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Details about Xiaochun Liu

E-mail:
Homepage:https://sites.google.com/site/xiaochunliu2015/home
Workplace:Department of Economics, Finance and Legal Studies, Culverhouse College of Commerce & Business Administration, University of Alabama-Tuscaloosa, (more information at EDIRC)

Access statistics for papers by Xiaochun Liu.

Last updated 2017-09-18. Update your information in the RePEc Author Service.

Short-id: pli690


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Working Papers

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 in Statistica Neerlandica (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
  2. The Dynamic International Optimal Hedge Ratio
    MPRA Paper, University Library of Munich, Germany Downloads

Journal Articles

2017

  1. An integrated macro-financial risk-based approach to the stressed capital requirement
    Review of Financial Economics, 2017, 34, (C), 86-98 Downloads
  2. Foreign exchange predictability and the carry trade: A decomposition approach
    Journal of Empirical Finance, 2017, 42, (C), 199-211 Downloads
  3. Unfolded risk-return trade-offs and links to Macroeconomic Dynamics
    Journal of Banking & Finance, 2017, 82, (C), 1-19 Downloads

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
  2. Markov switching quantile autoregression
    Statistica Neerlandica, 2016, 70, (4), 356-395 Downloads
    See also Working Paper (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 (1)
  2. Unfolded GARCH models
    Journal of Economic Dynamics and Control, 2015, 58, (C), 186-217 Downloads View citations (1)

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)
 
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