Yin Liao : Citation Profile


Are you Yin Liao?

Queensland University of Technology (90% share)
Australian National University (10% share)

5

H index

1

i10 index

53

Citations

RESEARCH PRODUCTION:

6

Articles

12

Papers

RESEARCH ACTIVITY:

   16 years (2001 - 2017). See details.
   Cites by year: 3
   Journals where Yin Liao has often published
   Relations with other researchers
   Recent citing documents: 16.    Total self citations: 4 (7.02 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pli536
   Updated: 2019-12-07    RAS profile: 2017-10-30    
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Relations with other researchers


Works with:

Clements, Adam (4)

Authors registered in RePEc who have co-authored more than one work in the last five years with Yin Liao.

Is cited by:

Meier, Andre (3)

Corsetti, Giancarlo (3)

Müller, Gernot (3)

Martin, Gael (3)

Kuester, Keith (3)

GUPTA, RANGAN (2)

Mauad, Roberto (2)

Laurini, Márcio (2)

Forbes, Catherine (2)

Caporin, Massimiliano (2)

Franses, Philip Hans (2)

Cites to:

Bollerslev, Tim (45)

Andersen, Torben (34)

Diebold, Francis (30)

Barndorff-Nielsen, Ole (18)

Shephard, Neil (17)

Corsi, Fulvio (14)

Tauchen, George (9)

Laurent, Sébastien (7)

merton, robert (7)

Vahid, Farshid (6)

Anderson, Heather (6)

Main data


Where Yin Liao has published?


Working Papers Series with more than one paper published# docs
NCER Working Paper Series / National Centre for Econometric Research5
Monash Econometrics and Business Statistics Working Papers / Monash University, Department of Econometrics and Business Statistics2

Recent works citing Yin Liao (2018 and 2017)


YearTitle of citing document
2017Modeling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps. (2017). Itkin, Andrey. In: Papers. RePEc:arx:papers:1701.02821.

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2019Co-jumping of Treasury Yield Curve Rates. (2019). Baruník, Jozef ; Fiser, Pavel. In: Papers. RePEc:arx:papers:1905.01541.

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2017Financial Stability in Europe: Banking and Sovereign Risk. (2017). Kocenda, Evzen ; Bruha, Jan. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6453.

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2018Forecasting the oil futures price volatility: Large jumps and small jumps. (2018). Liu, Jing ; Zhang, Yaojie ; Yang, KE ; Ma, Feng. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:321-330.

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2018Forecasting oil futures price volatility: New evidence from realized range-based volatility. (2018). Ma, Feng ; Lai, Xiaodong ; Huang, Dengshi ; Zhang, Yaojie. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:400-409.

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2019Good, bad cojumps and volatility forecasting: New evidence from crude oil and the U.S. stock markets. (2019). Ma, Feng ; Chen, Yixiang ; Zhang, Yaojie. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:52-62.

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2018Financial stability in Europe: Banking and sovereign risk. (2018). Kočenda, Evžen ; Bruha, Jan ; Koenda, Even ; Brha, Jan. In: Journal of Financial Stability. RePEc:eee:finsta:v:36:y:2018:i:c:p:305-321.

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2019Testing for cojumps in high-frequency financial data: An approach based on first-high-low-last prices. (2019). Anderson, Heather ; Liao, Yin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:99:y:2019:i:c:p:252-274.

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2019Forecasting the U.S. stock volatility: An aligned jump index from G7 stock markets. (2019). Zhang, Yaojie ; Wahab, M. I. M., ; Ma, Feng. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:54:y:2019:i:c:p:132-146.

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2017Sovereign and bank Interdependencies—Evidence from the CDS market. (2017). Yu, Sherry. In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pa:p:68-84.

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2017Monitoring and Analysis of Contingent Budget Liabilities to Financial System. (2017). Belyakov, Igor V. In: Finansovyj žhurnal — Financial Journal. RePEc:fru:finjrn:170406:p:71-84.

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2019“Increasing contingent guarantees: The asymmetrical effect on sovereign risk of different government interventions. (2019). Sosvilla-Rivero, Simon ; Gómez-Puig, Marta ; Gomez-Puig, Marta ; Singh, Manish K. In: IREA Working Papers. RePEc:ira:wpaper:201914.

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2017Merton Model and Capital Measurement in Commercial Banks: A Case Study of Selected Emerging Countries in Southeast Asia. (2017). Alizadeh, Mohammadreza Janvisloo ; Sherafatian-Jahromi, Reza. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:24:y:2017:i:3:d:10.1007_s10690-017-9229-y.

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2017Price Jumps in Developed Stock Markets: The Role of Monetary Policy Committee Meetings. (2017). Marfatia, Hardik ; GUPTA, RANGAN ; Liu, Ruipeng ; Marco, Chi Keng . In: Working Papers. RePEc:pre:wpaper:201727.

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2019Price jumps in developed stock markets: the role of monetary policy committee meetings. (2019). Marfatia, Hardik ; GUPTA, RANGAN ; Liu, Ruipeng ; Marco, Chi Keng . In: Journal of Economics and Finance. RePEc:spr:jecfin:v:43:y:2019:i:2:d:10.1007_s12197-018-9444-z.

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2019Essays on Price Discovery and Volatility Dynamics in Emerging Market Currencies. (2019). Xiao, Ran. In: PhD Thesis. RePEc:uts:finphd:5-2019.

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Works by Yin Liao:


YearTitleTypeCited
2010Do Jumps Matter? Forecasting Multivariate Realized Volatility Allowing for Common Jumps In: ANU Working Papers in Economics and Econometrics.
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paper7
2010Do Jumps Matter? Forecasting Multivariate Realized Volatility allowing for Common Jumps.(2010) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has another version. Agregated cites: 7
paper
2011Parametric Conditional Monte Carlo Density Estimation In: ANU Working Papers in Economics and Econometrics.
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paper0
2014Corporate credit risk prediction under stochastic volatility and jumps In: Journal of Economic Dynamics and Control.
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article3
2014Banking sector contingent liabilities and sovereign risk In: Journal of Empirical Finance.
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article4
2017Forecasting the variance of stock index returns using jumps and cojumps In: International Journal of Forecasting.
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article5
2013The benefit of modeling jumps in realized volatility for risk prediction: Evidence from Chinese mainland stocks In: Pacific-Basin Finance Journal.
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article10
2012Does Modeling Jumps Help? A Comparison of Realized Volatility Models for Risk Prediction In: CAMA Working Papers.
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paper0
2013Contingent Liabilities and Sovereign Risk: Evidence from Banking Sectors In: CAMA Working Papers.
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paper6
2015Contingent Liabilities from Banks; How to Track Them? In: IMF Working Papers.
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paper4
2011Testing for co-jumps in high-frequency financial data: an approach based on first-high-low-last prices In: Monash Econometrics and Business Statistics Working Papers.
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paper4
2013The dynamics of co-jumps, volatility and correlation In: NCER Working Paper Series.
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paper8
2013Modeling and forecasting realized volatility: getting the most out of the jump component In: NCER Working Paper Series.
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paper0
2013Structural Credit Risk Model with Stochastic Volatility: A Particle-filter Approach In: NCER Working Paper Series.
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paper1
2014The role in index jumps and cojumps in forecasting stock index volatility: Evidence from the Dow Jones index In: NCER Working Paper Series.
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paper0
2001News and network structures in equity market volatility In: NCER Working Paper Series.
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paper0
2015Simulation-Based Density Estimation for Time Series Using Covariate Data In: Journal of Business & Economic Statistics.
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article1
2016The Small and Medium Enterprises and the Credit Reporting System in China In: Global Credit Review (GCR).
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article0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 2nd 2019. Contact: CitEc Team