Yin Liao : Citation Profile

Are you Yin Liao?

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

6

H index

3

i10 index

80

Citations

RESEARCH PRODUCTION:

6

Articles

11

Papers

RESEARCH ACTIVITY:

   16 years (2001 - 2017). See details.
   Cites by year: 5
   Journals where Yin Liao has often published
   Relations with other researchers
   Recent citing documents: 16.    Total self citations: 3 (3.61 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pli536
   Updated: 2023-08-19    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:

Zhang, Yaojie (5)

Corsetti, Giancarlo (3)

Martin, Gael (3)

GUPTA, RANGAN (3)

Müller, Gernot (3)

Kuester, Keith (3)

Forbes, Catherine (3)

Jamasb, Tooraj (2)

VORTELINOS, DIMITRIOS (2)

Renò, Roberto (2)

Mauad, Roberto (2)

Cites to:

Bollerslev, Tim (55)

Andersen, Torben (42)

Diebold, Francis (36)

Shephard, Neil (20)

Corsi, Fulvio (16)

Tauchen, George (10)

Renò, Roberto (8)

Vahid, Farshid (8)

Laurent, Sébastien (8)

Anderson, Heather (8)

Engle, Robert (7)

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 (2022 and 2021)

YearTitle of citing document
2021Contagion of fear: Is the impact of COVID?19 on sovereign risk really indiscriminate?. (2021). Cevik, Serhan ; Ozturkkal, Belma. In: International Finance. RePEc:bla:intfin:v:24:y:2021:i:2:p:134-154.

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2023Is a co-jump in prices a sparse jump?. (2023). Li, Handong ; Song, Shijia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000463.

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2022An oil futures volatility forecast perspective on the selection of high-frequency jump tests. (2022). Ma, Feng ; Lu, Xinjie ; Liao, Yin. In: Energy Economics. RePEc:eee:eneeco:v:116:y:2022:i:c:s014098832200487x.

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2022Diversifier or more? Hedge and safe haven properties of green bonds during COVID-19. (2022). Jamasb, Tooraj ; Nepal, Rabindra ; Farid, Saqib ; Naeem, Muhammad Abubakr ; Arif, Muhammad. In: Energy Policy. RePEc:eee:enepol:v:168:y:2022:i:c:s0301421522003275.

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2022Using implied volatility jumps for realized volatility forecasting: Evidence from the Chinese market. (2022). Chen, Pengzhan ; Wu, Bin ; Xia, Wenjing ; Ye, Wuyi. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002320.

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2022Jumps and stock market variance during the COVID-19 pandemic: Evidence from international stock markets. (2022). Li, Tao ; Zeng, Qing ; Lu, Xinjie ; Wu, Lan. In: Finance Research Letters. RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322001787.

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2022Blockchain and crypto-exposed US companies and major cryptocurrencies: The role of jumps and co-jumps. (2022). Cepni, Oguzhan ; Bouri, Elie ; Xu, Fang. In: Finance Research Letters. RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004068.

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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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2022Leverage of Local State-Owned Enterprises, Implicit Contingent Liabilities of Government and Economic Growth. (2022). huang, yixuan ; Guo, Min ; Duan, Yixuan. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:6:p:3481-:d:772878.

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2022Stock Market Synchronization and Stock Volatility: The Case of an Emerging Market. (2022). Guzman, Vicente Alfonso ; Antonio, Esteban Jose ; Pulgar, Nicolas Magner. In: Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance). RePEc:imx:journl:v:17:y:2022:i:3:a:5.

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2021Estimating volatility clustering and variance risk premium effects on bank default indicators. (2021). Çevik, Emrah ; Cevik, Emrah Ismail ; Kenc, Turalay. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:57:y:2021:i:4:d:10.1007_s11156-021-00981-6.

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2022Forecasting Multivariate Volatilities with Exogenous Predictors: An Application to Industry Diversification Strategies. (2022). Demirer, Riza ; Gupta, Rangan ; Cepni, Oguzhan ; Luo, Jiawen. In: Working Papers. RePEc:pre:wpaper:202258.

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2022To jump or not to jump: momentum of jumps in crude oil price volatility prediction. (2022). Zhang, Yaojie ; Wang, Yudong ; Ma, Feng ; Wei, YU. In: Financial Innovation. RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-022-00360-7.

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2021Forecasting Chinas Crude Oil Futures Volatility: The Role of the Jump, Jumps Intensity, and Leverage Effect. (2021). Huang, Dengshi ; M. I. M. Wahab, ; Ma, Feng ; Wang, Jiqian. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:5:p:921-941.

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2022Forecasting realized volatility: New evidence from time?varying jumps in VIX. (2022). Dutta, Anupam ; Das, Debojyoti. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:12:p:2165-2189.

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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.
[Full Text][Citation analysis]		paper8
2010Do Jumps Matter? Forecasting Multivariate Realized Volatility allowing for Common Jumps.(2010) In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		paper
2011Parametric Conditional Monte Carlo Density Estimation In: ANU Working Papers in Economics and Econometrics.
[Full Text][Citation analysis]		paper0
2014Corporate credit risk prediction under stochastic volatility and jumps In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article4
2014Banking sector contingent liabilities and sovereign risk In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article13
2017Forecasting the variance of stock index returns using jumps and cojumps In: International Journal of Forecasting.
[Full Text][Citation analysis]		article20
2013The benefit of modeling jumps in realized volatility for risk prediction: Evidence from Chinese mainland stocks In: Pacific-Basin Finance Journal.
[Full Text][Citation analysis]		article13
2012Does Modeling Jumps Help? A Comparison of Realized Volatility Models for Risk Prediction In: CAMA Working Papers.
[Full Text][Citation analysis]		paper0
2013Contingent Liabilities and Sovereign Risk: Evidence from Banking Sectors In: CAMA Working Papers.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		paper4
2013The dynamics of co-jumps, volatility and correlation In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper8
2013Modeling and forecasting realized volatility: getting the most out of the jump component In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper1
2013Structural Credit Risk Model with Stochastic Volatility: A Particle-filter Approach In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper1
2014The role in index jumps and cojumps in forecasting stock index volatility: Evidence from the Dow Jones index In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper0
2001News and network structures in equity market volatility In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper0
2015Simulation-Based Density Estimation for Time Series Using Covariate Data In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article1
2016The Small and Medium Enterprises and the Credit Reporting System in China In: Global Credit Review (GCR).
[Full Text][Citation analysis]		article0

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