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Dynamic expected shortfall : a spectral decomposition of tail risk across time horizons
Bu, Di; Liao, Yin; Shi, Jing; Peng, Hongfeng - In: Journal of economic dynamics & control 108 (2019), pp. 1-15
Persistent link: https://www.econbiz.de/10012313627
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The dynamics of co-jumps, volatility and correlation
Clements, Adam; Liao, Yin - 2013
Persistent link: https://www.econbiz.de/10009702943
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The role of index jumps and cojumps in forecasting stock index volatility : evidence from the Dow Jones index
Clements, Adam; Liao, Yin - 2014
Persistent link: https://www.econbiz.de/10011343882
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Simulation-based density estimation for time series using covariate data
Liao, Yin; Stachurski, John - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 4, pp. 595-606
Persistent link: https://www.econbiz.de/10011403245
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Testing for cojumps in high-frequency financial data : an approach based on first-high-low-last prices
Liao, Yin; Anderson, Heather M. - In: Journal of banking & finance 99 (2019), pp. 252-274
Persistent link: https://www.econbiz.de/10012162415
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Forecasting global equity market volatilities
Zhang, Yaojie; Ma, Feng; Liao, Yin - In: International journal of forecasting 36 (2020) 4, pp. 1454-1475
Persistent link: https://www.econbiz.de/10012546804
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An oil futures volatility forecast perspective on the selection of high-frequency jump tests
Li, Xiafei; Liao, Yin; Lu, Xinjie; Ma, Feng - In: Energy economics 116 (2022), pp. 1-18
Persistent link: https://www.econbiz.de/10013542124