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Yin Liao

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This is information that was supplied by Yin Liao in registering through RePEc. If you are Yin Liao , 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: Yin
Middle Name:
Last Name: Liao
Suffix:

RePEc Short-ID: pli536

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Homepage:
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Affiliation

(90%) School of Economics and Finance
Business School
Queensland University of Technology
Location: Brisbane, Australia
Homepage: http://www.bus.qut.edu.au/schools/economics/
Email:
Phone:
Fax:
Postal: GPO Box 2434, BRISBANE QLD 4001
Handle: RePEc:edi:sequtau (more details at EDIRC)
(10%) Centre for Applied Macroeconomic Analysis (CAMA)
Crawford School of Public Policy
Australian National University
Location: Canberra, Australia
Homepage: http://cama.anu.edu.au/
Email:
Phone: +61 2 6125 4442
Fax: +61 2 6125 5124
Postal: H. W. Arndt Building #25A, The Australian National University, Canberra ACT 0200
Handle: RePEc:edi:cmanuau (more details at EDIRC)

Works

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Working papers

  1. Adam Clements & Yin Liao, 2014. "The role in index jumps and cojumps in forecasting stock index volatility: Evidence from the Dow Jones index," NCER Working Paper Series 101, National Centre for Econometric Research.
  2. Serkan Arslanalp & Yin Liao, 2013. "Contingent Liabilities and Sovereign Risk: Evidence from Banking Sectors," CAMA Working Papers 2013-43, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  3. Di Bu & Yin Liao, 2013. "Structural Credit Risk Model with Stochastic Volatility: A Particle-filter Approach," NCER Working Paper Series 98, National Centre for Econometric Research.
  4. Adam E Clements & Yin Liao, 2013. "Modeling and forecasting realized volatility: getting the most out of the jump component," NCER Working Paper Series 93, National Centre for Econometric Research.
  5. Adam Clements & Yin Liao, 2013. "The dynamics of co-jumps, volatility and correlation," NCER Working Paper Series 91, National Centre for Econometric Research.
  6. Yin Liao, 2012. "Does Modeling Jumps Help? A Comparison of Realized Volatility Models for Risk Prediction," CAMA Working Papers 2012-26, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  7. Yin Liao & Heather M. Anderson, 2011. "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 9/11, Monash University, Department of Econometrics and Business Statistics.
  8. Yin Liao & John Stachurski, 2011. "Parametric Conditional Monte Carlo Density Estimation," ANU Working Papers in Economics and Econometrics 2011-562, Australian National University, College of Business and Economics, School of Economics.
  9. Yin Liao & Heather M. Anderson & Farshid Vahid, 2010. "Do Jumps Matter? Forecasting Multivariate Realized Volatility allowing for Common Jumps," Monash Econometrics and Business Statistics Working Papers 11/10, Monash University, Department of Econometrics and Business Statistics.

Articles

  1. Liao, Yin, 2013. "The benefit of modeling jumps in realized volatility for risk prediction: Evidence from Chinese mainland stocks," Pacific-Basin Finance Journal, Elsevier, vol. 23(C), pages 25-48.

NEP Fields

8 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (1) 2013-11-02
  2. NEP-CBA: Central Banking (1) 2013-07-28
  3. NEP-CIS: Confederation of Independent States (1) 2011-10-22
  4. NEP-ECM: Econometrics (5) 2010-05-15 2010-05-22 2011-08-29 2011-10-22 2013-11-02. Author is listed
  5. NEP-EEC: European Economics (1) 2013-07-28
  6. NEP-ETS: Econometric Time Series (3) 2010-05-15 2011-08-29 2013-09-28. Author is listed
  7. NEP-FOR: Forecasting (3) 2010-05-15 2010-05-22 2014-06-28. Author is listed
  8. NEP-MST: Market Microstructure (3) 2010-05-15 2011-08-29 2014-06-28. Author is listed
  9. NEP-ORE: Operations Research (2) 2013-09-28 2013-11-02. Author is listed
  10. NEP-RMG: Risk Management (1) 2013-11-02

Statistics

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Co-authorship network on CollEc

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