Guanglian Hu

Publications

Expected and Realized Returns on Volatility [with Kris Jacobs], Accepted,  Journal of Financial and Quantitative Analysis

Risk Premiums in the U.S. Treasury Futures [with Xin Gao, Bingxin Li, and Rui Liu], Accepted, Journal of Banking and Finance

The Pricing of Volatility and Jump Risks in the Cross-Section of Index Option Returns [with Yuguo Liu] , Journal of Financial and Quantitative Analysis, 2022, 57(6), pp. 2385-2411.

• ASX Prize for Best Paper on Derivatives & Quantitative Finance, 32nd Australasian Finance & Banking Conference

• Semi-finalist for Best Paper in Derivatives & Options, 2019 FMA

• Best Paper Award, 2019 Derivative Markets Conference

• JFQA High Impact Articles: Most read since 2022

Characterizing the Variance Risk Premium: The Role of the Leverage Effect [with Kris Jacobs and Sang Byung Seo], Review of Asset Pricing Studies, 2022, 12(2), pp. 500-542. 

Volatility and Expected Option Returns [with Kris Jacobs] , Journal of Financial and Quantitative Analysis, 2020, 55(3), pp. 1025-1060.

Working Papers

The Term Structure of Index Option Returns [with Yu Li and Xiaoyang Zhuo ] 

Information Risk and the Cross-Section of Equity Option Returns [with Bei Chen and Runfeng Yang] 

Estimating the Intertemporal Risk Return Relation Using Option Implied Expected Returns [with Hamish Malloch] 

Do Common Measures of Stock Market Volatility Risks Have the Same Price?

Short Term VIX Futures [with Rui Liu]