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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1,100

SSRN CITATIONS

0

CROSSREF CITATIONS

2

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 580 (46,293)
Citation 1

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 185 (164,474)

Abstract:

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

3.

A Least Squares Regression Realized Covariation Estimation

Number of pages: 87 Posted: 23 Jan 2013 Last Revised: 03 Oct 2019
Lancaster University - Department of Accounting and Finance, Norges Bank Investment Management (NBIM), Aarhus University - CREATES and Zhejiang University - School of Economics and Academy of Financial Research
Downloads 170 (177,372)

Abstract:

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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 165 (181,954)
Citation 3

Abstract:

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