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Time-varying risk preference and equity risk premium forecasting : the role of the disposition effect
Qiao, Kenan; Xie, Haibin - In: Journal of forecasting 43 (2024) 7, pp. 2659-2674
Persistent link: https://www.econbiz.de/10015110534
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The overnight return puzzle and the "T+1" trading rule in Chinese stock markets
Qiao, Kenan; Dam, Lammertjan - In: Journal of financial markets 50 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012703808
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Market inefficiencies associated with pricing oil stocks during shocks
Qiao, Kenan; Sun, Yuying; Wang, Shouyang - In: Energy economics 81 (2019), pp. 661-671
Persistent link: https://www.econbiz.de/10012172892
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Uncertainty shocks of Trump election in an interval model of stock market
Sun, Yuying; Qiao, Kenan; Wang, Shouyang - In: Quantitative finance 21 (2021) 5, pp. 865-879
Persistent link: https://www.econbiz.de/10012500201
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Range-based volatility forecasting : a multiplicative component conditional autoregressive range model
Xie, Haibin - In: Journal of risk 22 (2019/2020) 5, pp. 43-65
Persistent link: https://www.econbiz.de/10012421687
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Financial volatility modeling: The feedback asymmetric conditional autoregressive range model
Xie, Haibin - In: Journal of Forecasting 38 (2018) 1, pp. 11-28
Persistent link: https://www.econbiz.de/10012082009
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Risk-return trade-off, information diffusion, and U.S. stock market predictability
Xie, Haibin; Wang, Shouyang - In: International journal of financial engineering 2 (2015) 4, pp. 1-20
Persistent link: https://www.econbiz.de/10011493115
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A conditional autoregressive range model with gamma distribution for financial volatility modelling
Xie, Haibin; Wu, Xinyu - In: Economic modelling 64 (2017), pp. 349-356
Persistent link: https://www.econbiz.de/10011761274
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A new variant of RealGARCH for volatility modeling
Xie, Haibin; Qi, Nan; Wang, Shouyang - In: Finance research letters 28 (2019), pp. 438-443
Persistent link: https://www.econbiz.de/10012388363
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Realized GARCH models : simpler is better
Xie, Haibin; Yu, Chengtan - In: Finance research letters 33 (2020), pp. 1-6
Persistent link: https://www.econbiz.de/10012430955