Xingyi Li

School of Business and Law, University of Agder

PhD Research Fellow

Serviceboks 422

N-4604 Kristiansand, VEST AGDER 4604

Norway

SCHOLARLY PAPERS

4

DOWNLOADS

730

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

Forecasting Stock Volatility: The Gains from Using Intraday Data

Number of pages: 33 Posted: 04 Oct 2016 Last Revised: 02 Mar 2018
Xingyi Li and Valeriy Zakamulin
School of Business and Law, University of Agder and University of Agder - School of Business and Law
Downloads 329 (91,165)

Abstract:

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stock markets, volatility forecasting, intraday data, measures of realized daily volatility, forecast accuracy, out-of-sample forecasting, model comparison

2.

The Limits to Volatility Predictability: Quantifying Forecast Accuracy Across Horizons

Number of pages: 34 Posted: 31 Aug 2018
Valeriy Zakamulin and Xingyi Li
University of Agder - School of Business and Law and School of Business and Law, University of Agder
Downloads 171 (174,990)

Abstract:

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spot volatility, forward volatility, volatility forecasting, forecast accuracy, term structure, out-of-sample forecasting, model comparison, meta-analysis

3.

The Term Structure of Volatility Predictability

Number of pages: 37 Posted: 04 Apr 2019
Xingyi Li and Valeriy Zakamulin
School of Business and Law, University of Agder and University of Agder - School of Business and Law
Downloads 124 (227,556)

Abstract:

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spot volatility, forward volatility, volatility forecasting, high-frequency data, forecast accuracy, term structure, out-of-sample forecasting, model comparison, meta-analysis

4.

Stock Volatility Predictability in Bull and Bear Markets

Number of pages: 35 Posted: 08 May 2019
Xingyi Li and Valeriy Zakamulin
School of Business and Law, University of Agder and University of Agder - School of Business and Law
Downloads 106 (254,839)

Abstract:

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stock markets, volatility forecasting, state dependence, high-frequency data, meta-analysis