Details about Ruipeng Liu

Access statistics for papers by Ruipeng Liu.

Last updated 2018-06-12. Update your information in the RePEc Author Service.

Short-id: pli297

Working Papers

2015

1. A GARCH model for testing market efficiency
   Working Papers, Deakin University, Department of Economics View citations (5)
   See also Journal Article in Journal of International Financial Markets, Institutions and Money (2016)
2. A unit root model for trending time-series energy variables
   Working Papers, Deakin University, Department of Economics View citations (82)
   See also Journal Article in Energy Economics (2015)

2012

3. Understanding the source of multifractality in financial markets
   Papers, arXiv.org View citations (59)
   See also Journal Article in Physica A: Statistical Mechanics and its Applications (2012)

2011

4. The efficient market hypothesis re-visited: new evidence from 100 US firms
   Working Papers, Deakin University, Department of Economics

2010

5. Are shocks to commodity prices persistent?
   Working Papers, Deakin University, Department of Economics View citations (2)
   See also Journal Article in Applied Energy (2011)
6. Flexible and robust modelling of volatility comovements: a comparison of two multifractal models
   Kiel Working Papers, Kiel Institute for the World Economy (IfW Kiel)

2008

7. 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 (IfW Kiel) View citations (13)
   Also in Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics (2008) View citations (12)

2007

8. 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 (40)
   Also in Papers, arXiv.org (2007) View citations (31)
   See also Journal Article in Physica A: Statistical Mechanics and its Applications (2007)

Journal Articles

2016

1. A GARCH model for testing market efficiency
   Journal of International Financial Markets, Institutions and Money, 2016, 41, (C), 121-138 View citations (31)
   See also Working Paper (2015)

2015

2. A unit root model for trending time-series energy variables
   Energy Economics, 2015, 50, (C), 391-402 View citations (82)
   See also Working Paper (2015)
3. Non-homogeneous volatility correlations in the bivariate multifractal model
   The European Journal of Finance, 2015, 21, (12), 971-991 View citations (2)

2013

4. Determinants of stock price bubbles
   Economic Modelling, 2013, 35, (C), 661-667 View citations (14)

2012

5. Understanding the source of multifractality in financial markets
   Physica A: Statistical Mechanics and its Applications, 2012, 391, (17), 4234-4251 View citations (54)
   See also Working Paper (2012)

2011

6. Are shocks to commodity prices persistent?
   Applied Energy, 2011, 88, (1), 409-416 View citations (45)
   See also Working Paper (2010)

2007

7. 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 View citations (37)
   See also Working Paper (2007)