Zhenya Liu

Renmin University of China

Professor of Financial Econometrics

School of Finance

Beijing, Beijing 100872

China

CERGAM, Aix-Marseille University

Associated Researcher

Aix-Marseille University

3 Avenue Robert Schuman,

Aix-en-Provence, 13628

France

  • Renmin University of China

  • CERGAM, Aix-Marseille University

SCHOLARLY PAPERS

12

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Scholarly Papers (12)

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1.

Time Series Momentum and Reversal: Intraday Information From Realized Semivariance

Number of pages: 54 Posted: 22 May 2020 Last Revised: 10 Oct 2022
Zhenya Liu, Shanglin Lu, Bo Li and Shixuan Wang
Renmin University of China, University of International Business and Economics - School of Banking and Finance, Beijing International Studies University and University of Reading - Department of Economics
Downloads 649 (71,181)
Citation 10

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Commodity Futures Pricing, Time Series Momentum, Momentum Reversal, Realized Semivariance, High-frequency Data

2.

Multivariate Volatility Regulated Kelly Strategy: A Superior Choice in Low Correlated Portfolios

Number of pages: 37 Posted: 23 Mar 2017 Last Revised: 03 Jun 2017
Zhenya Liu, Weifeng Zhou, Shixuan Wang and Ruanmin Cao
Renmin University of China, University of Birmingham, University of Reading - Department of Economics and University of Birmingham - Department of Economics
Downloads 302 (173,622)

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Kelly, low correlation, portfolio.

3.

Asymmetry, Tail Risk and Time Series Momentum

Number of pages: 37 Posted: 07 May 2020 Last Revised: 14 Sep 2021
Zhenya Liu, Shanglin Lu and Shixuan Wang
Renmin University of China, University of International Business and Economics - School of Banking and Finance and University of Reading - Department of Economics
Downloads 276 (190,588)

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Commodity futures, Time series momentum, Momentum reversal, Partial moments

4.

Decoding Chinese Stock Market Returns: Three-State Hidden Semi-Markov Model

Number of pages: 38 Posted: 26 Aug 2016 Last Revised: 16 Jun 2017
Zhenya Liu and Shixuan Wang
Renmin University of China and University of Reading - Department of Economics
Downloads 261 (202,325)
Citation 2

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Chinese Stock Market, Asset Return, Hidden Semi-Markov Model

5.

Modeling Intraday Momentum and Reversal by a Parsimonious Diffusion Process

Number of pages: 37 Posted: 17 Jun 2019
Shiqing Ling, Zhenya Liu and Shixuan Wang
Hong Kong University of Science & Technology (HKUST), Renmin University of China and University of Reading - Department of Economics
Downloads 209 (249,598)

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Double-well Potential; Fokker-Planck Equation; Intraday Price Dynamics; In-fill Asymptotics; Overreaction

6.

A Functional Time Series Analysis of Forward Curves Derived from Commodity Futures

Number of pages: 38 Posted: 27 Aug 2018 Last Revised: 29 Jul 2019
Lajos Horváth, Zhenya Liu, Gregory Rice and Shixuan Wang
University of Utah - Department of Mathematics, Renmin University of China, University of Waterloo - Department of Statistics and Actuarial Science and University of Reading - Department of Economics
Downloads 204 (255,192)

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Forward curves, S&P GSCI, Commodity Futures, Functional Data Analysis, Functional Autoregressive Models, Functional Principal Component Analysis

7.

Fee Structure and Fund Manager's Optimal Selling Rule

Number of pages: 24 Posted: 30 Jul 2019
Zhenya Liu, Xuyuan Han and Yaosong Zhan
Renmin University of China, Renmin University of China and Business School, Sun Yat-sen University
Downloads 89 (486,092)

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Fund Management, Fee Structure, Optimal Selling Rule

8.

Sequential Monitoring for Changes from Stationarity to Mild Non-stationarity

Number of pages: 55 Posted: 16 Oct 2018 Last Revised: 10 Jun 2019
Lajos Horváth, Zhenya Liu, Gregory Rice and Shixuan Wang
University of Utah - Department of Mathematics, Renmin University of China, University of Waterloo - Department of Statistics and Actuarial Science and University of Reading - Department of Economics
Downloads 87 (492,965)
Citation 1

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change point detection, stationarity testing, normal approximation, non-stationary ARMA time series, non-stationary GARCH time series

9.

Noncausal AR-GARCH Model and Its Applications in Asset Pricing

Number of pages: 32 Posted: 07 Aug 2023
Shiqing Ling, Zhenya Liu, Shixuan Wang and Yaosong Zhan
Hong Kong University of Science & Technology (HKUST), Renmin University of China, University of Reading - Department of Economics and Business School, Sun Yat-sen University
Downloads 59 (610,348)

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Noncausal, GARCH Model, Asset Pricing

10.

Sequential Monitoring of Changes in Housing Prices

Number of pages: 47 Posted: 01 Mar 2020
Lajos Horváth, Zhenya Liu and Shanglin Lu
University of Utah - Department of Mathematics, Renmin University of China and University of International Business and Economics - School of Banking and Finance
Downloads 53 (642,006)

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Sequential Change Point Detection, Weak Dependence, Linear Model, Autoregressive Model, Real Estate Market

11.

Decomposing the Asset Pricing Anomalies: Evidence from China

Number of pages: 28 Posted: 18 Feb 2021
Bo Li and Zhenya Liu
Beijing International Studies University and Renmin University of China
Downloads 47 (676,289)

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Firm Characteristics, Asset Pricing Anomaly, Large-scale Assets, Functional Principal Component Analysis

12.

A Parsimonious Risk Factor Model for Global Commodity Future Market

Posted: 16 Mar 2017
Zhenya Liu and Weiqing Tang
Renmin University of China and University of Birmingham, Department of Economics, Students

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Asset pricing, Risk-Neutral, Skewness, Factors, Bootstrap