Qi Xu

Zhejiang University - School of Economics and Academy of Financial Research

Yuquan Campus 38 Zheda Road

Hangzhou, Zhejiang 310027

China

SCHOLARLY PAPERS

4

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Top 37,152

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971

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0

Scholarly Papers (4)

1.

Uncovering the Benefit of High-Frequency Data in Portfolio Allocation

Number of pages: 49 Posted: 12 Mar 2014 Last Revised: 13 Oct 2015
Ingmar Nolte and Qi Xu
Lancaster University - Department of Accounting and Finance and Zhejiang University - School of Economics and Academy of Financial Research
Downloads 446 (42,900)

Abstract:

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high-frequency data, downside risk, asset allocation, realized moments, volatility forecasting

2.

The Economic Value of Volatility Timing with Realized Jumps

Number of pages: 49 Posted: 12 Mar 2014 Last Revised: 21 Aug 2015
Ingmar Nolte and Qi Xu
Lancaster University - Department of Accounting and Finance and Zhejiang University - School of Economics and Academy of Financial Research
Downloads 114 (158,793)

Abstract:

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high frequency data, jumps, asset allocation, volatility forecasting, realized volatility

3.

A Least Squares Regression Realized Covariation Estimation under MMS Noise and Non-Synchronous Trading

Number of pages: 42 Posted: 23 Jan 2013 Last Revised: 02 Sep 2017
Lancaster University - Department of Accounting and Finance, Bank of England, University of Aarhus - CREATES and Zhejiang University - School of Economics and Academy of Financial Research
Downloads 95 (188,499)

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Market Microstructure Noise, Realized Volatility, Realized Covariation, High Frequency Data, Subsampling, Market Microstructure, Asset Allocation

4.

Dissecting Volatility Risks in Currency Markets

Number of pages: 78 Posted: 05 Nov 2015
Lancaster University - Department of Accounting and Finance, Washington University in St. Louis - John M. Olin Business School and Zhejiang University - School of Economics and Academy of Financial Research
Downloads 0 (175,562)

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Foreign Exchange, Carry Trade, Momentum, Volatility, Jump-Diffusion,Short-Run Long-Run Volatility