EconPapers    
Economics at your fingertips  
 

Details about Xiaochun Liu

E-mail:xliu121@ua.edu
Homepage:https://sites.google.com/site/xiaochunliu2015/home
Workplace:Culverhouse College of Business, University of Alabama-Tuscaloosa, (more information at EDIRC)

Access statistics for papers by Xiaochun Liu.

Last updated 2024-08-21. Update your information in the RePEc Author Service.

Short-id: pli1583


Jump to Journal Articles

Working Papers

2020

  1. Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary
    Papers, arXiv.org Downloads 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) Downloads View citations (3)

2015

  1. Foreign exchange predictability during the financial crisis: implications for carry trade profitability
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads

2013

  1. Markov-Switching Quantile Autoregression
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article Markov switching quantile autoregression, Statistica Neerlandica, Netherlands Society for Statistics and Operations Research (2016) Downloads View citations (6) (2016)
  2. Systemic Risk of Commercial Banks: A Markov-Switching Quantile Autoregression Approach
    MPRA Paper, University Library of Munich, Germany Downloads

2011

  1. Modeling the time-varying skewness via decomposition for out-of-sample forecast
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article Modeling time-varying skewness via decomposition for out-of-sample forecast, International Journal of Forecasting, Elsevier (2015) Downloads View citations (6) (2015)
  2. The Dynamic International Optimal Hedge Ratio
    MPRA Paper, University Library of Munich, Germany Downloads

Journal Articles

2024

  1. Are exchange rates absorbers of global oil shocks? A generalized structural analysis
    Journal of International Money and Finance, 2024, 146, (C) Downloads

2023

  1. Structural sources of oil market volatility and correlation dynamics
    Energy Economics, 2023, 121, (C) Downloads View citations (4)

2021

  1. On fiscal and monetary policy-induced macroeconomic volatility dynamics
    Journal of Economic Dynamics and Control, 2021, 127, (C) Downloads View citations (2)

2020

  1. Forecasting short-run exchange rate volatility with monetary fundamentals: A GARCH-MIDAS approach
    Journal of Banking & Finance, 2020, 116, (C) Downloads View citations (21)
  2. QUANTILE-BASED ASYMMETRIC DYNAMICS OF REAL GDP GROWTH
    Macroeconomic Dynamics, 2020, 24, (8), 1960-1988 Downloads

2019

  1. Cyclicality of stock market volatility
    Applied Economics Letters, 2019, 26, (8), 645-649 Downloads
  2. On tail fatness of macroeconomic dynamics
    Journal of Macroeconomics, 2019, 62, (C) Downloads View citations (13)

2018

  1. How is the Taylor Rule Distributed under Endogenous Monetary Regimes?
    International Review of Finance, 2018, 18, (2), 305-316 Downloads View citations (3)
  2. Markov-switching quantile autoregression: a Gibbs sampling approach
    Studies in Nonlinear Dynamics & Econometrics, 2018, 22, (2) Downloads View citations (4)
  3. Structural Volatility Impulse Response Function and Asymptotic Inference
    Journal of Financial Econometrics, 2018, 16, (2), 316-339 Downloads View citations (4)

2017

  1. An integrated macro-financial risk-based approach to the stressed capital requirement
    Review of Financial Economics, 2017, 34, (C), 86-98 Downloads View citations (2)
    Also in Review of Financial Economics, 2017, 34, (1), 86-98 (2017) Downloads
  2. 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 Downloads View citations (1)
  3. Foreign exchange predictability and the carry trade: A decomposition approach
    Journal of Empirical Finance, 2017, 42, (C), 199-211 Downloads View citations (6)
  4. Measuring systemic risk with regime switching in tails
    Economic Modelling, 2017, 67, (C), 55-72 Downloads View citations (15)
  5. Unfolded risk-return trade-offs and links to Macroeconomic Dynamics
    Journal of Banking & Finance, 2017, 82, (C), 1-19 Downloads View citations (8)

2016

  1. A new approach to risk-return trade-off dynamics via decomposition
    Journal of Economic Dynamics and Control, 2016, 62, (C), 43-55 Downloads View citations (11)
  2. Markov switching quantile autoregression
    Statistica Neerlandica, 2016, 70, (4), 356-395 Downloads View citations (6)
    See also Working Paper Markov-Switching Quantile Autoregression, MPRA Paper (2013) Downloads (2013)

2015

  1. Modeling time-varying skewness via decomposition for out-of-sample forecast
    International Journal of Forecasting, 2015, 31, (2), 296-311 Downloads View citations (6)
    See also Working Paper Modeling the time-varying skewness via decomposition for out-of-sample forecast, MPRA Paper (2011) Downloads (2011)
  2. Unfolded GARCH models
    Journal of Economic Dynamics and Control, 2015, 58, (C), 186-217 Downloads View citations (12)

2008

  1. China's segmented stock market: An application of the conditional international capital asset pricing model
    Emerging Markets Review, 2008, 9, (3), 153-173 Downloads View citations (4)
 
Page updated 2024-12-31