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.