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Structural volatility impulse response function and asymptotic inference

Liu, Xiaochun - In: Journal of financial econometrics : official journal of … 16 (2018) 2, pp. 316-339

Persistent link: https://www.econbiz.de/10011987769

Structural sources of oil market volatility and correlation dynamics

Harrison, Andre; Liu, Xiaochun; Stewart, Shamar L. - In: Energy economics 121 (2023), pp. 1-14

Persistent link: https://www.econbiz.de/10014438691

China's segmented stock market : an application of the conditional international capital asset pricing model

Jacobsen, Brian; Liu, Xiaochun - In: Emerging markets review 9 (2008) 3, pp. 153-173

Persistent link: https://www.econbiz.de/10003766728

Modeling time-varying skewness via decomposition for out-of-sample forecast

Liu, Xiaochun - In: International journal of forecasting 31 (2015) 2, pp. 296-311

Persistent link: https://www.econbiz.de/10011474059

Unfolded GARCH models

Liu, Xiaochun; Luger, Richard - In: Journal of economic dynamics & control 58 (2015), pp. 186-217

Persistent link: https://www.econbiz.de/10011574655

Are exchange rates absorbers of global oil shocks? : a generalized structural analysis

Schwartz, Andrew; Liu, Xiaochun; Stewart, Shamar L. - In: Journal of international money and finance 146 (2024), pp. 1-46

Persistent link: https://www.econbiz.de/10015076032

Structural Sources of Oil Market Volatility and Correlation Dynamics

Liu, Xiaochun; Harrison, Andre; Stewart, Shamar - 2022

This paper explores the structural driving sources of oil market volatility and correlation dynamics. Our results highlight a steadily declining oil production volatility and concurrent increasing real oil price volatility since the mid-1980s. We find that a decrease in the persistence of the...

Persistent link: https://www.econbiz.de/10014078880