Weiyi Liu

Capital University of Economics and Business - School of Finance

Capital University of Economics and Business

Capital University of Economics and Business

Beijing, Beijng 100070

China

  • Capital University of Economics and Business - School of Finance

SCHOLARLY PAPERS

2

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SSRN CITATIONS

11

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Scholarly Papers (2)

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1.

Common Risk Factors in the Returns on Cryptocurrencies

Number of pages: 25 Posted: 21 May 2019
Weiyi Liu, Xuan Liang and Guowei Cui
Capital University of Economics and Business - School of Finance, Australian National University (ANU), Research School of Finance, Actuarial Studies and Statistics and Huazhong University of Science and Technology
Downloads 260 (181,640)
Citation 8

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Cryptocurrency; Market return; Size; Momentum; Factor model

2.

Volatility Estimation and Jump Testing via Realized Information Variation

Number of pages: 31 Posted: 14 Jul 2016
Weiyi Liu and Mingjin Wang
Capital University of Economics and Business - School of Finance and PKU
Downloads 93 (421,734)

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Volatility, Jump, Realized Information Variation, Realized Information Power Variation, Microstructure noise