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Chen, Louisa and Shen, Liya and Zhou, Zhiping (2023) Understand Funding Liquidity and Market Liquidity in a Regime-switching Model. International Journal of Finance and Economics, 28 (1). pp. 589-605. DOI https://doi.org/10.1002/ijfe.2438
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
Liu, Xiaoquan and Shen, Liya (2017) Wavelet-based option pricing: An empirical study. Working Paper. Essex Finance Centre Working Papers. (Unpublished)
Chen, Jian and Shen, Liya and Wang, Xiaoke and Zuo, Haomiao (2015) The role of variance risk premium in predicting excess stock market return: out-of-sample evidences. Applied Economics Letters, 22 (17). pp. 1-7. DOI https://doi.org/10.1080/13504851.2015.1034831
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
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