Zhenya Liu

Renmin University of China

Professor of Financial Econometrics

School of Finance

Beijing, Beijing 100872

China

CERGAM, Aix-Marseille University

Professor of Financial Econometrics

Aix-Marseille University

3 Avenue Robert Schuman,

Aix-en-Provence, 13628

France

SCHOLARLY PAPERS

10

DOWNLOADS

554

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (10)

1.

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 160 (194,717)

Abstract:

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

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
Renmin University of China, University of Birmingham, University of Reading - Department of Economics and University of Birmingham - Department of Economics
Downloads 138 (219,941)

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Kelly, low correlation, portfolio.

3.

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
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 95 (287,906)

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

4.

Sequential Monitoring for Changes from Stationarity to Mild Non-stationarity

Number of pages: 55 Posted: 16 Oct 2018 Last Revised: 10 Jun 2019
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 56 (386,973)
Citation 1

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

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 54 (393,655)

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

6.

Time-Varying Beta in Functional Factor Models: Evidence from China

Number of pages: 37 Posted: 12 Nov 2019
Lajos Horváth, Bo Li, Hemei Li and Zhenya Liu
University of Utah - Department of Mathematics, Beijing International Studies University, Renmin University of China - School of Finance and Renmin University of China
Downloads 25 (517,338)

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Functional Factor Models, Time-Varying Beta, Functional Data 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 Renmin University of China - School of Finance
Downloads 19 (553,567)

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Fund Management, Fee Structure, Optimal Selling Rule

8.

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 Renmin University of China - School of Finance
Downloads 7 (631,852)

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

9.

Tail Dependence Structure of Metal Commodity Futures in London Metal Exchange

Posted: 05 Aug 2019
Xuyuan Han, Zhenya Liu and Shixuan Wang
Renmin University of China, Renmin University of China and University of Reading - Department of Economics

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metal commodity futures; r-vine copula; financial crisis

10.

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