Browsing by Author "Zhao, Xin"
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Cross-autocorrelation in the New Zealand stock market
Choi, Daniel F.S.; Zhao, Xin (Routledge, 2007)We examine the New Zealand stock market for evidence of cross-autocorrelation. We find some evidence of both Lo and MacKinlay's (1990) size effect and Chordia and Swaminathan's (2000) volume effect. Moreover, in the size ... -
Extreme value modelling for forecasting market crisis impacts
Zhao, Xin; Scarrott, Carl; Oxley, Les; Reale, Marco (Taylor and Francis, 2010)This article introduces a new approach for estimating Value at Risk (VaR), which is then used to show the likelihood of the impacts of the current financial crisis. A commonly used two-stage approach is taken, by combining ...
Co-authors for Xin Zhao
Xin Zhao has 4 co-authors in Research Commons.