Junyue Xu

University of California, Berkeley - Haas School of Business

545 Student Services Building, #1900

2220 Piedmont Avenue

Berkeley, CA 94720

United States

  • University of California, Berkeley - Haas School of Business

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

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1.

Modeling Seasonality in Commodity Price Dynamics

Number of pages: 43 Posted: 30 Sep 2014
Yanping Chong, Weixian Kong, Matthew Tochterman, Junyue Xu and Hangying Yu
Winona State University - Department of Economics, University of California, Berkeley - Haas School of Business, University of California, Berkeley - Haas School of Business, University of California, Berkeley - Haas School of Business and University of California, Berkeley - Haas School of Business
Downloads 332 (167,518)

Abstract:

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Commodity, natural gas, forward curve, HJM, Clewlow-Strickland, seasonality

2.

Modeling Exchange Rate Volatility Using Realized GARCH

Number of pages: 25 Posted: 03 Oct 2014
Junyue Xu, Shivesh Gupta, Heng Lu and Hangying Yu
University of California, Berkeley - Haas School of Business, University of California, Berkeley, University of California, Berkeley and University of California, Berkeley - Haas School of Business
Downloads 264 (212,529)
Citation 1

Abstract:

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Realized GARCH, GARCH, conditional heteroskedasticity, foreign exchange rate, carry trade