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Details about Ruipeng Liu

Homepage:http://www.deakin.edu.au/contact/staff-profile/?pid=4377
Workplace:Department of Finance, Business School, Deakin University, (more information at EDIRC)

Access statistics for papers by Ruipeng Liu.

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

Short-id: pli297


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Working Papers

2015

  1. A GARCH model for testing market efficiency
    Working Papers, Deakin University, Department of Economics Downloads View citations (1)
    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 Downloads View citations (42)
    See also Journal Article in Energy Economics (2015)

2012

  1. Understanding the source of multifractality in financial markets
    Papers, arXiv.org Downloads View citations (42)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2012)

2011

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

2010

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

2008

  1. 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) Downloads View citations (6)
    Also in Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics (2008) Downloads View citations (4)

2007

  1. 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 Downloads View citations (22)
    Also in Papers, arXiv.org (2007) Downloads View citations (23)

    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 Downloads View citations (23)
    See also Working Paper (2015)

2015

  1. A unit root model for trending time-series energy variables
    Energy Economics, 2015, 50, (C), 391-402 Downloads View citations (56)
    See also Working Paper (2015)
  2. Non-homogeneous volatility correlations in the bivariate multifractal model
    The European Journal of Finance, 2015, 21, (12), 971-991 Downloads View citations (1)

2013

  1. Determinants of stock price bubbles
    Economic Modelling, 2013, 35, (C), 661-667 Downloads View citations (9)

2012

  1. Understanding the source of multifractality in financial markets
    Physica A: Statistical Mechanics and its Applications, 2012, 391, (17), 4234-4251 Downloads View citations (37)
    See also Working Paper (2012)

2011

  1. Are shocks to commodity prices persistent?
    Applied Energy, 2011, 88, (1), 409-416 Downloads View citations (33)
    See also Working Paper (2010)

2007

  1. 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 Downloads View citations (22)
    See also Working Paper (2007)
 
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