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Details about Zhuoshi Liu

Workplace:International Monetary Institute, Renmin University of China, (more information at EDIRC)

Access statistics for papers by Zhuoshi Liu.

Last updated 2018-04-06. Update your information in the RePEc Author Service.

Short-id: pli410


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Working Papers

2015

  1. A joint affine model of commodity futures and US Treasury yields
    Bank of England working papers, Bank of England Downloads 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 Downloads View citations (3)

2014

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

2012

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

Undated

  1. An Open-Economy Macro-Finance Model of Internatinal Interdependence: The OECD, US and the UK
    Discussion Papers, Department of Economics, University of York Downloads 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) Downloads 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 Downloads View citations (7)

2017

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

2015

  1. 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 Downloads 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) Downloads View citations (9) (2012)

2013

  1. Modelling sovereign credit spreads with international macro-factors: The case of Brazil 1998–2009
    Journal of Banking & Finance, 2013, 37, (2), 241-256 Downloads View citations (11)

2010

  1. An open-economy macro-finance model of international interdependence: The OECD, US and the UK
    Journal of Banking & Finance, 2010, 34, (3), 667-680 Downloads View citations (11)
    See also Working Paper An Open-Economy Macro-Finance Model of Internatinal Interdependence: The OECD, US and the UK, Discussion Papers Downloads View citations (9)

2009

  1. 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 Downloads
 
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