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

Working Papers

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

2013

2. 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)
3. 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)
4. Structural Credit Risk Model with Stochastic Volatility: A Particle-filter Approach
   NCER Working Paper Series, National Centre for Econometric Research View citations (1)
5. The dynamics of co-jumps, volatility and correlation
   NCER Working Paper Series, National Centre for Econometric Research View citations (8)

2012

6. 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

7. Parametric Conditional Monte Carlo Density Estimation
   ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics
8. 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

9. 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

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

Journal Articles

2017

1. Forecasting the variance of stock index returns using jumps and cojumps
   International Journal of Forecasting, 2017, 33, (3), 729-742 View citations (30)

2016

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

2015

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

2014

4. Banking sector contingent liabilities and sovereign risk
   Journal of Empirical Finance, 2014, 29, (C), 316-330 View citations (13)
5. Corporate credit risk prediction under stochastic volatility and jumps
   Journal of Economic Dynamics and Control, 2014, 47, (C), 263-281 View citations (4)

2013

6. 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)