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Does modeling jumps help? : a comparision of realized volatility models for risk prediction
Liao, Yin - 2012
Persistent link: https://www.econbiz.de/10009562424
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The benefit of modeling jumps in realized volatility for risk prediction : evidence from Chinese mainland stocks
Liao, Yin - In: Pacific-Basin finance journal 23 (2013), pp. 25-48
Persistent link: https://www.econbiz.de/10009737829
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Do jumps matter? : forecasting multivariate realized volatility allowing for common jumps
Liao, Yin; Anderson, Heather M.; Vahid, Farshid - 2010
Persistent link: https://www.econbiz.de/10008657960
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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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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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Forecasting global equity market volatilities
Zhang, Yaojie; Ma, Feng; Liao, Yin - In: International journal of forecasting 36 (2020) 4, pp. 1454-1475
Persistent link: https://www.econbiz.de/10012546804
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Modeling the cross-section of stock returns using sensible models in a model pool
Chiang, I-Hsuan Ethan; Liao, Yin; Zhou, Qing - In: Journal of empirical finance 60 (2021), pp. 56-73
Persistent link: https://www.econbiz.de/10012692977
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Do jumps matter? : forecasting multivariate realized volatility allowing for common jumps
Liao, Yin; Anderson, Heather M.; Vahid, Farshid - 2010
Persistent link: https://www.econbiz.de/10008661656
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Predicting carbon market risk using information from macroeconomic fundamentals
Jiao, Lei; Liao, Yin; Zhou, Qing - In: Energy economics 73 (2018), pp. 212-227
Persistent link: https://www.econbiz.de/10011972585
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Harnessing jump component for crude oil volatility forecasting in the presence of extreme shocks
Ma, Feng; Liao, Yin; Zhang, Yaojie; Cao, Yang - In: Journal of empirical finance 52 (2019), pp. 40-55
Persistent link: https://www.econbiz.de/10012170621