Details about Yin Liao

E-mail:
Workplace:	School of Economics and Finance, Business School, Queensland University of Technology, (more information at EDIRC) Centre for Applied Macroeconomic Analysis (CAMA), Crawford School of Public Policy, Australian National University, (more information at EDIRC)

Access statistics for papers by Yin Liao.

Last updated 2013-05-03. Update your information in the RePEc Author Service.

Short-id: pli536

Working Papers

2013

The dynamics of co-jumps, volatility and correlation
NCER Working Paper Series, National Centre for Econometric Research

2012

Does Modeling Jumps Help? A Comparison of Realized Volatility Models for Risk Prediction
CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

2011

Parametric Conditional Monte Carlo Density Estimation
ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics
Testing for co-jumps in high-frequency financial data: an approach based on first-high-low-last prices
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics

2010

Do Jumps Matter? Forecasting Multivariate Realized Volatility Allowing for Common Jumps
ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics View citations (2)
Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2010)

The links between different versions of a paper are constructed automatically by matching on the titles.

Please contact if a link is incorrect.

Use this form to add links between versions where the titles do not match.

Page updated 2013-06-20