Details about Yin Liao
Access statistics for papers by Yin Liao.
Last updated 2017-10-30. Update your information in the RePEc Author Service.
Short-id: pli536
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Working Papers
2014
- The role in index jumps and cojumps in forecasting stock index volatility: Evidence from the Dow Jones index
NCER Working Paper Series, National Centre for Econometric Research
2013
- Contingent Liabilities and Sovereign Risk: Evidence from Banking Sectors
CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (7)
- Modeling and forecasting realized volatility: getting the most out of the jump component
NCER Working Paper Series, National Centre for Econometric Research View citations (1)
- Structural Credit Risk Model with Stochastic Volatility: A Particle-filter Approach
NCER Working Paper Series, National Centre for Econometric Research View citations (1)
- The dynamics of co-jumps, volatility and correlation
NCER Working Paper Series, National Centre for Econometric Research View citations (8)
2012
- Does Modeling Jumps Help? A Comparison of Realized Volatility Models for Risk Prediction
CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
2011
- Parametric Conditional Monte Carlo Density Estimation
ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics
- Testing for co-jumps in high-frequency financial data: an approach based on first-high-low-last prices
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (4)
2010
- Do Jumps Matter? Forecasting Multivariate Realized Volatility Allowing for Common Jumps
ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics View citations (11)
Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2010) View citations (11)
Undated
- News and network structures in equity market volatility
NCER Working Paper Series, National Centre for Econometric Research
Journal Articles
2017
- Forecasting the variance of stock index returns using jumps and cojumps
International Journal of Forecasting, 2017, 33, (3), 729-742 View citations (28)
2016
- The Small and Medium Enterprises and the Credit Reporting System in China
Global Credit Review (GCR), 2016, 06, (01), 41-48
2015
- Simulation-Based Density Estimation for Time Series Using Covariate Data
Journal of Business & Economic Statistics, 2015, 33, (4), 595-606 View citations (1)
2014
- Banking sector contingent liabilities and sovereign risk
Journal of Empirical Finance, 2014, 29, (C), 316-330 View citations (13)
- Corporate credit risk prediction under stochastic volatility and jumps
Journal of Economic Dynamics and Control, 2014, 47, (C), 263-281 View citations (4)
2013
- The benefit of modeling jumps in realized volatility for risk prediction: Evidence from Chinese mainland stocks
Pacific-Basin Finance Journal, 2013, 23, (C), 25-48 View citations (14)
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