Xiao Qin

Shanghai Jiao Tong University (SJTU)

Antai College of Economics and Management

Shanghai Jiao Tong University

Shanghai, Shanghai 200030

China

SCHOLARLY PAPERS

10

DOWNLOADS

0

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (10)

1.

Capital Account Openness and Early Warning System for Banking Crises in G20 Countries

Economic Modelling, Vol. 39, No. 190-194, 2014
Posted: 25 Sep 2022
Xiao Qin and Chengying Luo
Shanghai Jiao Tong University (SJTU) and Independent

Abstract:

Loading...

Banking crises; Capital account openness; Early warning system; Systemic risk; Panel logit regression

2.

Asymmetric Ambiguity Spillover Among International Equity Markets

Applied Economics Letters, 2022
Posted: 25 Sep 2022
Xiao Qin and Yuwen Wang
Shanghai Jiao Tong University (SJTU) and Shanghai Jiao Tong University (SJTU)

Abstract:

Loading...

Ambiguity; risk; spillover; asymmetry; high-frequency data

3.

Estimating Multi-Period Value at Risk of Oil Futures Prices

Applied Economics, Vol. 48, No.32, 2016
Posted: 25 Sep 2022
Shanghai Jiao Tong University (SJTU), Shanghai Jiao Tong University (SJTU), affiliation not provided to SSRN and Nanchang University - Queen Mary School

Abstract:

Loading...

Value at Risk; multiple period; oil futures; prediction; higher moments

4.

Revisiting Asymmetric Price Transmission in the US Oil-Gasoline Markets: A Multiple Threshold Error-Correction Analysis

Economic Modelling, Vol. 52, No. 583-591, 2016
Posted: 25 Sep 2022
Xiao Qin, Chunyang Zhou and Chongfeng Wu
Shanghai Jiao Tong University (SJTU), Shanghai Jiao Tong University (SJTU) and Shanghai Jiao Tong University (SJTU) - Aetna School of Management

Abstract:

Loading...

Asymmetry; Multiple threshold; Error-correction; Oil; Gasoline

5.

Time-Varying Asymmetric Tail Dependence of International Equities Markets

Pacific-Basin Finance Journal, Vol. 68, No. 101589, 2021
Posted: 24 Sep 2022
Chunyang Zhou and Xiao Qin
Shanghai Jiao Tong University (SJTU) and Shanghai Jiao Tong University (SJTU)

Abstract:

Loading...

Time-varying asymmetric tail dependence; Skewed t copula; Emerging markets

6.

Oil Shocks and Financial Systemic Stress: International Evidence

Energy Economics, Vol. 92, No. 104945, 2020
Posted: 24 Sep 2022
Xiao Qin
Shanghai Jiao Tong University (SJTU)

Abstract:

Loading...

Oil structural shocks; Financial systemic stress; CISS; Structural VAR; Spillover

7.

Financial Structure and Determinants of Systemic Risk Contribution

Pacific-Basin Finance Journal, Vol. 57, No. 101083, 2019
Posted: 24 Sep 2022
Xiao Qin and Chunyang Zhou
Shanghai Jiao Tong University (SJTU) and Shanghai Jiao Tong University (SJTU)

Abstract:

Loading...

Financial structure; Bank-based system; Market-based system; Systemic risk contribution; Multivariate Extreme Value Theory

8.

Systemic Risk Allocation Using the Asymptotic Marginal Expected Shortfall

Journal of Banking and Finance, Vol. 126, No. 106099, 2021
Posted: 06 Sep 2022 Last Revised: 21 Sep 2022
Xiao Qin and Chen Zhou
Shanghai Jiao Tong University (SJTU) and De Nederlandsche Bank

Abstract:

Loading...

Asymptotic marginal expected shortfall; Systemically important financial institutions; Multivariate extreme value theory

9.

Mutual Risk Sharing and Fintech: The Case of Xiang Hu Bao

Posted: 18 Feb 2021 Last Revised: 21 Sep 2022
University of Pennsylvania - Department of Economics, Shanghai Jiao Tong University (SJTU), Shanghai Jiao Tong University - Antai College of Economics & Management and University of Cincinnati - Department of Finance - Real Estate

Abstract:

Loading...

Risk sharing; FinTech; Separating equilibrium; Mutual aid; Critical illness risk

10.

Systemic Risk Allocation for Systems with a Small Number of Banks

De Nederlandsche Bank Working Paper No. 378
Posted: 23 May 2013 Last Revised: 21 Sep 2022
Xiao Qin and Chen Zhou
Shanghai Jiao Tong University (SJTU) and De Nederlandsche Bank

Abstract:

Loading...

Systemic risk allocation, marginal expected shortfall, systemically important financial institutions, extreme value theory