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 0 4 37
Encompassing tests for value at risk and expected shortfall multi-step forecasts based on inference on the boundary 0 0 0 9 0 1 24 49
Foreign exchange predictability during the financial crisis: implications for carry trade profitability 0 0 0 162 0 0 9 396
Markov-Switching Quantile Autoregression 0 0 1 89 0 4 24 182
Modeling the time-varying skewness via decomposition for out-of-sample forecast 0 0 0 12 0 4 13 83
Quantile-based modeling of scale dynamics in financial returns for Value-at-Risk and Expected Shortfall forecasting 0 0 10 10 0 1 7 7
Systemic Risk of Commercial Banks: A Markov-Switching Quantile Autoregression Approach 0 0 0 70 0 1 7 152
The Dynamic International Optimal Hedge Ratio 0 0 1 35 0 3 8 126
Total Working Papers 0 0 12 406 0 14 96 1,032

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 1 1 14 119
An integrated macro-financial risk-based approach to the stressed capital requirement 0 0 0 7 0 2 9 52
An integrated macro‐financial risk‐based approach to the stressed capital requirement 0 0 0 0 0 1 9 15
Are exchange rates absorbers of global oil shocks? A generalized structural analysis 0 0 1 8 1 2 18 30
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 1 1 12 249
Cyclicality of stock market volatility 0 0 1 4 0 0 7 24
Encompassing Tests for Value at Risk and Expected Shortfall Multistep Forecasts Based on Inference on the Boundary* 0 0 1 4 0 0 10 22
Forecasting short-run exchange rate volatility with monetary fundamentals: A GARCH-MIDAS approach 1 1 4 55 1 4 27 177
Foreign exchange predictability and the carry trade: A decomposition approach 0 0 0 24 0 4 16 159
How is the Taylor Rule Distributed under Endogenous Monetary Regimes? 0 0 0 6 0 0 5 24
Markov switching quantile autoregression 0 0 0 8 0 0 20 66
Markov-switching quantile autoregression: a Gibbs sampling approach 0 0 2 26 0 1 17 117
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 0 1 6 51
On fiscal and monetary policy-induced macroeconomic volatility dynamics 0 1 1 21 0 1 10 66
On tail fatness of macroeconomic dynamics 0 0 0 20 1 2 11 75
QUANTILE-BASED ASYMMETRIC DYNAMICS OF REAL GDP GROWTH 0 0 1 11 0 0 4 25
Quantile-based modeling of scale dynamics in financial returns for Value-at-Risk and Expected Shortfall forecasting 0 0 0 0 0 1 1 1
Structural Volatility Impulse Response Function and Asymptotic Inference 0 0 0 13 0 1 14 58
Structural sources of oil market volatility and correlation dynamics 0 1 1 6 0 1 5 21
Unfolded GARCH models 0 0 0 19 0 0 9 104
Unfolded Skewness and Kurtosis Timings in Out-of-Sample Density Forecasts of Financial Returns 0 0 6 6 0 2 37 37
Unfolded risk-return trade-offs and links to Macroeconomic Dynamics 0 0 1 8 0 0 10 75
Total Journal Articles 1 3 19 354 5 25 290 1,699

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Statistics updated 2026-08-07