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
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Working Papers
2015
- 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)
- 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
- 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
- The efficient market hypothesis re-visited: new evidence from 100 US firms
Working Papers, Deakin University, Department of Economics
2010
- Are shocks to commodity prices persistent?
Working Papers, Deakin University, Department of Economics View citations (2)
See also Journal Article in Applied Energy (2011)
- 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
- 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
- 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
- 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
- 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)
- Non-homogeneous volatility correlations in the bivariate multifractal model
The European Journal of Finance, 2015, 21, (12), 971-991 View citations (2)
2013
- Determinants of stock price bubbles
Economic Modelling, 2013, 35, (C), 661-667 View citations (14)
2012
- 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
- Are shocks to commodity prices persistent?
Applied Energy, 2011, 88, (1), 409-416 View citations (45)
See also Working Paper (2010)
2007
- 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)
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