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Modeling time-varying skewness via decomposition for out-of-sample forecast
Liu, Xiaochun - In: International journal of forecasting 31 (2015) 2, pp. 296-311
Persistent link: https://www.econbiz.de/10011474059
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Unfolded risk-return trade-offs and links to Macroeconomic Dynamics
Liu, Xiaochun - In: Journal of banking & finance 82 (2017), pp. 1-19
Persistent link: https://www.econbiz.de/10011816457
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A new approach to risk-return trade-off dynamics via decomposition
Frazier, David T.; Liu, Xiaochun - In: Journal of economic dynamics & control 62 (2016), pp. 43-55
Persistent link: https://www.econbiz.de/10011708149
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Forecasting short-run exchange rate volatility with monetary fundamentals : a GARCH-MIDAS approach
You, Yu; Liu, Xiaochun - In: Journal of banking & finance 116 (2020), pp. 1-15
Persistent link: https://www.econbiz.de/10012489245
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Quantile-based asymmetric dynamics of real GDP growth
Liu, Xiaochun - In: Macroeconomic dynamics 24 (2020) 8, pp. 1960-1988
Persistent link: https://www.econbiz.de/10012404222
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Markov-switching quantile autoregression : a Gibbs sampling approach
Liu, Xiaochun; Luger, Richard - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 2, pp. 1-33
Persistent link: https://www.econbiz.de/10011897360