Browsing by Author "Zhao, Xin"

Now showing items 1-2 of 2

  • 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 ...

Xin Zhao has 4 co-authors in Research Commons.