>Zhang, Jin E.<\/strong>, Eric C. Chang, and Huimin Zhao, 2020, Market Excess Returns, Variance and the Third Cumulant, International Review of Finance, 20(3), 605-637.<\/li>\n<li><strong>Gehricke, Sebastian A.<\/strong>, and <strong>Jin E. Zhang<\/strong>, 2020, Modeling VXX under Jump-Diffusion with Stochastic Long-Term Mean, Journal of Futures Markets, 40(10), 1508-1534.<\/li>\n<li><strong>Zhen, Fang<\/strong>, and <strong>Jin E. Zhang<\/strong>, 2020, Dissecting Skewness under Affine Jump-Diffusion, Studies in Nonlinear Dynamics and Econometrics, 24(4), 20180086, 1-19.<\/li>\n<li><strong>Ruan, Xinfeng<\/strong>, and <strong>Jin E. Zhang<\/strong>, 2020, Asset Pricing in a Pure Exchange Economy with Heterogeneous Investors, Mathematics and Financial Economics, 14(4), 605-634. Lead article.<\/li>\n<li><strong>Zhen, Fang<\/strong>, <strong>Xinfeng Ruan<\/strong>, and <strong>Jin E. Zhang<\/strong>, 2020, Left-Tail Risk in China, Pacific-Basin Finance Journal, 63, 101391, 1-11.<\/li>\n<li>Zhang, Wenjun, and <strong>Jin E. Zhang<\/strong>, 2020, GARCH Option Pricing Models and the Variance Risk Premium, Journal of Risk and Financial Management, 13(3), 51, 1-21<\/li>\n<li><strong>Gehricke, Sebastian A.<\/strong>, and <strong>Jin E. Zhang<\/strong>, 2020, The Implied Volatility Smirk in the VXX Options Market, Applied Economics, 52(8), 769-788. Lead article.<\/li>\n<\/ul>\n<h4><strong>2019<\/strong><\/h4>\n<ul>\n<li><strong>Li, Jianhui<\/strong>, <strong>Sebastian A. Gehricke<\/strong>, and <strong>Jin E. Zhang<\/strong>, 2019, How Do US Options Traders &#8220;Smirk&#8221; on China? Evidence from FXI Options, Journal of Futures Markets, 39(11), 1450-1470.<\/li>\n<li>Luo, Xingguo, <strong>Jin E. Zhang<\/strong>, and Wenjun Zhang, 2019, Instantaneous Squared VIX and VIX Derivatives, Journal of Futures Markets, 39(10), 1193-1213. Lead article.<\/li>\n<li><strong>Ruan, Xinfeng<\/strong>, and <strong>Jin E. Zhang<\/strong>, 2019, Moment Spreads in the Energy Market, Energy Economics, 81, 598-609.<\/li>\n<li><strong>Lin, Wei<\/strong>, Shenghong Li, Shane Chern, and <strong>Jin E. Zhang<\/strong>, 2019, Pricing VIX Derivatives with Free Stochastic Volatility Model, Review of Derivatives Research, 22(1), 41-75.<\/li>\n<\/ul>\n<h4><strong>2018<\/strong><\/h4>\n<ul>\n<li><strong>Ruan, Xinfeng<\/strong>, and <strong>Jin E. Zhang<\/strong>, 2018, Equilibrium Variance Risk Premium in a Cost-Free Production Economy, Journal of Economic Dynamics and Control, 96, 42-60.<\/li>\n<li><strong>Gehricke, Sebastian A.<\/strong>, and <strong>Jin E. Zhang<\/strong>, 2018, Modeling VXX, Journal of Futures Markets, 38(8), 758-776.<\/li>\n<li><strong>Ruan, Xinfeng<\/strong>, and <strong>Jin E. Zhang<\/strong>, 2018, Risk-Neutral Moments in the Crude Oil Market, Energy Economics, 72, 583-600.<\/li>\n<\/ul>\n","protected":false},"excerpt":{"rendered":"<p>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 [&hellip;]<\/p>\n","protected":false},"author":40870,"featured_media":0,"parent":0,"menu_order":0,"comment_status":"closed","ping_status":"closed","template":"","meta":{"footnotes":""},"class_list":["post-539","page","type-page","status-publish","hentry"],"_links":{"self":[{"href":"https:\/\/blogs.otago.ac.nz\/dqfg\/wp-json\/wp\/v2\/pages\/539","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/blogs.otago.ac.nz\/dqfg\/wp-json\/wp\/v2\/pages"}],"about":[{"href":"https:\/\/blogs.otago.ac.nz\/dqfg\/wp-json\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"https:\/\/blogs.otago.ac.nz\/dqfg\/wp-json\/wp\/v2\/users\/40870"}],"replies":[{"embeddable":true,"href":"https:\/\/blogs.otago.ac.nz\/dqfg\/wp-json\/wp\/v2\/comments?post=539"}],"version-history":[{"count":0,"href":"https:\/\/blogs.otago.ac.nz\/dqfg\/wp-json\/wp\/v2\/pages\/539\/revisions"}],"wp:attachment":[{"href":"https:\/\/blogs.otago.ac.nz\/dqfg\/wp-json\/wp\/v2\/media?parent=539"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}