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Structural credit risk model with stochastic volatility : a particle-filter approach
Bu, Di; Liao, Yin; Pagan, Adrian R. - 2013
Persistent link: https://www.econbiz.de/10010245573
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The impact of information flow and trading activity on gold and oil futures volatility
Clements, Adam; Liao, Yin - 2014
Persistent link: https://www.econbiz.de/10011343881
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The role of index jumps and cojumps in forecasting stock index volatility : evidence from the Dow Jones index
Clements, Adam; Liao, Yin - 2014
Persistent link: https://www.econbiz.de/10011343882
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The dynamics of co-jumps, volatility and correlation
Clements, Adam; Liao, Yin - 2013
Persistent link: https://www.econbiz.de/10009702943
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Modeling and forecasting realized volatility : getting the most out of the jump component
Clements, Adam; Liao, Yin - 2013
Persistent link: https://www.econbiz.de/10009789511
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News and network structures in equity market volatility
Clements, Adam; Liao, Yin - 2016
Persistent link: https://www.econbiz.de/10011777149