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Lai Xu
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Year
Tail risk premia and return predictability
T Bollerslev, V Todorov, L Xu
Journal of Financial Economics 118 (1), 113-134, 2015
4172015
Stock return predictability and variance risk premia: Statistical inference and international evidence
T Bollerslev, J Marrone, L Xu, H Zhou
Journal of Financial and Quantitative Analysis 49 (3), 633-661, 2014
3752014
Stock return and cash flow predictability: The role of volatility risk
T Bollerslev, L Xu, H Zhou
Journal of Econometrics 187 (2), 458-471, 2015
852015
Oil volatility risk
L Gao, S Hitzemann, I Shaliastovich, L Xu
Journal of Financial Economics 144 (2), 456-491, 2022
782022
The cross section of the monetary policy announcement premium
H Ai, LJ Han, XN Pan, L Xu
Journal of Financial Economics 143 (1), 247-276, 2022
552022
Information-driven volatility
H Ai, LJ Han, L Xu
Available at SSRN 3961096, 2022
162022
Loss uncertainty, gain uncertainty, and expected stock returns
B Feunou, R Lopez Aliouchkin, R Tédongap, L Xu
Roméo and Xu, Lai, Loss Uncertainty, Gain Uncertainty, and Expected Stock …, 2019
72019
Variance risk premiums in emerging markets: Global integration and economic uncertainty
F Qiao
SSRN, 2019
52019
The term structures of expected loss and gain uncertainty
B Feunou, RL Aliouchkin, R Tédongap, L Xu
Journal of Financial Econometrics 18 (3), 473-501, 2020
22020
Tail Risk and Equity Risk Premia
L Xu
22013
Supplementary Appendix to: Stock Return and Cash Flow Predictability: The Role of Volatility Risk
T Bollerslev, L Xu, H Zhou
2013
Online Appendix to The Cross Section of the Monetary Policy Announcement Premium
H Ai, LJ Han, XN Pan, L Xu
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Articles 1–12