Details about Zhuoshi Liu
Access statistics for papers by Zhuoshi Liu.
Last updated 2018-04-06. Update your information in the RePEc Author Service.
Short-id: pli410
Jump to Journal Articles
Working Papers
2015
- A joint affine model of commodity futures and US Treasury yields
Bank of England working papers, Bank of England View citations (4)
- The informational content of market-based measures of inflation expectations derived from govenment bonds and inflation swaps in the United Kingdom
Bank of England working papers, Bank of England View citations (3)
2014
- Institutional investor portfolio allocation, quantitative easing and the global financial crisis
Bank of England working papers, Bank of England View citations (35)
2012
- Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework
Papers, arXiv.org View citations (9)
Also in Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna (2012) View citations (8) Working Paper series, Rimini Centre for Economic Analysis (2012) View citations (10) MPRA Paper, University Library of Munich, Germany (2012) View citations (8)
See also Journal Article FORECASTING VALUE-AT-RISK WITH TIME-VARYING VARIANCE, SKEWNESS AND KURTOSIS IN AN EXPONENTIAL WEIGHTED MOVING AVERAGE FRAMEWORK, Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd. (2015) View citations (4) (2015)
Undated
- An Open-Economy Macro-Finance Model of Internatinal Interdependence: The OECD, US and the UK
Discussion Papers, Department of Economics, University of York View citations (9)
See also Journal Article An open-economy macro-finance model of international interdependence: The OECD, US and the UK, Journal of Banking & Finance, Elsevier (2010) View citations (11) (2010)
Journal Articles
2018
- What do the prices of UK inflation-linked securities say on inflation expectations, risk premia and liquidity risks?
Journal of Banking & Finance, 2018, 88, (C), 76-96 View citations (7)
2017
- Institutional Investors and the QE Portfolio Balance Channel
Journal of Money, Credit and Banking, 2017, 49, (6), 1225-1246 View citations (19)
2015
- FORECASTING VALUE-AT-RISK WITH TIME-VARYING VARIANCE, SKEWNESS AND KURTOSIS IN AN EXPONENTIAL WEIGHTED MOVING AVERAGE FRAMEWORK
Annals of Financial Economics (AFE), 2015, 10, (01), 1-29 View citations (4)
See also Working Paper Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework, Papers (2012) View citations (9) (2012)
2013
- Modelling sovereign credit spreads with international macro-factors: The case of Brazil 1998–2009
Journal of Banking & Finance, 2013, 37, (2), 241-256 View citations (11)
2010
- An open-economy macro-finance model of international interdependence: The OECD, US and the UK
Journal of Banking & Finance, 2010, 34, (3), 667-680 View citations (11)
See also Working Paper An Open-Economy Macro-Finance Model of Internatinal Interdependence: The OECD, US and the UK, Discussion Papers View citations (9)
2009
- AN ADMISSIBLE TERM STRUCTURE MODEL OF SOVEREIGN YIELD SPREADS WITH MACRO FACTORS: THE CASE OF BRAZILIAN GLOBAL BONDS
Manchester School, 2009, 77, (s1), 108-125
|
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.
|