Yin Liao

Australian National University (ANU)

Canberra, Australian Capital Territory 2601

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

SCHOLARLY PAPERS

2

DOWNLOADS

130

CITATIONS

0

Scholarly Papers (2)

1.

Does Modeling Jumps Help? A Comparison of Realized Volatility Models for Risk Prediction

Centre for Applied Macroeconomic Analysis Working Paper No. 26/2012
Number of pages: 42 Posted: 05 Jun 2012
Yin Liao
Australian National University (ANU)
Downloads 65 (268,103)

Abstract:

value at risk (VaR), realized volatility, jumps

2.

Does Decomposing Realized Volatility Help in Risk Prediction: Evidence from Chinese Mainland Stocks

Number of pages: 31 Posted: 14 Feb 2011
Yin Liao
Australian National University (ANU)
Downloads 52 (305,239)

Abstract:

Value-at-Risk, Realized volatility, Bi-power variation, Jumps, HAR-CJN model