Yin Liao

Names

Contact

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:

• 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
• 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