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Accelerating FHS option pricing under linear GARCH

Xie, Haibin; Wu, Xinyu; Fan, Pengying - In: Computational economics 58 (2021) 2, pp. 395-411

Persistent link: https://www.econbiz.de/10012615025

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

Probability weighting functions obtained from Hong Kong index option market

Wu, Xinyu; Xie, Haibin; Li, Xindan - In: Economic research 32 (2019) 1,2, pp. 1922-1943

Persistent link: https://www.econbiz.de/10012435281

Time-varying risk aversion and renminbi exchange rate volatility : evidence from CARR-MIDAS model

Wu, Xinyu; Xie, Haibin; Zhang, Huanming - In: The North American journal of economics and finance : a … 61 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10013449372

Forecasting VIX with time-varying risk aversion

Wu, Xinyu; He, Qizhi; Xie, Haibin - In: International review of economics & finance : IREF 88 (2023), pp. 458-475

Persistent link: https://www.econbiz.de/10014475366

Range-based volatility forecasting : a multiplicative component conditional autoregressive range model

Xie, Haibin - In: Journal of risk 22 (2019/2020) 5, pp. 43-65

Persistent link: https://www.econbiz.de/10012421687

Risk-return trade-off, information diffusion, and U.S. stock market predictability

Xie, Haibin; Wang, Shouyang - In: International journal of financial engineering 2 (2015) 4, pp. 1-20

Persistent link: https://www.econbiz.de/10011493115

A new variant of RealGARCH for volatility modeling

Xie, Haibin; Qi, Nan; Wang, Shouyang - In: Finance research letters 28 (2019), pp. 438-443

Persistent link: https://www.econbiz.de/10012388363

Is Halloween effect a new puzzle? : evidence from price gap

Xie, Haibin; Qin, Qilin; Wang, Shouyang - In: Review of economics & finance 6 (2016) 4, pp. 19-31

Persistent link: https://www.econbiz.de/10011577022

Timing the market : the economic value of price extremes

Xie, Haibin; Wang, Shouyang - In: Financial innovation : FIN 4 (2018) 30, pp. 1-24

By decomposing asset returns into potential maximum gain (PMG) and potential maximum loss (PML) with price extremes, this study empirically investigated the relationships between PMG and PML. We found significant asymmetry between PMG and PML. PML significantly contributed to forecasting PMG but...

Persistent link: https://www.econbiz.de/10011972589