Details about Chun Liu

Access statistics for papers by Chun Liu.

Last updated 2013-11-09. Update your information in the RePEc Author Service.

Short-id: pli412

Working Papers

2017

1. The Financing of Local Government in China: Stimulus Loan Wanes and Shadow Banking Waxes
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (42)

2010

2. Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market
   Working Papers, University of Toronto, Department of Economics
3. Marginal likelihood calculation for gelfand-dey and Chib Method
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article Marginal likelihood calculation for the Gelfand–Dey and Chib methods, Economics Letters, Elsevier (2012) View citations (1) (2012)

2008

4. Forecasting Realized Volatility: A Bayesian Model Averaging Approach
   Working Papers, University of Toronto, Department of Economics
   See also Journal Article Forecasting realized volatility: a Bayesian model-averaging approach, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2009) View citations (48) (2009)

2007

5. Are there Structural Breaks in Realized Volatility?
   Working Papers, University of Toronto, Department of Economics View citations (8)
   See also Journal Article Are There Structural Breaks in Realized Volatility?, Journal of Financial Econometrics, Oxford University Press (2008) View citations (68) (2008)

Journal Articles

2012

1. Intraday dynamics of volatility and duration: Evidence from Chinese stocks
   Pacific-Basin Finance Journal, 2012, 20, (3), 329-348 View citations (12)
2. Marginal likelihood calculation for the Gelfand–Dey and Chib methods
   Economics Letters, 2012, 115, (2), 200-203 View citations (1)
   See also Working Paper Marginal likelihood calculation for gelfand-dey and Chib Method, MPRA Paper (2010) (2010)

2009

3. Forecasting realized volatility: a Bayesian model-averaging approach
   Journal of Applied Econometrics, 2009, 24, (5), 709-733 View citations (48)
   See also Working Paper Forecasting Realized Volatility: A Bayesian Model Averaging Approach, Working Papers (2008) (2008)

2008

4. Are There Structural Breaks in Realized Volatility?
   Journal of Financial Econometrics, 2008, 6, (3), 326-360 View citations (68)
   See also Working Paper Are there Structural Breaks in Realized Volatility?, Working Papers (2007) View citations (8) (2007)