Chun Liu

Tsinghua University - School of Economics and Management

Beijing, 100084

China

University of Toronto

105 St George Street

Toronto, Ontario M5S 3G8

Canada

  • Tsinghua University - School of Economics and Management

  • University of Toronto

SCHOLARLY PAPERS

5

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21

Scholarly Papers (5)

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1.

The Financing of Local Government in China: Stimulus Loan Wanes and Shadow Banking Waxes

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Citation 71

The Financing of Local Government in China: Stimulus Loan Wanes and Shadow Banking Waxes

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 78 Posted: 22 Feb 2017 Last Revised: 27 Aug 2019
Zhuo Chen, Zhiguo He, Chun Liu and Chun Liu
Tsinghua University - PBC School of Finance, University of Chicago - Finance and University of TorontoTsinghua University - School of Economics and Management
Downloads 671 (60,050)
Citation 17

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Local Government Financing Vehicles, Municipal Corporate Bonds, Shadow Banking in China, Railroad Finance, Trust Companies

The Financing of Local Government in China: Stimulus Loan Wanes and Shadow Banking Waxes

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2019-29, PBCSF-NIFR Research Paper
Number of pages: 78 Posted: 04 Mar 2019 Last Revised: 14 Jan 2021
Zhuo Chen, Zhiguo He, Chun Liu and Chun Liu
Tsinghua University - PBC School of Finance, University of Chicago - Finance and University of TorontoTsinghua University - School of Economics and Management
Downloads 234 (200,636)
Citation 28

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Keywords: Local Government Financing Vehicles, Municipal Corporate Bonds, Political Cycle, Shadow Banking in China, Railroad Finance, Trust Companies

The Financing of Local Government in China: Stimulus Loan Wanes and Shadow Banking Waxes

NBER Working Paper No. w23598
Number of pages: 66 Posted: 25 Jul 2017 Last Revised: 25 Dec 2022
Zhuo Chen, Zhiguo He, Chun Liu and Chun Liu
Tsinghua University - PBC School of Finance, University of Chicago - Finance and University of TorontoTsinghua University - School of Economics and Management
Downloads 51 (590,748)
Citation 14

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2.

Variation in Put-Call Parity Violation and Option Returns

Number of pages: 51 Posted: 04 Aug 2022 Last Revised: 11 Nov 2022
Chun Liu, Chun Liu, Tianyu Wang, Yintian Wang and Hong Xiang
University of TorontoTsinghua University - School of Economics and Management, Tsinghua University, School of Economics and Management, Tsinghua University and The Hong Kong Polytechnic University
Downloads 156 (288,826)

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put-call parity, options return predictability

3.

Marginal Likelihood Calculation for Gelfand-Dey and Chib Method

Number of pages: 8 Posted: 21 Nov 2011
Chun Liu and Chun Liu
University of TorontoTsinghua University - School of Economics and Management
Downloads 116 (362,675)

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model comparison, structural break, heterogeneous autoregressive model

4.

Intraday Dynamics of Volatility and Duration: Evidence from Chinese Stocks

Number of pages: 26 Posted: 12 Nov 2011
Chun Liu, Chun Liu and John M. Maheu
University of TorontoTsinghua University - School of Economics and Management and McMaster University - Michael G. DeGroote School of Business
Downloads 86 (442,463)
Citation 2

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Market microstructure, Transaction horizon, High-frequency data, ACD, GARCH

5.

Are There Structural Breaks in Realized Volatility?

Journal of Financial Econometrics, Vol. 6, Issue 3, pp. 326-360, 2008
Posted: 17 Jun 2008
Chun Liu, Chun Liu and John M. Maheu
University of TorontoTsinghua University - School of Economics and Management and McMaster University - Michael G. DeGroote School of Business

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C22, C11, G10, change point, GARCH, Gibbs sampling, marginal likelihood, realized volatility