Haibin Xie is currently an associate professor of School of Banking and Finance at the University of International Business and Economics in Beijing, China. His research interests include econometric modeling, financial risk management, technical analysis and financial market predictability, and financial market anomalies. He has published one book and more than 25 journal papers in the fields of empirical finance and time series forecasting. He obtained his Ph.D. in Management Science and Engineering at Academy of Mathematics and Systems Science, Chinese Academy of Sciences in 2012.
Range-based volatility forecasting: a multiplicative component conditional autoregressive range model
This paper proposes a multiplicative component CARR (MCCARR) model to capture the "long-memory" effect in volatility.
This paper proposes an extended conditional autoregressive range (EXCARR) model to describe the range-based volatility dynamics of financial assets.