Nathan Liu

Institute of Finance, National Chiao Tung University

1001 University Road

East District

Hsinchu, 300

Taiwan

  • Institute of Finance, National Chiao Tung University

SCHOLARLY PAPERS

3

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1,364

SSRN CITATIONS

1

CROSSREF CITATIONS

3

Scholarly Papers (3)

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1.

Range Volatility Models and Their Applications in Finance

HANDBOOK OF QUANTITATIVE FINANCE AND RISK MANAGEMENT, Cheng-Few Lee and Alice C. Lee, eds., 2009
Number of pages: 25 Posted: 10 Jun 2008 Last Revised: 02 Feb 2009
Ray Y. Chou, Heng-Chih Chou and Nathan Liu
Academia Sinica, National Taiwan Ocean University and Institute of Finance, National Chiao Tung University
Downloads 1,118 (34,009)
Citation 1

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CARR, DCC, GARCH, High/low range, realized volatility, multivariate volatility, volatility

2.

The Economic Value of Volatility Timing using a Range-Based Volatility Model

Number of pages: 31 Posted: 22 Jan 2009
Ray Y. Chou and Nathan Liu
Academia Sinica and Institute of Finance, National Chiao Tung University
Downloads 246 (214,404)
Citation 4

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Asset allocation, CARR, DCC, Economic value, Range, Volatility timing

3.

Range Volatility: A Review of Models and Empirical Studiues

Handbook of Financial Econometrics and Statistics, Forthcoming
Posted: 30 Oct 2012
Ray Y. Chou, Heng-Chih Chou and Nathan Liu
Academia Sinica, National Taiwan Ocean University and Institute of Finance, National Chiao Tung University

Abstract:

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Range, Volatility forecasting, Dynamic conditional correlation, Smooth transition, Copula, Realized volatility, Risk management.