Yahua Xu

Personal Details

First Name:	Yahua
Middle Name:
Last Name:	Xu
Suffix:
RePEc Short-ID:	pxu155
	[This author has chosen not to make the email address public]

Affiliation

China Economics and Management Academy
Central University of Finance and Economics (CUFE)

Beijing, China
http://cema.cufe.edu.cn/
RePEc:edi:emcufcn (more details at EDIRC)

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Articles

1. José Da Fonseca & Yahua Xu, 2019. "Variance and skew risk premiums for the volatility market: The VIX evidence," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(3), pages 302-321, March.

   Cited by:

   1. Chao Liang & Yin Liao & Feng Ma & Bo Zhu, 2022. "United States Oil Fund volatility prediction: the roles of leverage effect and jumps," Empirical Economics, Springer, vol. 62(5), pages 2239-2262, May.
   2. José Da Fonseca & Edem Dawui, 2021. "Semivariance and semiskew risk premiums in currency markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(3), pages 290-324, March.
   3. Dai, Xingyu & Xiao, Ling & Wang, Qunwei & Dhesi, Gurjeet, 2021. "Multiscale interplay of higher-order moments between the carbon and energy markets during Phase III of the EU ETS," Energy Policy, Elsevier, vol. 156(C).
   4. Niu, Zibo & Ma, Feng & Zhang, Hongwei, 2022. "The role of uncertainty measures in volatility forecasting of the crude oil futures market before and during the COVID-19 pandemic," Energy Economics, Elsevier, vol. 112(C).

2. Da Fonseca, José & Xu, Yahua, 2017. "Higher moment risk premiums for the crude oil market: A downside and upside conditional decomposition," Energy Economics, Elsevier, vol. 67(C), pages 410-422.

   Cited by:

   1. Da Fonseca, José & Ignatieva, Katja, 2019. "Jump activity analysis for affine jump-diffusion models: Evidence from the commodity market," Journal of Banking & Finance, Elsevier, vol. 99(C), pages 45-62.
   2. Zhang, Xinxin & Bouri, Elie & Xu, Yahua & Zhang, Gongqiu, 2022. "The asymmetric relationship between returns and implied higher moments: Evidence from the crude oil market," Energy Economics, Elsevier, vol. 109(C).
   3. Zhang, Zhengyong & Shahzad, Syed Jawad Hussain & Bouri, Elie, 2022. "Tail risk transmission from commodity prices to sovereign risk of emerging economies," Resources Policy, Elsevier, vol. 78(C).
   4. Ruan, Xinfeng & Zhang, Jin E., 2019. "Moment spreads in the energy market," Energy Economics, Elsevier, vol. 81(C), pages 598-609.
   5. Jia, Xiaolan & Ruan, Xinfeng & Zhang, Jin E., 2023. "Carr and Wu’s (2020) framework in the oil ETF option market," Journal of Commodity Markets, Elsevier, vol. 31(C).
   6. Wong, Patrick, 2023. "Explaining intraday crude oil returns with higher order risk-neutral moments," Journal of Commodity Markets, Elsevier, vol. 31(C).
   7. Ruan, Xinfeng & Zhang, Jin E., 2018. "Risk-neutral moments in the crude oil market," Energy Economics, Elsevier, vol. 72(C), pages 583-600.
   8. Xiaolan Jia & Xinfeng Ruan & Jin E. Zhang, 2021. "The implied volatility smirk of commodity options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(1), pages 72-104, January.

More information

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Statistics

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Co-authorship network on CollEc

Corrections

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