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Factor high-frequency-based volatility (HEAVY) models

Sheppard, Kevin; Xu, Wen - In: Journal of financial econometrics 17 (2019) 1, pp. 33-65

Persistent link: https://www.econbiz.de/10012054425

Testing for time-varying factor loadings in high-dimensional factor models

Xu, Wen - In: Econometric reviews 41 (2022) 8, pp. 918-965

Persistent link: https://www.econbiz.de/10013364920

Prediction of extremal expectile based on regression models with heteroscedastic extremes

Xu, Wen; Hou, Yanxi; Li, Deyuan - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 522-536

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A factor-based estimation of integrated covariance matrix with noisy high-frequency data

Sun, Yucheng; Xu, Wen - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 770-784

Persistent link: https://www.econbiz.de/10013534498

Identifying latent factors based on high-frequency data

Sun, Yucheng; Xu, Wen; Zhang, Chuanhai - In: Journal of econometrics 233 (2023) 1, pp. 251-270

Persistent link: https://www.econbiz.de/10014341048

Tourism, economic growth, and tourism-induced EKC hypothesis : evidence from the Mediterranean region

Gao, Jing; Xu, Wen; Zhang, Lei - In: Empirical economics : a quarterly journal of the … 60 (2021) 3, pp. 1507-1529

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Integrated optimisation of consolidation and stowage planning of steel coil ships using differential evolution

Dong, Yun; Zhao, Ren; Xu, Wen; Yang, Miao; Wei, Jiang - In: International journal of production research 59 (2021) 4, pp. 1239-1257

Persistent link: https://www.econbiz.de/10012484676

Volatility forecasting using intraday information with the CARR models for the China stock markets

Wu, Chun-Chou; Xu, Wen - In: Asia-Pacific journal of accounting & economics : … 30 (2023) 4, pp. 912-929

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The effect of gambling culture on initial public offering underpricing

Xu, Wen; Zhang, Linlang; Chan, Kam C. - In: Finance research letters 67 (2024) 2, pp. 1-6

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Optimal combinations of realised volatility estimators

Patton, Andrew J.; Sheppard, Kevin - In: International Journal of Forecasting 25 (2009) 2, pp. 218-238

Recent advances in financial econometrics have led to the development of new estimators of asset price variability using frequently-sampled price data, known as "realised volatility estimators" or simply "realised measures". These estimators rely on a variety of different assumptions and take...

Persistent link: https://www.econbiz.de/10005429422