Items where Author is "Liu, Xiaoquan"

Article

Kellard, Neil and Jiang, Ying and Liu, Xiaoquan (2020) Night trading and market quality: Evidence from Chinese and U.S. precious metal futures markets. Journal of Futures Markets, 40 (10). pp. 1486-1507. DOI https://doi.org/10.1002/fut.22147

Liu, Xiaoquan and Cao, Yi and Ma, Chenghu and Shen, Liya (2019) Wavelet-based option pricing: An empirical study. European Journal of Operational Research, 272 (3). pp. 1132-1142. DOI https://doi.org/10.1016/j.ejor.2018.07.025

Jiang, Ying and Liu, Xiaoquan and Ye, Wuyi (2015) Do intraday data contain more information for volatility forecasting? Evidence from the Chinese commodity futures market. Applied Economics Letters, 22 (3). pp. 218-222. DOI https://doi.org/10.1080/13504851.2014.934425

Liu, Xiaoquan and Pong, Eddie SY and Shackleton, Mark B and Zhang, Yuanyuan (2014) Option-Implied Volatilities and Stock Returns: <i>Evidence from Industry-Neutral Portfolios</i>. The Journal of Portfolio Management, 41 (1). pp. 65-77. DOI https://doi.org/10.3905/jpm.2014.41.1.065

Guarin, Alexander and Liu, Xiaoquan and Ng, Wing Lon (2014) Recovering default risk from CDS spreads with a nonlinear filter. Journal of Economic Dynamics and Control, 38. pp. 87-104. DOI https://doi.org/10.1016/j.jedc.2013.09.006

Haven, Emmanuel and Liu, Xiaoquan and Shen, Liya (2012) De-noising option prices with the wavelet method. European Journal of Operational Research, 222 (1). pp. 104-112. DOI https://doi.org/10.1016/j.ejor.2012.04.020

Ye, Wuyi and Liu, Xiaoquan and Miao, Baiqi (2012) Measuring the subprime crisis contagion: Evidence of change point analysis of copula functions. European Journal of Operational Research, 222 (1). pp. 96-103. DOI https://doi.org/10.1016/j.ejor.2012.04.004

Guarin, Alexander and Liu, Xiaoquan and Ng, Wing Lon (2011) Enhancing credit default swap valuation with meshfree methods. European Journal of Operational Research, 214 (3). pp. 805-813. DOI https://doi.org/10.1016/j.ejor.2011.05.046

Chen, Jian and Liu, Xiaoquan (2010) The model-free measures and the volatility spread. Applied Economics Letters, 17 (18). pp. 1829-1833. DOI https://doi.org/10.1080/13504850903357350

Liu, Xiaoquan and Shackleton, Mark B and Taylor, Stephen J and Xu, Xinzhong (2009) Empirical pricing kernels obtained from the UK index options market. Applied Economics Letters, 16 (10). pp. 989-993. DOI https://doi.org/10.1080/13504850701222210

Haven, Emmanuel and Liu, Xiaoquan and Ma, Chenghu and Shen, Liya (2009) Revealing the implied risk-neutral MGF from options: The wavelet method. Journal of Economic Dynamics and Control, 33 (3). pp. 692-709. DOI https://doi.org/10.1016/j.jedc.2008.09.001

Monograph

Liu, Xiaoquan and Shen, Liya (2017) Wavelet-based option pricing: An empirical study. Working Paper. Essex Finance Centre Working Papers. (Unpublished)

Liu, Xiaoquan and Brennan, Michael J and Xia (deceased), Yihong (2006) Option Pricing Kernels and the ICAPM. Working Paper. Elsevier BV. (In Press)