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A conditional autoregressive range model with gamma distribution for financial volatility modelling
Xie, Haibin; Wu, Xinyu - In: Economic modelling 64 (2017), pp. 349-356
Persistent link: https://www.econbiz.de/10011761274
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A realized EGARCH-MIDAS model with higher moments
Wu, Xinyu; Xie, Haibin - In: Finance research letters 38 (2021), pp. 1-11
Persistent link: https://www.econbiz.de/10012485028
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Forecasting VaR using realized EGARCH model with skewness and kurtosis
Wu, Xinyu; Xia, Michelle; Zhang, Huanming - In: Finance research letters 32 (2020), pp. 1-7
Persistent link: https://www.econbiz.de/10012430736
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Forecasting volatility using realized stochastic volatility model with time-varying leverage effect
Wu, Xinyu; Wang, Xiaona - In: Finance research letters 34 (2020), pp. 1-7
Persistent link: https://www.econbiz.de/10012436997
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A real-rime GARCH-MIDAS model
Wu, Xinyu; Zhao, An; Cheng, Tengfei - In: Finance research letters 56 (2023), pp. 1-9
Persistent link: https://www.econbiz.de/10014473667