Nathan Liu

Institute of Finance, National Chiao Tung University

1001 University Road

East District

Hsinchu, 300

Taiwan

SCHOLARLY PAPERS

3

DOWNLOADS
Rank 35,821

SSRN RANKINGS

Top 35,821

in Total Papers Downloads

959

CITATIONS
Rank 40,177

SSRN RANKINGS

Top 40,177

in Total Papers Citations

4

Scholarly Papers (3)

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 717 (25,579)
Citation 2

Abstract:

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 193 (123,630)
Citation 2

Abstract:

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:

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