Xiao Qiao

Xiao Qiao is an assistant professor in the School of Data Science at the City University of Hong Kong and a member of the Hong Kong Institute for Data Science. He is on the editorial board of the Journal of Portfolio Management and his research has been featured in Forbes and Institutional Investor. Prior to CityU, Xiao worked in the investment management industry where he participated in the creation of award-winning investment products. Xiao received a B.S. in Economics from the Wharton School and a B.S. in Engineering from the School of Engineering and Applied Sciences at the University of Pennsylvania. He received a PhD in Finance from the University of Chicago, where he was Nobel laureate Eugene Fama’s teaching assistant.

Articles by Xiao Qiao

Original research

Correlated idiosyncratic volatility shocks

To capture the commonality in idiosyncratic volatility, the authors propose a novel multivariate generalized autoregressive conditional heteroscedasticity (GARCH) model called dynamic factor correlation (DFC).

27 Jul 2021

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Alternatively you can request an individual account here