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

SCHOLARLY PAPERS

2

DOWNLOADS

445

SSRN CITATIONS
Rank 36,747

SSRN RANKINGS

Top 36,747

in Total Papers Citations

27

CROSSREF CITATIONS

0

Scholarly Papers (2)

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 337 (167,324)
Citation 27

Abstract:

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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 108 (464,063)

Abstract:

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