Yin Liao
Names
first: | Yin |
last: | Liao |
Contact
email: |
Affiliations
-
Queensland University of Technology
→ Business School
→ School of Economics and Finance (weight: 90%)
- website
- location: Brisbane, Australia
-
Australian National University
→ Crawford School of Public Policy
→ Centre for Applied Macroeconomic Analysis (CAMA) (weight: 10%)
- website
- location: Canberra, Australia
Research profile
author of:
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Do Jumps Matter? Forecasting Multivariate Realized Volatility allowing for Common Jumps
by Yin Liao & Heather M. Anderson & Farshid Vahid -
Do Jumps Matter? Forecasting Multivariate Realized Volatility Allowing for Common Jumps
by Yin Liao & Heather Anderson & Farshid Vahid -
Testing for co-jumps in high-frequency financial data: an approach based on first-high-low-last prices
by Yin Liao & Heather M. Anderson -
Parametric Conditional Monte Carlo Density Estimation
by Yin Liao & John Stachurski -
Does Modeling Jumps Help? A Comparison of Realized Volatility Models for Risk Prediction
by Yin Liao -
Contingent Liabilities and Sovereign Risk: Evidence from Banking Sectors
by Serkan Arslanalp & Yin Liao -
Modeling and forecasting realized volatility: getting the most out of the jump component
by Adam E. Clements & Yin Liao -
The dynamics of co-jumps, volatility and correlation
by Adam Clements & Yin Liao -
Structural Credit Risk Model with Stochastic Volatility: A Particle-filter Approach
by Di Bu & Yin Liao -
The benefit of modeling jumps in realized volatility for risk prediction: Evidence from Chinese mainland stocks
by Liao, Yin -
The role in index jumps and cojumps in forecasting stock index volatility: Evidence from the Dow Jones index
by Adam Clements & Yin Liao -
Corporate credit risk prediction under stochastic volatility and jumps
by Bu, Di & Liao, Yin -
Banking sector contingent liabilities and sovereign risk
by Arslanalp, Serkan & Liao, Yin -
News and network structures in equity market volatility
by Adam Clements & Yin Liao -
Contingent Liabilities from Banks; How to Track Them?
by Serkan Arslanalp & Yin Liao -
Simulation-Based Density Estimation for Time Series Using Covariate Data
by Yin Liao & John Stachurski -
The Small and Medium Enterprises and the Credit Reporting System in China
by Di Bu & Yin Liao -
Forecasting the variance of stock index returns using jumps and cojumps
by Clements, Adam & Liao, Yin