Xuan Xie

Commonwealth Bank of Australia

PhD

Sydney, NSW 2052

Australia

SCHOLARLY PAPERS

5

DOWNLOADS

621

SSRN CITATIONS

2

CROSSREF CITATIONS

2

Scholarly Papers (5)

1.

Betas and the Myth of Market Neutrality

Number of pages: 27 Posted: 20 Dec 2011 Last Revised: 14 Dec 2012
HEC Montreal - Department of Finance, UNSW Business School, University of New South Wales and Commonwealth Bank of Australia
Downloads 239 (181,960)
Citation 4

Abstract:

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realized beta, zero-beta portfolios, forecasting

2.

Forecasting Stock Return Volatility at the Quarterly Frequency: An Evaluation of Time Series Approaches

Number of pages: 25 Posted: 11 Nov 2010 Last Revised: 12 Feb 2011
Jonathan J. Reeves and Xuan Xie
UNSW Business School, University of New South Wales and Commonwealth Bank of Australia
Downloads 223 (194,466)

Abstract:

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high-frequency returns, financial risk management, realized volatility

3.

Targeting Market Neutrality

UNSW Business School Research Paper
Number of pages: 31 Posted: 20 Jan 2017 Last Revised: 10 Sep 2021
University of Auckland Business School, UNSW Business School, University of New South Wales, UNSW Australia Business School, School of Banking and Finance and Commonwealth Bank of Australia
Downloads 159 (261,772)

Abstract:

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Beta forecasting, portfolio optimization, short-horizon forecasting

4.

Optimal Modelling Frequency for Foreign Exchange Volatility Forecasting

Applied Financial Economics, Vol. 19, No. 14, 2009
Posted: 25 Aug 2010
UNSW Business School, University of New South Wales, University of Surrey - Surrey Business School and Commonwealth Bank of Australia

Abstract:

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High-frequency data, Realized volatility

5.

Forecasting Volatility in the Presence of Model Instability

Australian & New Zealand Journal of Statistics, Vol. 52, No. 2, pp. 221–237, 2010
Posted: 25 Aug 2010
UNSW Business School, University of New South Wales, McMaster University - Michael G. DeGroote School of Business and Commonwealth Bank of Australia

Abstract:

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high-frequency data, integrated volatility, realised volatility