Similar Search Results - EconBiz

When "time varying" volatility meets "transaction cost" in portfolio selection

Qiao, W.; Bu, Di; Gibberd, Alex J.; Liao, Yin; Wen, Ting; … - In: Journal of empirical finance 73 (2023), pp. 220-237

Persistent link: https://www.econbiz.de/10014477015

Testing for co-jumps in high-frequency financial data : an approach based on first-high-low-last prices

Liao, Yin; Anderson, Heather M. - 2012

Persistent link: https://www.econbiz.de/10009578146

Testing for co-jumps in high-frequency financial data : an approach based on first-high-low-last prices

Liao, Yin; Anderson, Heather M. - 2011

This paper proposes a new test for simultaneous intraday jumps in a panel of high frequency financial data. We utilize intraday first-high-low-last values of asset prices to construct estimates for the cross-variation of returns in a large panel of high frequency financial data, and then employ...

Persistent link: https://www.econbiz.de/10009406375

Parametric conditional Monte Carlo density estimation

Liao, Yin; Stachurski, John - 2011

Persistent link: https://www.econbiz.de/10009411410

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

Large-scale minimum variance portfolio allocation using double regularization

Bian, Zhicun; Liao, Yin; O'Neill, Michael; Shi, Jing; … - In: Journal of economic dynamics & control 116 (2020), pp. 1-16

Persistent link: https://www.econbiz.de/10012503240

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

Testing for cojumps in high-frequency financial data : an approach based on first-high-low-last prices

Liao, Yin; Anderson, Heather M. - In: Journal of banking & finance 99 (2019), pp. 252-274

Persistent link: https://www.econbiz.de/10012162415

Forecasting the variance of stock index returns using jumps and cojumps

Clements, Ada; Liao, Yin - In: International journal of forecasting 33 (2017) 3, pp. 729-742

Persistent link: https://www.econbiz.de/10011746201

Firm-specific information and systemic risk

Clements, Adam; Liao, Yin - In: Economic modelling 90 (2020), pp. 480-493

Persistent link: https://www.econbiz.de/10012428956

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