Junwei Liu

Xiamen University

Xiamen, Fujian 361005

China

SCHOLARLY PAPERS

2

DOWNLOADS

346

CITATIONS

0

Scholarly Papers (2)

1.

Realised Co-Skewness of the VIX and S&P 500 and the Equity Premium

Asian Finance Association (AsianFA) 2014 Conference Paper
Number of pages: 27 Posted: 08 Jan 2014
Zhi Liu, Junwei Liu, Kent Wang and Zhanglong Wang
University of Macau, Xiamen University, University of Queensland and Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Downloads 129 (143,772)

Abstract:

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Itˆo Variance hedging; Co-skewness; Stock return prediction; High frequency data; Market microstructure noise; Pre-averaging

2.

Realized Skewness at High Frequency and the Link to a Conditional Market Premium

Asian Finance Association (AsFA) 2013 Conference
Number of pages: 32 Posted: 25 Feb 2013 Last Revised: 26 Apr 2014
Zhi Liu, Kent Wang and Junwei Liu
University of Macau, University of Queensland and Xiamen University
Downloads 123 (152,883)

Abstract:

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Ito semi-martingale, High-frequency, Jump, Microstructure noise, Realized skewness, Stock return prediction