Narrow search
Showing 1 - 10 of 71
Cover Image
VIX forecasting and variance risk premium : a new GARCH approach
Liu, Qiang; Guo, Shuxin; Qiao, Gaoxiu - In: The North American journal of economics and finance : a … 34 (2015), pp. 314-322
Persistent link: https://www.econbiz.de/10011540131
Cover Image
Improving and extending the Wu-Zhu static hedge
Guo, Shuxin; Liu, Qiang - In: The journal of derivatives : JOD 30 (2023) 3, pp. 26-41
Persistent link: https://www.econbiz.de/10014231121
Cover Image
Pricing kernel monotonicity and term structure : evidence from China
Jiao, Yuhan; Liu, Qiang; Guo, Shuxin - In: Journal of banking & finance 123 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10012662415
Cover Image
An excellent approximation for the m out of n day provision
Liu, Qiang; Guo, Shuxin - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-10
Persistent link: https://www.econbiz.de/10012663765
Cover Image
The 52-week high momentum strategy and economic policy uncertainty : evidence from China
Zhou, Xuemei; Liu, Qiang; Guo, Shuxin - In: Emerging markets, finance & trade : a journal of the … 58 (2022) 2, pp. 428-440
Persistent link: https://www.econbiz.de/10012802093
Cover Image
GARCH pricing and hedging of VIX options
Liu, Qiang; Jiao, Yuhan; Guo, Shuxin - In: The journal of futures markets 42 (2022) 6, pp. 1039-1066
Persistent link: https://www.econbiz.de/10013287915
Cover Image
Do overnight returns explain firm-specific investor sentiment in China?
Zhou, Xuemei; Liu, Qiang; Guo, Shuxin - In: International review of economics & finance : IREF 76 (2021), pp. 451-477
Persistent link: https://www.econbiz.de/10013175837
Cover Image
Variance-constrained canonical least-squares Monte Carlo: An accurate method for pricing American options
Liu, Qiang; Guo, Shuxin - In: The North American Journal of Economics and Finance 28 (2014) C, pp. 77-89
The pricing accuracy of the canonical least-squares Monte Carlo (CLM) method can be improved significantly by incorporating innovatively a variance constraint in the derivation of the canonical risk-neutral distribution. This new approach is called the variance-constrained CLM (vCLM) in the...
Persistent link: https://www.econbiz.de/10010777018
Cover Image
Do futures lead the index under stress? : evidence from the 2015 Chinese market turmoil and its aftermath
Guo, Shuxin - In: Review of quantitative finance and accounting 56 (2021) 1, pp. 91-110
Persistent link: https://www.econbiz.de/10012432629
Cover Image
Common analyst links and predictable returns : evidence from China
Yi, Biao; Guo, Shuxin - In: The North American journal of economics and finance : a … 63 (2022), pp. 1-21
Persistent link: https://www.econbiz.de/10014225812