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Xiaoquan Liu
Xiaoquan Liu
Associate Professor in Finance
Dirección de correo verificada de nottingham.edu.cn
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Año
Closed-form transformations from risk-neutral to real-world distributions
X Liu, MB Shackleton, SJ Taylor, X Xu
Journal of Banking & Finance 31 (5), 1501-1520, 2007
1792007
De-noising option prices with the wavelet method
E Haven, X Liu, L Shen
European Journal of Operational Research 222 (1), 104-112, 2012
942012
Measuring the subprime crisis contagion: Evidence of change point analysis of copula functions
W Ye, X Liu, B Miao
European Journal of Operational Research 222 (1), 96-103, 2012
762012
Time-varying quantile association regression model with applications to financial contagion and VaR
W Ye, K Luo, X Liu
European Journal of Operational Research 256, 1015-1028, 2017
332017
Can currency-based risk factors help forecast exchange rates?,
S Ahmed, X Liu, G Valente
International Journal of Forecasting 32, 75-97, 2016
282016
Revealing the implied risk-neutral MGF from options: The wavelet method
E Haven, X Liu, C Ma, L Shen
Journal of Economic Dynamics and Control 33 (3), 692-709, 2009
242009
Volatility forecasting in the Chinese commodity futures market with intraday data
Y Jiang, S Ahmed, X Liu
Review of Quantitative Finance and Accounting, 1-51, 2016
212016
Investor sentiment and value and growth stock index options
J Coakley, G Dotsis, X Liu, J Zhai
The European Journal of Finance 20 (12), 1211-1229, 2014
212014
Empirical pricing kernels obtained from the UK index options market
X Liu, MB Shackleton, SJ Taylor, X Xu
Applied Economics Letters 16 (10), 989-993, 2009
152009
Recovering default risk from CDS spreads with a nonlinear filter
A Guarin, X Liu, WL Ng
Journal of Economic Dynamics and Control 38, 87-104, 2014
132014
Enhancing credit default swap valuation with meshfree methods
A Guarin, X Liu, WL Ng
European Journal of Operational Research 214 (3), 805-813, 2011
132011
Returns to trading portfolios of FTSE 100 index options
X Liu
Applied Financial Economics 17 (15), 1211-1225, 2007
132007
Bid–ask spread, strike prices and risk-neutral densities
X Liu
Applied Financial Economics 17 (11), 887-900, 2007
122007
Do intraday data contain more information for volatility forecasting? Evidence from the Chinese commodity futures market
Y Jiang, X Liu, W Ye
Applied Economics Letters 22 (3), 218-222, 2015
72015
Option-implied volatilities and stock returns: Evidence from industry-neutral portfolios
X Liu, ESY Pong, MB Shackleton, Y Zhang
Journal of Portfolio Management 41 (1), 65-77, 2014
52014
High-frequency Trading and Treasury Bond Returns
X Liu, I Lo, M Nguyen, G Valente
5*
The model-free measures and the volatility spread
J Chen, X Liu
Applied Economics Letters 17 (18), 1829-1833, 2010
32010
A pricing kernel approach to valuing options on interest rate futures
X Liu, JM Kuo, J Coakley
The European Journal of Finance 21 (2), 93-110, 2015
22015
An Empirical Investigation of Option Pricing Models
X Liu, L Shen
Working paper, 2008
2*2008
Investor heterogeneity, sentiment, and skewness preference in options market
A Lazos, J Coakley, X Liu
Sentiment, and Skewness Preference in Options Market (October 2015), 2015
2015
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Artículos 1–20