Dr Yin Liao
This person does not currently hold a position at QUT.
Personal details
Keywords
Financial Econometrics, Time-series Econometrics, Financial volatility and jumps, Inference on high-frequency financial data, Financial credit risk modeling, Financial network risk modeling, Financial extreme risk modeling, Empirical asset pricing
Research field
Econometrics, Banking, Finance and Investment
Field of Research code, Australian and New Zealand Standard Research Classification (ANZSRC), 2008
Qualifications
- Doctor of Philosophy in Economics (Australian National University)
Publications
- Bu, D., Kelly, S., Liao, Y. & Zhou, Q. (2018). A hybrid information approach to predicting corporate credit risk. Journal of Futures Markets, 38(9), 1062–1078. https://eprints.qut.edu.au/223760
- Jiao, L., Liao, Y. & Zhou, C. (2018). Predicting carbon market risk using information from macroeconomic. Energy Economics, 73, 212–227. https://eprints.qut.edu.au/118176
- Liao, Y. & Andersonz, H. (2019). Testing for cojumps in high-frequency financial data: an approach based on first-high-low-last prices. Journal of Banking and Finance, 99, 252–274. https://eprints.qut.edu.au/123707
- Clements, A. & Liao, Y. (2017). Forecasting the variance of stock index returns using jumps and cojumps. International Journal of Forecasting, 33(3), 729–742. https://eprints.qut.edu.au/106774
- Liao, Y. & Stachurski, J. (2015). Simulation-based density estimation for time series using covariate data. Journal of Business and Economic Statistics, 33(4), 595–606. https://eprints.qut.edu.au/78030
- Arslanalp, S. & Liao, Y. (2014). Banking sector contingent liabilities and sovereign risk. Journal of Empirical Finance, 29, 316–330. https://eprints.qut.edu.au/77849
- Bu, D. & Liao, Y. (2014). Corporate credit risk prediction under stochastic volatility and jumps. Journal of Economic Dynamics and Control, 47, 263–281. https://eprints.qut.edu.au/77848
- Liao, Y., (2013). The benefit of modeling jumps in realized volatility for risk prediction: Evidence from Chinese mainland stocks. Pacific Basin Finance Journal, 23, 25–48. https://eprints.qut.edu.au/61206
QUT ePrints
For more publications by Yin, explore their research in QUT ePrints (our digital repository).