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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
Suffix:
RePEc Short-ID:pli536
Canberra, Australia
http://cama.anu.edu.au/

: +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. 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. 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.
  3. 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.
  4. 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.
  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 & 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.
  8. 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.
  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.
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 9 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-ORE: Operations Research (2) 2013-09-28 2013-11-02
  6. NEP-BAN: Banking (1) 2013-11-02
  7. NEP-CBA: Central Banking (1) 2013-07-28
  8. NEP-CIS: Confederation of Independent States (1) 2011-10-22
  9. NEP-EEC: European Economics (1) 2013-07-28
  10. NEP-RMG: Risk Management (1) 2013-11-02
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