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Volatility risk pass-through

Colacito, R.; Croce, Mariano M.; Liu, Yang; … - 2015 - This draft : December 3, 2015

Persistent link: https://www.econbiz.de/10011522124

The impact of geopolitical uncertainty on energy volatility

Liu, Yang; Han, Liyan; Xu, Yang - In: International review of financial analysis 75 (2021), pp. 1-17

Persistent link: https://www.econbiz.de/10012804169

Volatility risk pass-through

Colacito, Riccardo; Croce, Mariano M.; Liu, Yang; … - In: The review of financial studies 35 (2022) 5, pp. 2345-2385

Persistent link: https://www.econbiz.de/10013188964

Volatility risk pass-through

Colacito, Riccardo; Croce, Mariano M.; Liu, Yang; … - 2018

Persistent link: https://www.econbiz.de/10012060363

News implied volatility and long-term foreign exchange market volatility

Liu, Yang; Han, Liyan; Yin, Libo - In: International review of financial analysis 61 (2019), pp. 126-142

Persistent link: https://www.econbiz.de/10012206948

Does international oil volatility have directional predictability for stock returns? : evidence from BRICS countries based on cross-quantilogram analysis

Zhou, Zhongbao; Jiang, Yong; Liu, Yang; Lin, Ling; Liu, Qing - In: Economic modelling 80 (2019), pp. 352-382

Persistent link: https://www.econbiz.de/10012200710

Volatility risk pass-through

Colacito, Riccardo; Croce, Mariano M.; Liu, Yang; … - 2018

Persistent link: https://www.econbiz.de/10011979158

Volatility (dis)connect in international markets

Colacito, Riccardo; Croce, Mariano M.; Liu, Yang; … - 2022

Persistent link: https://www.econbiz.de/10012938941

Time-varying correlation and common structures in volatility

Liu, Yang - 2016

Persistent link: https://www.econbiz.de/10011556381

COVID-19 containment measures and expected stock volatility : high-frequency evidence from selected advanced economies

Acharya, Viral V.; Liu, Yang; Zhao, Yunhui - 2021

We study the effect of COVID-19 containment measures on expected stock price volatility in some advanced economies, using event studies with hand-collected minute-level data and panel regressions with daily data. We find that six-month-ahead volatility indices dropped following announcements of...

Persistent link: https://www.econbiz.de/10012612335