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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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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
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Accelerating FHS option pricing under linear GARCH
Xie, Haibin; Wu, Xinyu; Fan, Pengying - In: Computational economics 58 (2021) 2, pp. 395-411
Persistent link: https://www.econbiz.de/10012615025
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A realized EGARCH-MIDAS model with higher moments
Wu, Xinyu; Xie, Haibin - In: Finance research letters 38 (2021), pp. 1-11
Persistent link: https://www.econbiz.de/10012485028
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Time-varying risk aversion and renminbi exchange rate volatility : evidence from CARR-MIDAS model
Wu, Xinyu; Xie, Haibin; Zhang, Huanming - In: The North American journal of economics and finance : a … 61 (2022), pp. 1-15
Persistent link: https://www.econbiz.de/10013449372
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Forecasting VIX with time-varying risk aversion
Wu, Xinyu; He, Qizhi; Xie, Haibin - In: International review of economics & finance : IREF 88 (2023), pp. 458-475
Persistent link: https://www.econbiz.de/10014475366