Research

Research

Publications

  1. Xu, Wen, Pakorn Aschakulporn, and Jin E. Zhang, 2025, Modelling and Forecasting the CBOE VIX with TVP-HAR Model, Journal of Forecasting, (forthcoming).

  2. Lin, Wei, Pakorn Aschakulporn, Yifan Ye, and Jin E. Zhang, 2025, Skewness and Option Pricing under Shot-Noise Jump-Diffusion with Stochastic Volatility Model, European Journal of Finance, (forthcoming).

  3. Aschakulporn, Pakorn, and Jin E. Zhang, 2024, The Edgeworth and Gram-Charlier Densities, International Journal of Theoretical and Applied Finance, 27(5 & 6), 2450020, 1-50.

  4. Xu, Wen, Pakorn Aschakulporn, and Jin E. Zhang, 2024, Heterogeneous Volatility Information Content for the Realized GARCH modeling and Forecasting Volatility, Studies in Nonlinear Dynamics and Econometrics, (forthcoming).

  5. Li, Weihan, Jin E. Zhang, Xinfeng Ruan, and Pakorn Aschakulporn, 2024, An Empirical Study on the Early Exercise Premium of American Options: Evidence from OEX and XEO Options, Journal of Futures Markets, 44(7), 1117-1153.

  6. Aschakulporn, Pakorn, and Jin E. Zhang, 2022, Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators: A Gram-Charlier density approach, Review of Derivatives Research, 25(3), 233-281.

  7. Aschakulporn, Pakorn, and Jin E. Zhang, 2022, Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators: An affine jump-diffusion approach, Journal of Futures Markets 42(3), 365-388.

  8. Aschakulporn, Pakorn, and Jin E. Zhang, 2021, New Zealand Whole Milk Powder Options, Accounting and Finance 61(S1), 2201-2246.

Conferences

  1. International Business and Economy Conference 2025 (IBEC), 3 - 6 January 2025, Assumption University of Thailand, Bangkok, Thailand.
    • Ruan, Xinfeng, Pakorn Aschakulporn, and Jin E. Zhang, Towards a Theory of Skewness Trading
    • Presented by Xinfeng Ruan
  2. International Finance and Banking Society 2024 (IFABS), 20 - 22 December 2024, Shanghai University, Shanghai, China.
    • Ruan, Xinfeng, Pakorn Aschakulporn, and Jin E. Zhang, Towards a Theory of Skewness Trading
    • Presented by Xinfeng Ruan
  3. 2024 New Zealand Finance Meeting (NZFM), 5 - 7 December 2024, Auckland University of Technology, Auckland, New Zealand.
  4. 2024 New Zealand Finance Meeting (NZFM), 5 - 7 December 2024, Auckland University of Technology, Auckland, New Zealand.
  5. 2024 New Zealand Finance Meeting (NZFM), 5 - 7 December 2024, Auckland University of Technology, Auckland, New Zealand.
  6. 2023 New Zealand Finance Meeting (NZFM), 7 - 8 December 2023, Auckland University of Technology, Auckland, New Zealand.
  7. 2023 Derivative Markets Conference (DMC), 7 - 8 September, Auckland University of Technology, Auckland, New Zealand.
    • Li, Weihan, Jin E. Zhang, Xinfeng Ruan, and Pakorn Aschakulporn, An Empirical Study On The Early Exercise Premium Of American Options: Evidence From OEX And XEO Options
    • Presented by Weihan Li
  8. 6th Annual GRASFI Conference (Global Research Alliance for Sustainable Finance and Investment), 23 - 25 August 2023, Yale University, Connecticut, United States of America.
  9. 27th New Zealand Finance Colloquium (NZFC), 16 - 17 February 2023, Victoria University of Wellington, Wellington, New Zealand.
    • Aschakulporn, Pakorn, and Jin E. Zhang, The Edgeworth and Gram-Charlier Densities.
    • Presenter; Session Chair
  10. 2022 New Zealand Finance Meeting (NZFM), 8 - 9 December 2022, Auckland University of Technology, Auckland, New Zealand.
    • Struwig, Jasper, Pakorn Aschakulporn, and Jin E. Zhang, The Implied Volatility Smirk of Pharmaceutical Options during the COVID-19 Pandemic.
    • Presenter; Discussant; (Substitute) Session Chair
  11. 26th New Zealand Finance Colloquium (NZFC), 17 - 18 February 2022, University of Canterbury, Christchurch, New Zealand.
    • Aschakulporn, Pakorn, and Jin E. Zhang, Bakshi, Kapadia, and Madan (2003) Risk-Neutral Moment Estimators: A Gram-Charlier Density Approach.
    • Presenter
  12. Tenth International Conference on Futures and Other Derivatives (ICFOD), 10 - 12 December 2021, Guangxi University and Beihang University, Nanning, China.
    • Aschakulporn, Pakorn, and Jin E. Zhang, Bakshi, Kapadia, and Madan (2003) Risk-Neutral Moment Estimators: An Affine Jump-Diffusion Approach.
    • Presenter; Discussant; Session Chair
  13. Ninth International Conference on Futures and Other Derivatives (ICFOD), 4 - 5 December 2020, Fudan University and Beihang University, Nanning, China.
    • Aschakulporn, Pakorn, and Jin E. Zhang, Bakshi, Kapadia, and Madan (2003) Risk-Neutral Moment Estimators: A Gram-Charlier Density Approach.
    • Presenter; Discussant
  14. 2019 New Zealand Finance Meeting (NZFM), 18 - 20 December 2019, Auckland University of Technology, Auckland, New Zealand.
    • Aschakulporn, Pakorn, and Jin E. Zhang, Bakshi, Kapadia, and Madan (2003) Risk-Neutral Moment Estimators.
    • Presenter; Discussant
  15. 23rd New Zealand Finance Colloquium (NZFC), 13 - 15 February 2019, Lincoln University, Christchurch, New Zealand.
    • Aschakulporn, Pakorn, and Jin E. Zhang, New Zealand Whole Milk Powder Options.
    • Presenter

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