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Yin Liao

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
RePEc Short-ID:pli536
Canberra, Australia

: +61 2 6125 4442
+61 2 6125 5124
H. W. Arndt Building #25A, The Australian National University, Canberra ACT 2601
RePEc:edi:cmanuau (more details at EDIRC)
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  1. Serkan Arslanalp & Yin Liao, 2015. "Contingent Liabilities from Banks; How to Track Them?," IMF Working Papers 15/255, International Monetary Fund.
  2. 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.
  3. 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.
  4. 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.
  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. 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.
  7. 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.
  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, 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.
  10. 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.
  11. Adam Clements & Yin Liao, "undated". "News and network structures in equity market volatility," NCER Working Paper Series 110, National Centre for Econometric Research.
  1. Clements, Adam & Liao, Yin, 2017. "Forecasting the variance of stock index returns using jumps and cojumps," International Journal of Forecasting, Elsevier, vol. 33(3), pages 729-742.
  2. Di Bu & Yin Liao, 2016. "The Small and Medium Enterprises and the Credit Reporting System in China," Global Credit Review (GCR), World Scientific Publishing Co. Pte. Ltd., vol. 6(01), pages 41-48.
  3. Yin Liao & John Stachurski, 2015. "Simulation-Based Density Estimation for Time Series Using Covariate Data," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(4), pages 595-606, October.
  4. Bu, Di & Liao, Yin, 2014. "Corporate credit risk prediction under stochastic volatility and jumps," Journal of Economic Dynamics and Control, Elsevier, vol. 47(C), pages 263-281.
  5. Arslanalp, Serkan & Liao, Yin, 2014. "Banking sector contingent liabilities and sovereign risk," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 316-330.
  6. 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 is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 11 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (5) 2010-05-15 2010-05-22 2011-08-29 2011-10-22 2013-11-02. Author is listed
  2. NEP-ETS: Econometric Time Series (3) 2010-05-15 2011-08-29 2013-09-28. Author is listed
  3. NEP-FOR: Forecasting (3) 2010-05-15 2010-05-22 2014-06-28. Author is listed
  4. NEP-MST: Market Microstructure (3) 2010-05-15 2011-08-29 2014-06-28. Author is listed
  5. NEP-CBA: Central Banking (2) 2013-07-28 2016-03-10
  6. NEP-ORE: Operations Research (2) 2013-09-28 2013-11-02
  7. NEP-BAN: Banking (1) 2013-11-02
  8. NEP-CIS: Confederation of Independent States (1) 2011-10-22
  9. NEP-EEC: European Economics (1) 2013-07-28
  10. NEP-NET: Network Economics (1) 2016-05-21
  11. NEP-RMG: Risk Management (1) 2013-11-02
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