Yin Liao : Citation Profile


Are you Yin Liao?

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

6

H index

2

i10 index

61

Citations

RESEARCH PRODUCTION:

6

Articles

11

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: 9.    Total self citations: 3 (4.69 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pli536
   Updated: 2021-06-12    RAS profile: 2017-10-30    
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Relations with other researchers


Works with:

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

Is cited by:

Corsetti, Giancarlo (3)

Müller, Gernot (3)

Kuester, Keith (3)

Martin, Gael (3)

Meier, Andre (2)

Renò, Roberto (2)

Caporin, Massimiliano (2)

Laurini, Márcio (2)

Marfatia, Hardik (2)

Yao, Wenying (2)

Forbes, Catherine (2)

Cites to:

Bollerslev, Tim (45)

Andersen, Torben (34)

Diebold, Francis (30)

Barndorff-Nielsen, Ole (18)

Shephard, Neil (17)

Corsi, Fulvio (13)

Tauchen, George (9)

Laurent, Sébastien (7)

merton, robert (6)

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 (2021 and 2020)


YearTitle of citing document
2020On the nexus between sovereign risk and banking crises. (2020). Girardone, Claudia ; Fiordelisi, Franco ; Ricci, Ornella ; Minnucci, Federica. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920301619.

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2020Evaluating sovereign risk spillovers on domestic banks during the European debt crisis. (2020). Keddad, Benjamin ; Schalck, Christophe. In: Economic Modelling. RePEc:eee:ecmode:v:88:y:2020:i:c:p:356-375.

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2021Sovereign credit ratings: Discovering unorthodox factors and variables. (2021). Teo, Wing Leong ; Chit, Myint Moe ; Choy, Swee Yew. In: Global Finance Journal. RePEc:eee:glofin:v:48:y:2021:i:c:s1044028320300120.

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2021Financial stress and the probability of sovereign default. (2021). Saenz, Manrique ; Rho, Caterina. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:110:y:2021:i:c:s0261560620302618.

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2020Do Bitcoin and other cryptocurrencies jump together?. (2020). Hussain, Syed Jawad ; Roubaud, David ; Bouri, Elie. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:76:y:2020:i:c:p:396-409.

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2020Forecasting oil price volatility using high-frequency data: New evidence. (2020). Liu, Jing ; Wei, YU ; Ma, Feng ; Chen, Wang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:66:y:2020:i:c:p:1-12.

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2020Quantifying Risks to Sovereign Market Access: Methods and Challenges. (2020). Zigraiova, Diana ; Erce, Aitor ; Jiang, XU. In: Globalization Institute Working Papers. RePEc:fip:feddgw:87484.

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2020Intraday Jumps, Liquidity, and U.S. Macroeconomic News: Evidence from Exchange Traded Funds. (2020). Jurdi, Doureige J. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:6:p:118-:d:367863.

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2020Diversifier or More? Hedge and Safe Haven Properties of Green Bonds During COVID-19. (2020). Nepal, Rabindra ; Jamasb, Tooraj ; Farid, Saqib ; Naeem, Muhammad Abubakr ; Arif, Muhammad. In: Working Papers. RePEc:hhs:cbsnow:2021_001.

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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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paper8
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: 8
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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article10
2017Forecasting the variance of stock index returns using jumps and cojumps In: International Journal of Forecasting.
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article9
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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article11
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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paper7
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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paper7
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

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