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Items where Author is "Liu, Xiaoquan"

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Number of items: 13.

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. ISSN 0270-7314

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. ISSN 0377-2217

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. ISSN 1350-4851

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. ISSN 0095-4918

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. ISSN 0165-1889

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. ISSN 0377-2217

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. ISSN 0377-2217

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. ISSN 0377-2217

Chen, Jian and Liu, Xiaoquan (2010) 'The model-free measures and the volatility spread.' Applied Economics Letters, 17 (18). pp. 1829-1833. ISSN 1350-4851

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. ISSN 1350-4851

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. ISSN 0165-1889

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)

This list was generated on Wed May 18 05:32:48 2022 BST.