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Chun Liu

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This is information that was supplied by Chun Liu in registering through RePEc. If you are Chun Liu , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Chun
Middle Name:
Last Name: Liu
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RePEc Short-ID: pli412

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Affiliation

School of Economics and Management
Tsinghua University
Location: Beijing, China
Homepage: http://www.sem.tsinghua.edu.cn/
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Handle: RePEc:edi:setsicn (more details at EDIRC)

Works

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Working papers

  1. Chun Liu & John M Maheu, 2010. "Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market," Working Papers tecipa-401, University of Toronto, Department of Economics.
  2. Liu, Chun, 2010. "Marginal likelihood calculation for gelfand-dey and Chib Method," MPRA Paper 34928, University Library of Munich, Germany.
  3. Chun Liu & John M Maheu, 2008. "Forecasting Realized Volatility: A Bayesian Model Averaging Approach," Working Papers tecipa-313, University of Toronto, Department of Economics.
  4. Chun Liu & John M Maheu, 2007. "Are there Structural Breaks in Realized Volatility?," Working Papers tecipa-304, University of Toronto, Department of Economics.

Articles

  1. Liu, Chun & Maheu, John M., 2012. "Intraday dynamics of volatility and duration: Evidence from Chinese stocks," Pacific-Basin Finance Journal, Elsevier, vol. 20(3), pages 329-348.
  2. Liu, Chun & Liu, Qing, 2012. "Marginal likelihood calculation for the Gelfand–Dey and Chib methods," Economics Letters, Elsevier, vol. 115(2), pages 200-203.
  3. Chun Liu & John M. Maheu, 2009. "Forecasting realized volatility: a Bayesian model-averaging approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(5), pages 709-733.
  4. Chun Liu & John M. Maheu, 2008. "Are There Structural Breaks in Realized Volatility?," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 6(3), pages 326-360, Summer.

NEP Fields

3 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (1) 2008-04-15. Author is listed
  2. NEP-ECM: Econometrics (2) 2008-01-05 2008-04-15. Author is listed
  3. NEP-ETS: Econometric Time Series (3) 2008-01-05 2008-04-15 2010-04-17. Author is listed
  4. NEP-FMK: Financial Markets (1) 2008-01-05. Author is listed
  5. NEP-FOR: Forecasting (1) 2008-04-15. Author is listed
  6. NEP-MST: Market Microstructure (3) 2008-01-05 2008-04-15 2010-04-17. Author is listed
  7. NEP-RMG: Risk Management (1) 2008-04-15. Author is listed
  8. NEP-TRA: Transition Economics (1) 2010-04-17. Author is listed

Statistics

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Corrections

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