Qi Xu

Zhejiang University - School of Economics and Academy of Financial Research

Yuquan Campus 38 Zheda Road

Hangzhou, Zhejiang 310027

China

SCHOLARLY PAPERS

7

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Top 39,378

in Total Papers Downloads

1,269

SSRN CITATIONS

1

CROSSREF CITATIONS

2

Scholarly Papers (7)

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 589 (50,969)
Citation 1

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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 191 (177,024)
Citation 1

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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 180 (186,669)

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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 174 (192,293)
Citation 3

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

Prospect Theory and Currency Returns: Empirical Evidence

Number of pages: 70 Posted: 10 Jul 2020 Last Revised: 18 Sep 2020
Zhejiang University - School of Economics and Academy of Financial Research, University of Warwick - Warwick Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 110 (277,727)

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foreign exchange, currency returns, prospect theory, limits to arbitrage

Prospect Theory and Currency Returns: Empirical Evidence

CEPR Discussion Paper No. DP15306
Number of pages: 73 Posted: 22 Sep 2020
University of Warwick - Warwick Business School, Washington University in St. Louis - John M. Olin Business School and Zhejiang University - School of Economics and Academy of Financial Research
Downloads 1 (756,276)
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currency returns, foreign exchange, Limits to Arbitrage, prospect theory

6.

Unexpected Currency Volatility and Global Technological Innovation Activities

Number of pages: 78 Posted: 22 Apr 2020
National Tsing Hua University - Department of Quantitative Finance, Washington University in St. Louis - John M. Olin Business School, The University of Hong Kong - School of Economics and Finance and Zhejiang University - School of Economics and Academy of Financial Research
Downloads 24 (553,022)

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Foreign Exchange Volatility, Technological Innovation, Patents, R&D

7.

The Real Effects of Exchange Rate Risk on Corporate Investment: International Evidence

CEPR Discussion Paper No. DP15053
Number of pages: 68 Posted: 28 Jul 2020 Last Revised: 16 Aug 2020
Washington University in St. Louis - John M. Olin Business School, The University of Hong Kong - School of Economics and Finance and Zhejiang University - School of Economics and Academy of Financial Research
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corporate investment, Exchange rate, uncertainty