Details about Xiaochun Liu
Access statistics for papers by Xiaochun Liu.
Last updated 2024-08-21. Update your information in the RePEc Author Service.
Short-id: pli1583
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Working Papers
2020
- Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary
Papers, arXiv.org View citations (3)
Also in Hohenheim Discussion Papers in Business, Economics and Social Sciences, University of Hohenheim, Faculty of Business, Economics and Social Sciences (2020) View citations (3)
2015
- Foreign exchange predictability during the financial crisis: implications for carry trade profitability
FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta
2013
- Markov-Switching Quantile Autoregression
MPRA Paper, University Library of Munich, Germany
See also Journal Article Markov switching quantile autoregression, Statistica Neerlandica, Netherlands Society for Statistics and Operations Research (2016) View citations (6) (2016)
- Systemic Risk of Commercial Banks: A Markov-Switching Quantile Autoregression Approach
MPRA Paper, University Library of Munich, Germany
2011
- Modeling the time-varying skewness via decomposition for out-of-sample forecast
MPRA Paper, University Library of Munich, Germany
See also Journal Article Modeling time-varying skewness via decomposition for out-of-sample forecast, International Journal of Forecasting, Elsevier (2015) View citations (6) (2015)
- The Dynamic International Optimal Hedge Ratio
MPRA Paper, University Library of Munich, Germany
Journal Articles
2024
- Are exchange rates absorbers of global oil shocks? A generalized structural analysis
Journal of International Money and Finance, 2024, 146, (C)
2023
- Structural sources of oil market volatility and correlation dynamics
Energy Economics, 2023, 121, (C) View citations (4)
2021
- On fiscal and monetary policy-induced macroeconomic volatility dynamics
Journal of Economic Dynamics and Control, 2021, 127, (C) View citations (2)
2020
- Forecasting short-run exchange rate volatility with monetary fundamentals: A GARCH-MIDAS approach
Journal of Banking & Finance, 2020, 116, (C) View citations (21)
- QUANTILE-BASED ASYMMETRIC DYNAMICS OF REAL GDP GROWTH
Macroeconomic Dynamics, 2020, 24, (8), 1960-1988
2019
- Cyclicality of stock market volatility
Applied Economics Letters, 2019, 26, (8), 645-649
- On tail fatness of macroeconomic dynamics
Journal of Macroeconomics, 2019, 62, (C) View citations (13)
2018
- How is the Taylor Rule Distributed under Endogenous Monetary Regimes?
International Review of Finance, 2018, 18, (2), 305-316 View citations (3)
- Markov-switching quantile autoregression: a Gibbs sampling approach
Studies in Nonlinear Dynamics & Econometrics, 2018, 22, (2) View citations (4)
- Structural Volatility Impulse Response Function and Asymptotic Inference
Journal of Financial Econometrics, 2018, 16, (2), 316-339 View citations (4)
2017
- An integrated macro-financial risk-based approach to the stressed capital requirement
Review of Financial Economics, 2017, 34, (C), 86-98 View citations (2)
Also in Review of Financial Economics, 2017, 34, (1), 86-98 (2017)
- Can macroeconomic dynamics explain the time variation of risk–return trade-offs in the U.S. financial market?
The Quarterly Review of Economics and Finance, 2017, 66, (C), 275-293 View citations (1)
- Foreign exchange predictability and the carry trade: A decomposition approach
Journal of Empirical Finance, 2017, 42, (C), 199-211 View citations (6)
- Measuring systemic risk with regime switching in tails
Economic Modelling, 2017, 67, (C), 55-72 View citations (15)
- Unfolded risk-return trade-offs and links to Macroeconomic Dynamics
Journal of Banking & Finance, 2017, 82, (C), 1-19 View citations (8)
2016
- A new approach to risk-return trade-off dynamics via decomposition
Journal of Economic Dynamics and Control, 2016, 62, (C), 43-55 View citations (11)
- Markov switching quantile autoregression
Statistica Neerlandica, 2016, 70, (4), 356-395 View citations (6)
See also Working Paper Markov-Switching Quantile Autoregression, MPRA Paper (2013) (2013)
2015
- Modeling time-varying skewness via decomposition for out-of-sample forecast
International Journal of Forecasting, 2015, 31, (2), 296-311 View citations (6)
See also Working Paper Modeling the time-varying skewness via decomposition for out-of-sample forecast, MPRA Paper (2011) (2011)
- Unfolded GARCH models
Journal of Economic Dynamics and Control, 2015, 58, (C), 186-217 View citations (12)
2008
- China's segmented stock market: An application of the conditional international capital asset pricing model
Emerging Markets Review, 2008, 9, (3), 153-173 View citations (4)
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