Access Statistics for Xiaochun Liu

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary 0 0 0 19 0 1 5 38
Encompassing tests for value at risk and expected shortfall multi-step forecasts based on inference on the boundary 0 0 0 9 0 0 20 49
Foreign exchange predictability during the financial crisis: implications for carry trade profitability 0 0 0 162 0 0 8 396
Markov-Switching Quantile Autoregression 0 0 1 89 1 1 25 183
Modeling the time-varying skewness via decomposition for out-of-sample forecast 0 0 0 12 0 3 16 86
Quantile-based modeling of scale dynamics in financial returns for Value-at-Risk and Expected Shortfall forecasting 0 0 10 10 1 3 10 10
Systemic Risk of Commercial Banks: A Markov-Switching Quantile Autoregression Approach 0 0 0 70 0 0 7 152
The Dynamic International Optimal Hedge Ratio 0 0 1 35 1 2 10 128
Total Working Papers 0 0 12 406 3 10 101 1,042

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A new approach to risk-return trade-off dynamics via decomposition 0 0 0 20 0 1 14 119
An integrated macro-financial risk-based approach to the stressed capital requirement 0 0 0 7 1 1 7 53
An integrated macro‐financial risk‐based approach to the stressed capital requirement 0 0 0 0 0 2 10 17
Are exchange rates absorbers of global oil shocks? A generalized structural analysis 1 1 2 9 1 4 21 33
Can macroeconomic dynamics explain the time variation of risk–return trade-offs in the U.S. financial market? 0 0 0 2 0 0 10 50
China's segmented stock market: An application of the conditional international capital asset pricing model 0 0 0 64 0 1 12 249
Cyclicality of stock market volatility 0 0 1 4 0 1 8 25
Encompassing Tests for Value at Risk and Expected Shortfall Multistep Forecasts Based on Inference on the Boundary* 0 0 0 4 1 1 9 23
Forecasting short-run exchange rate volatility with monetary fundamentals: A GARCH-MIDAS approach 1 2 4 56 2 6 29 182
Foreign exchange predictability and the carry trade: A decomposition approach 0 0 0 24 0 0 15 159
How is the Taylor Rule Distributed under Endogenous Monetary Regimes? 0 0 0 6 0 1 6 25
Markov switching quantile autoregression 0 0 0 8 1 1 21 67
Markov-switching quantile autoregression: a Gibbs sampling approach 0 0 2 26 1 4 21 121
Measuring systemic risk with regime switching in tails 0 0 0 12 0 0 9 82
Modeling time-varying skewness via decomposition for out-of-sample forecast 0 0 0 10 1 1 7 52
On fiscal and monetary policy-induced macroeconomic volatility dynamics 0 0 1 21 0 0 9 66
On tail fatness of macroeconomic dynamics 0 0 0 20 0 1 10 75
QUANTILE-BASED ASYMMETRIC DYNAMICS OF REAL GDP GROWTH 0 0 0 11 0 0 3 25
Quantile-based modeling of scale dynamics in financial returns for Value-at-Risk and Expected Shortfall forecasting 0 0 0 0 2 2 3 3
Structural Volatility Impulse Response Function and Asymptotic Inference 0 0 0 13 1 2 16 60
Structural sources of oil market volatility and correlation dynamics 0 0 1 6 0 1 6 22
Unfolded GARCH models 0 0 0 19 1 2 10 106
Unfolded Skewness and Kurtosis Timings in Out-of-Sample Density Forecasts of Financial Returns 0 0 6 6 1 1 38 38
Unfolded risk-return trade-offs and links to Macroeconomic Dynamics 0 0 1 8 1 1 10 76
Total Journal Articles 2 3 18 356 14 34 304 1,728

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Statistics updated 2026-10-11