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Article

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

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

Monograph

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 (Unpublished)