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

Working Papers

2015

1. A joint affine model of commodity futures and US Treasury yields
   Bank of England working papers, Bank of England View citations (4)
2. 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

3. Institutional investor portfolio allocation, quantitative easing and the global financial crisis
   Bank of England working papers, Bank of England View citations (35)

2012

4. Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework
   Working Paper series, Rimini Centre for Economic Analysis View citations (10)
   Also in Papers, arXiv.org (2012) View citations (9)
   MPRA Paper, University Library of Munich, Germany (2012) View citations (8)
   Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna (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 (5) (2015)

Undated

5. 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

1. 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

2. Institutional Investors and the QE Portfolio Balance Channel
   Journal of Money, Credit and Banking, 2017, 49, (6), 1225-1246 View citations (19)

2015

3. 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 (5)
   See also Working Paper Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework, Working Paper series (2012) View citations (10) (2012)

2013

4. 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

5. 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

6. 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