A5027540591- Market Dynamics and Volatility
- Financial Markets and Investment Strategies
- Financial Risk and Volatility Modeling
- Monetary Policy and Economic Impact
- Insurance and Financial Risk Management
- Fiscal Policy and Economic Growth
- Global Financial Crisis and Policies
- Spatial and Panel Data Analysis
- Complex Systems and Time Series Analysis
- Forecasting Techniques and Applications
- Advanced Decision-Making Techniques
- Credit Risk and Financial Regulations
- Banking stability, regulation, efficiency
- Analysis of environmental and stochastic processes
Hunan University
2010-2024
Hunan University of Finance and Economics
2015-2021
Xiamen University
2015
Abstract Using a difference‐in‐difference approach, we find that restrictions placed on the CSI 300 and 500 index futures trading during recent Chinese stock market crisis deteriorated spot quality, particularly September trade restrictions. Our results can be explained by sudden risk exposure faced alpha‐strategy traders who stop spots after are introduced, thus worsening quality. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:411–428, 2017
Sovereign credit default swap (CDS) spreads exhibit strong co-movements across Asian countries and regions, including both emerging developed economies. After controlling for global impacts, we examine the regional lead-lag relationships among changes in ten sovereign CDS spreads. We use pairwise Granger causality test to find that lagged Kazakhstan’s significantly predict other By estimating news-diffusion model, evidence this predictive relationship may be explained by information...
Abstract This paper examines the contemporaneous and lead–lag relationships between economic variables implied volatility smiles for three major European currency options. We find that cross determinants are at least as important own in explaining dynamics of smiles. Out‐of‐sample tests also suggest predicting an economy's option smile. These findings price impact from may help fill gap theoretical practical skews.
Using a difference-in-difference approach, we find that restrictions placed on CSI 300 and 500 index futures trading during the recent Chinese stock market crisis deteriorated spot quality. This is more so for September trade restriction. Our results can be explained by sudden risk exposure faced alpha-strategy traders. They stop spots after restrictions, hence worsening
We show that tail risk aversion, proxied by the skewness premium implied from SSE 50 ETF options market, explains a significant proportion of unusually deep backwardation index futures during 2015 Chinese stock market crash, while traditional factors such as non-synchronous trading, spot return, volatility and liquidity, all fail to explain backwardation. These empirical results imply investors' concern over crash causes speculators charge high 'insurance premium' on hedgers. On other hand,...
We propose a dynamic skewed copula to model multivariate dependence in asset returns flexible yet parsimonious way. then apply the 50 exchange traded funds. The new is shown have better in-sample and out-of-sample performance than existing copulas. In particular, able capture increasing patterns during fixnancial crisis periods. It crucial for investors take structure into account when modeling high dimensional returns.