Xiaojing Song

Lecturer of Accounting & Finance

Lecturer of Accounting & Finance

Norwich

NR4 7TJ

United Kingdom

SCHOLARLY PAPERS

4

DOWNLOADS

289

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (4)

1.

Negative Real Interest Rates

Number of pages: 40 Posted: 07 Dec 2014 Last Revised: 17 May 2017
Jing Chen, Diandian Ma, Xiaojing Song and Mark J. Tippett
Cardiff University - School of Mathematics, University of Auckland Business School, Lecturer of Accounting & Finance and Loughborough University - Business School
Downloads 127 (418,076)

Abstract:

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Fokker-Planck equation, General equilibrium, Mean reversion, Real interest rate

2.

The Feller Diffusion, Filter Rules and Abnormal Stock Returns

European Journal of Finance (Forthcoming)
Number of pages: 26 Posted: 17 Mar 2017 Last Revised: 29 Jul 2019
The Brattle Group, University of Edinburgh Business School, Lecturer of Accounting & Finance and Loughborough University - Business School
Downloads 109 (468,779)

Abstract:

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Feller Diffusion, Fokker-Planck Equation, Geometric Brownian Motion, Logarithmic Return

3.

Subtle Is the Lord, but Malicious He Is Not: The Calculation of Abnormal Stock Returns in Applied Research

Number of pages: 48 Posted: 13 Nov 2018
Adrian Melia, Xiaojing Song and Mark J. Tippett
University of Newcastle (Australia), Lecturer of Accounting & Finance and Loughborough University - Business School
Downloads 53 (707,451)

Abstract:

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Abnormal Return; Feller Diffusion; Geometric Brownian Motion; Logarithmic Return

4.

Accumulated (Integrated) Interest and the Square Root Process

Accounting Research Journal, 32(4), 678-691. doi:10.1108/arj-09-2017-0152, The University of Auckland Business School Research Paper Series
Posted: 26 Jan 2022
University of Auckland Business School, Lecturer of Accounting & Finance, Loughborough University - Business School and Victoria University of Wellington - Te Herenga Waka

Abstract:

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Interest rate, Feller diffusion, Square root process, Uhlenbeck and Ornstein (O-U) process