SCHOLARLY PAPERS

7

DOWNLOADS

687

SSRN CITATIONS

2

CROSSREF CITATIONS

8

Scholarly Papers (7)

1.

FARVaR: Functional Autoregressive Value-at-Risk

Journal of Financial Econometrics, forthcoming
Number of pages: 81 Posted: 23 Mar 2014 Last Revised: 05 Mar 2019
University of Liverpool Management School, University of Liverpool - Accounting and Finance Division, University of York (UK) - Department of Economics and Related Studies and Independent
Downloads 169 (221,688)

Abstract:

Loading...

density forecasts; financial risk management; functional autoregressive model

2.

Forecasting Using High-Frequency Data: A Comparison of Asymmetric Financial Duration Models

Journal of Forecasting, Vol. 28, No. 5, pp. 371–386, August 2009
Number of pages: 35 Posted: 06 Oct 2010
Independent, University of Leeds - Division of Accounting and Finance and University of Liverpool Management School
Downloads 162 (229,731)

Abstract:

Loading...

Autoregressive Duration Model (ACD), forecasting, high-frequency data, market microstructure

3.

Are Market-Based Rankings of Global Systemically Important Financial Institutions Useful for Regulators?

Journal of Money, Credit, and Banking, Forthcoming
Number of pages: 56 Posted: 11 Aug 2013 Last Revised: 05 Oct 2015
Independent, Durham University, University of Leeds - Division of Accounting and Finance and University of Liverpool Management School
Downloads 132 (270,931)
Citation 2

Abstract:

Loading...

systemic risk, systemically important financial institutions, regulation, bank bailouts

4.

Market Reaction to Earnings News: A Unified Test of Information Risk and Transaction Costs

Journal of Accounting and Economics 56 (2013) 251–266
Number of pages: 41 Posted: 12 Aug 2013 Last Revised: 08 Jan 2014
Independent, University of Liverpool Management School and University of Leeds - Division of Accounting and Finance
Downloads 126 (280,552)
Citation 1

Abstract:

Loading...

information risk, transaction costs, price discovery, earnings announcements

5.

International Stock Market Leadership and its Determinants

Number of pages: 42 Posted: 13 Oct 2015
University of Liverpool Management School, Stockholm Business SchoolStockholm Business School and Independent
Downloads 58 (448,956)

Abstract:

Loading...

Causality, price leadership, financial crisis, causality factors

6.

Capital Account Reform and Short- and Long-Run Stock Price Leadership

European Journal of Finance, Forthcoming
Number of pages: 45 Posted: 06 Oct 2015 Last Revised: 12 Oct 2015
University of Liverpool Management School, Independent and Independent
Downloads 40 (524,212)

Abstract:

Loading...

Capital account liberalization, A- and H- share cross listings, short- and long-run price leadership

7.

High‐Frequency Exchange Rate Forecasting

European Financial Management, Vol. 22, Issue 1, pp. 120-141, 2016
Number of pages: 22 Posted: 21 Jan 2016
Xiaowu Cai and Qi Zhang
University of Leeds - Division of Accounting and Finance and Independent
Downloads 0 (810,595)
Citation 1
  • Add to Cart

Abstract:

Loading...

foreign exchange, high‐frequency data, forecasting, duration model