• 120 Citations
  • 3 h-Index
20142015
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Fingerprint Dive into the research topics where Lai Xu is active. These topic labels come from the works of this person. Together they form a unique fingerprint.

  • 3 Similar Profiles
Stock Returns Mathematics
Predictability Mathematics
Volatility Mathematics
Dividend Mathematics
Long-run Mathematics
Forecast Mathematics
Horizon Mathematics
Leverage Effect Mathematics

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Research Output 2014 2015

  • 120 Citations
  • 3 h-Index
  • 2 Article
  • 1 Review article
6 Citations (Scopus)

Stock return and cash flow predictability: The role of volatility risk

Bollerslev, T., Xu, L. & Zhou, H., Aug 1 2015, In : Journal of Econometrics. 187, 2, p. 458-471 14 p.

Research output: Contribution to journalArticle

Stock Returns
Predictability
Volatility
Dividend
Long-run
48 Citations (Scopus)

Tail risk premia and return predictability

Bollerslev, T., Todorov, V. & Xu, L., Oct 1 2015, In : Journal of Financial Economics. 118, 1, p. 113-134 22 p.

Research output: Contribution to journalArticle

Risk premium
Risk-return
Tail risk
Return predictability
Risk premia
66 Citations (Scopus)

Stock return predictability and variance risk premia: Statistical inference and international evidence

Bollerslev, T., Marrone, J., Xu, L. & Zhou, H., Feb 26 2014, In : Journal of Financial and Quantitative Analysis. 49, 3, p. 633-661 29 p.

Research output: Contribution to journalReview article

Risk premium
Stock return predictability
Risk premia
Predictability
Statistical inference