Details about Ruipeng Liu

Access statistics for papers by Ruipeng Liu.

Last updated 2012-11-14. Update your information in the RePEc Author Service.

Short-id: pli297

Working Papers

2012

1. Understanding the source of multifractality in financial markets
   Papers, arXiv.org View citations (1)
   See also Journal Article in Physica A: Statistical Mechanics and its Applications (2012)

2010

2. Are Shocks to Commodity Prices Persistent?
   Economics Series, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance
   See also Journal Article in Applied Energy (2011)
3. Flexible and Robust Modelling of Volatility Comovements: A Comparison of Two Multifractal Models
   Kiel Working Papers, Kiel Institute for the World Economy

2008

4. Multifractality and Long-Range Dependence of Asset Returns: The Scaling Behaviour of the Markov-Switching Multifractal Model with Lognormal Volatility Components
   Kiel Working Papers, Kiel Institute for the World Economy View citations (1)
   Also in Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics (2008)
   See also Journal Article in Advances in Complex Systems (ACS) (2008)

2007

5. True and Apparent Scaling: The Proximity of the Markov- Switching Multifractal Model to Long-Range Dependence
   Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics View citations (1)
   Also in Working Papers, Warwick Business School, Financial Econometrics Research Centre (2007) View citations (2)
   Papers, arXiv.org (2007) View citations (1)
   See also Journal Article in Physica A: Statistical Mechanics and its Applications (2007)

Undated

6. The efficient market hypothesis re-visited: new evidence from 100 US firms
   Financial Econometics Series, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance

Journal Articles

2012

1. Understanding the source of multifractality in financial markets
   Physica A: Statistical Mechanics and its Applications, 2012, 391, (17), 4234-4251
   See also Working Paper (2012)

2011

2. Are shocks to commodity prices persistent?
   Applied Energy, 2011, 88, (1), 409-416
   See also Working Paper (2010)

2008

3. MULTIFRACTALITY AND LONG-RANGE DEPENDENCE OF ASSET RETURNS: THE SCALING BEHAVIOR OF THE MARKOV-SWITCHING MULTIFRACTAL MODEL WITH LOGNORMAL VOLATILITY COMPONENTS
   Advances in Complex Systems (ACS), 2008, 11, (05), 669-684
   See also Working Paper (2008)

2007

4. True and apparent scaling: The proximity of the Markov-switching multifractal model to long-range dependence
   Physica A: Statistical Mechanics and its Applications, 2007, 383, (1), 35-42
   See also Working Paper (2007)