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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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Corporate credit risk prediction under stochastic volatility and jumps
Bu, Di; Liao, Yin - In: Journal of economic dynamics & control 47 (2014), pp. 263-281
Persistent link: https://www.econbiz.de/10010485852
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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
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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 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