Research

Selected Publications

1. Option Profit and Loss Attribution and Pricing in the Chinese Options Market, with Zheqi Fan and Xiaolan Jia,  Pacific-Basin Finance Journal, 2025, 91, 102682. 

2. Modeling the implied volatility smirk in China: Do non-affine two-factor stochastic volatility models work? with Zheqi Fan and Yifan Ye, Journal of Futures Markets, 2025, 45(6), 612-636. 

3. Inferring jump dynamics from weekly options: A non-parametric method, with Junyu Zhang, Finance Research Letters, 2025, 76, 106965. 

4. Testing and Forecasting Price Jumps with Return Moments, with Jin E. Zhang and Fang Zhen, International Review of Finance, 2025, 25(1), e70002.

5. Smirking in the Energy Market: Evidence from the Chinese Crude Oil Options Market, with Lulu Li, Tian Yue, and Jin E. Zhang, International Review of Financial Analysis, 2024, 96, 103637.

6. An Empirical Study on the Early Exercise Premium of American Options: Evidence from OEX and XEO Options, with Pakorn Aschakulporn, Weihan Li,  and Jin E. Zhang, Journal of Futures Markets, 2024, 44(7), 1117-1153.

7. Comomentum in China: Inferring Arbitrage Activity from Return Correlation, with Jiexiang Huang and Tian Yue,  Pacific-Basin Finance Journal, 2024, 85, 102351.

8. Doing well while doing good: ESG ratings and corporate bond returns, with Sebastian Gehricke and Jin E. Zhang, Applied Economics, 2024, 56(16), 1916-1934.

9. Do short-term market swings improve realized volatility forecasts? with Jin E. Zhang and Junyu Zhang, Finance Research Letters, 2023, 58, 104629.

10. The Volatility Index and Volatility Risk Premium in China, with Sebastian Gehricke, Tian Yue, and Jin E. Zhang, Quarterly Review of Economics and Finance, 2023, 91, 40-55.

11. Carr and Wu's (2020) framework in the oil ETF option market, with Xiaolan Jia and Jin E. Zhang, Journal of Commodity Markets, 2023, 31, 100334.

12. Risk-Neutral Moments and Return Predictability: International Evidence, with Jin E. Zhang and Junyu Zhang, Journal of Forecasting, 2023, 42(5), 1086-1111. 

13. Term spreads of implied volatility smirk and variance risk premium, with Sebastian Gehricke, Wei Guo, and Jin E. Zhang, Journal of Futures Markets, 2023, 43(7), 829-857.

14. The COVID-19 risk in the cross-section of equity options, with Kanokrak Jitsawatpaiboon, Finance Research Letters, 2023, 53, 103684.

15. Does short-term momentum exist in China? with Tianjiao Li and Tian Yue, Pacific-Basin Finance Journal, 2023, 77, 101920.

16. VIX Option-Implied Volatility Slope and VIX Futures Returns, with Jungah Yoon and Jin E. Zhang, Journal of Futures Markets, 2022, 42(6), 1002-1038.

17. The Price of COVID-19-Induced Uncertainty in the Options Market, with Jianhui Li and Jin E. Zhang, Economics Letters, 2022, 211, 110265.

18. Corporate Governance and Firm-Level Jump and Volatility Risks, with Weihan Li and Haileslasie Tadele, Applied Economics, 2022, 54(22), 2529-2553.

19. The COVID-19 Risk in the Chinese Option Market, with Sebastian Gehricke, Jianhui Li, and Jin E. Zhang, International Review of Finance, 2022, 22(2), 346-355.

20. The Skewness Risk in the Energy Market, with Jungah Yoon and Jin E. Zhang,  Journal of Risk and Financial Management, 2021, 14(12), 620. 

21. National Air Pollution and the Cross-Section of Stock Returns in China, with Sebastian Gehricke, Samuel Kirk-Reeve, and Jin E. Zhang, Journal of Behavioral and Experimental Finance, 2021, 32, 100572.

22. Time-Varying Uncertainty and Variance Risk Premium, with Jin E. Zhang, Journal of Macroeconomics, 2021, 69, 103347. [Online Appendix]

23. Specification Analysis of VXX Option Pricing Models under Lévy Processes, with Jiling Cao, Shu Su, and Wenjun Zhang, Journal of Futures Markets, 2021, 41(9), 1456-1477.

24. Implied Volatility Smirk in the Australian Dollar Market, with Sebastian Gehricke, Connor Stuart, and Jin E. Zhang, Accounting and Finance, 2021, 61(3), 4573-4599. 

25. Dynamic Portfolio Choice and Information Trading with Recursive Utility, with Xingjiang Chen and Wenjun Zhang, Economic Modelling, 2021, 98, 154-167. 

26. The Implied Volatility Smirk in SPY options, with Sebastian Gehricke, Wei Guo, and  Jin E. Zhang, Applied Economics, 2021, 53(23), 2671-2692.

27. Choosing Factors for the Vietnamese Stock Market, with Nina Ryan,  Jin E. Zhang,  and Jing A. Zhang,  Journal of Risk and Financial Management, 2021, 14(3), 96.

28. The Economics of the Financial Market for Volatility Trading, with Jin E. Zhang, Journal of Financial Markets, 2021, 52, 100556.

29. Ambiguity on Uncertainty and the Equity Premium, with Jin E. Zhang, Finance Research Letters, 2021, 38, 101429.

30. The Implied Volatility Smirk of Commodity Options, with Xiaolan Jia and Jin E. Zhang, Journal of Futures Markets, 2021, 41(1), 72-104. 

31. Ambiguity, Long-Run Risks, and Asset Prices in Continuous Time,  International Review of Economics and Finance, 2021, 71, 115-126.

32. Left-tail risk in China, with Jin E. Zhang and Fang Zhen, Pacific-Basin Finance Journal, 2020, 63, 101391.

33. Can the Relative Price Ratio of Gold to Platinum Predict the Chinese Stock Market? with Xing Han and Yongxian Tan, Pacific-Basin Finance Journal, 2020, 62, 101379.

34. Asset Pricing in a Pure Exchange Economy with Heterogeneous Investors, with Jin E. Zhang, Mathematics and Financial Economics, 2020, 14(4), 605-634.

35. Inferring Information from the S&P 500, CBOE VIX and CBOE SKEW Indices, with Jiling Cao and Wenjun Zhang, Journal of Futures Markets, 2020, 40(6), 945-973.

36. Pricing VIX Derivatives with Infinite-Activity Jumps, with Jiling Cao, Shu Su, and Wenjun Zhang, Journal of Futures Markets, 2020, 40(3), 329-354.

37. Volatility-of-Volatility and the Cross-Section of Option Returns, Journal of Financial Markets, 2020, 48, 100492. [Internet Appendix]

38. Moment Spreads in the Energy Market, with Jin E. Zhang, Energy Economics, 2019, 81, 598–609.

39. Pricing Swaps on Discrete Realized Higher Moments under the Lévy Process, with Wenli Zhu, Computational Economics, 2019, 53, 507–532.

40. Equilibrium Variance Risk Premium in a Cost-free Production Economy, with Jin E. Zhang, Journal of Economic Dynamics and Control, 2018, 96, 42-60.

41. Risk-Neutral Moments in the Crude Oil Market, with Jin E. Zhang, Energy Economics, 2018, 72, 583-600.

42. Investor Attention and Market Microstructure, with Jin E. Zhang, Economics Letters, 2016, 149, 125-130.

43. Equilibrium Asset Pricing under the Lévy Process with Stochastic Volatility and Moment Risk Premiums, with Jiexiang Huang,  Jin E. Zhang, and Wenli Zhu, Economic Modelling, 2016, 54, 326-338.

Conference Presentations and Discussions

(P=presentation, D=discussion, C=Session Chair)

1. 14th Financial Engineering and Financial Risk Management Branch of the Chinese Operations Research Society Annual Conference (第十四届中国运筹学会金融工程与金融风险管理分会学术年会), 26-27 August 2025, Haining, China (P)

2. 7th Quantitative Finance and Insurance Branch of the Chinese Society of Optimization, Overall Planning and Economic Mathematics Annual Conference (第七届中国优选法统筹法与经济数学研究会量化金融与保险分会学术年会), 22-24 August 2025, Kunming, China (P)

3. 4th Quantitative Finance and Risk Management Forum (第四届量化金融与风险管理论坛), 1-3 August 2025, Yantai, China (P)

4. 37th Asian Finance Association (AsianFA) Annual Conference, 26-28 June 2025, Taiwan, China (P, D, C)

5. International Conference on Climate and Energy Finance (ICEF), 13-15 June 2025, Guangzhou, China (P)

6. International Business and Economy Conference (IBEC), 3-6 January 2025, Bangkok, Thailand (P)

7. International Finance and Banking Society (IFABS) Conference,  20-22 December 2024, Shanghai, China (P)

8. 6th Quantitative Finance and Insurance Branch of the Chinese Society of Optimization, Overall Planning and Economic Mathematics Annual Conference (第六届中国优选法统筹法与经济数学研究会量化金融与保险分会学术年会), 18-20 October 2024, Nanjing, China (P)

9. 23rd China Financial Engineering Annual Conference (第二十三届中国金融工程学年会), 20-22 September 2024, Chongqing, China (P, D)

10. 13th FMA Asia/Pacific Conference, 4 - 6 July 2024, Seoul, South Korea (P, D, C)

11. 36th Asian Finance Association (AsianFA) Annual Conference, 24-26 June 2024, Macau SAR, China  (P, D)

12. 10th China International Risk Forum and 17th China Finance Review International (CIRF&CFRI) Joint Conference, 14-16 June 2024, Nanjing, China (P)

13. International Conference on Climate and Energy Finance (ICEF), 31 May- 02 June 2024, Weihai, China (P)

14. Derivative Markets Conference (DMC), 8-9 September 2022, Auckland, New Zealand. (P, D)

15. International Conference on Futures and Other Derivatives (ICFOD) Online Conference, 4-5 December 2020. (D, C) 

16. Financial Markets and Corporate Governance (FMCG) Conference, 17-18 April 2019, Sydney, Australia. (P, D)

17. New Zealand Finance Meeting (NZFM), 17-19 December 2018, Queenstown, New Zealand. (P, D)

18. Derivative Markets Conference (DMC), 9-10 August 2018, Auckland, New Zealand. (P, D)

19. New Zealand Finance Colloquium (NZFC), 7-9 February 2018, Palmerston North, New Zealand. (P, D)

20. Auckland Finance Meeting (AFM), 18-20 December 2017, Queenstown, New Zealand. (P, D)

21. Auckland Finance Meeting (AFM), 16-18 December 2016, Auckland, New Zealand. (P, D)

22. New Zealand Finance Colloquium (NZFC), 11-12 February 2016, Queenstown, New Zealand. (P, D)

23. Auckland Finance Meeting (AFM), 17-19 December 2015, Auckland, New Zealand. (P, D)

24. International Symposium on Differential Equations and Stochastic Analysis in Mathematical Finance (ISDESAMF), 12-16 July 2014, Sanya, China. (P)