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Details about Yin Liao

E-mail: This e-mail address is bad, please ask Yin Liao to update the entry in the RePEc Author Service or the correct address.
Workplace:School of Economics and Finance, Business School, Queensland University of Technology, (more information at EDIRC)
Centre for Applied Macroeconomic Analysis (CAMA), Crawford School of Public Policy, Australian National University, (more information at EDIRC)

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

2015

  1. Contingent Liabilities from Banks; How to Track Them?
    IMF Working Papers, International Monetary Fund Downloads View citations (4)

2014

  1. 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 Downloads

2013

  1. 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 Downloads View citations (6)
  2. Modeling and forecasting realized volatility: getting the most out of the jump component
    NCER Working Paper Series, National Centre for Econometric Research Downloads
  3. Structural Credit Risk Model with Stochastic Volatility: A Particle-filter Approach
    NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (1)
  4. The dynamics of co-jumps, volatility and correlation
    NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (7)

2012

  1. 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 Downloads

2011

  1. Parametric Conditional Monte Carlo Density Estimation
    ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics Downloads
  2. 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 Downloads View citations (4)

2010

  1. 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 Downloads View citations (10)
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2010) Downloads View citations (8)

Undated

  1. News and network structures in equity market volatility
    NCER Working Paper Series, National Centre for Econometric Research Downloads

Journal Articles

2017

  1. Forecasting the variance of stock index returns using jumps and cojumps
    International Journal of Forecasting, 2017, 33, (3), 729-742 Downloads View citations (6)

2016

  1. The Small and Medium Enterprises and the Credit Reporting System in China
    Global Credit Review (GCR), 2016, 06, (01), 41-48 Downloads

2015

  1. Simulation-Based Density Estimation for Time Series Using Covariate Data
    Journal of Business & Economic Statistics, 2015, 33, (4), 595-606 Downloads View citations (1)

2014

  1. Banking sector contingent liabilities and sovereign risk
    Journal of Empirical Finance, 2014, 29, (C), 316-330 Downloads View citations (6)
  2. Corporate credit risk prediction under stochastic volatility and jumps
    Journal of Economic Dynamics and Control, 2014, 47, (C), 263-281 Downloads View citations (3)

2013

  1. 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 Downloads View citations (10)
 
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