Dr Yin Liao
This person does not currently hold a position at QUT.
BiographyBackground Yin Liao joined the School of Economics and Finance in July 2012. Prior to this appointment she held a lecturer position in the Research School of Finance, Actuarial Studies & Applied Statistics, Australian National University (ANU), Canberra. After completing her Master of Economics at ANU in 2007, she obtained her PhD in Economics (Financial Econometrics), entitled “Essays on High Frequency Financial Econometrics”, at ANU in 2011.
- Time Series Econometrics
- Financial Econometrics
- Financial Volatility and Jumps
- Credit Risk Modeling
- Network Risk Modeling
PhD candidates who are interested in the following topics are welcome to contact with me to discuss about research ideas:
- Financial volatility and jumps
- Statistical inference on financial high frequency data
- Financial credit risk modeling
- Financial network risk modeling
- Financial extreme risk (e.g. Value-at-risk and Expected shortfall) modeling
- Empirical asset pricing
Financial Econometrics, Time-series Econometrics, Financial volatility and jumps, Inference on high-frequency financial data, Financial credit risk modeling, Financial network risk modeling, Financial extreme risk modeling, Empirical asset pricing
Econometrics, Banking, Finance and Investment
Field of Research code, Australian and New Zealand Standard Research Classification (ANZSRC), 2008
- Doctor of Philosophy in Economics (Australian National University)
- Bu D, Kelly S, Liao Y, Zhou Q, (2018) A hybrid information approach to predicting corporate credit risk, Journal of Futures Markets, 38 (9), pp. 1062-1078.
- Jiao L, Liao Y, Zhou C, (2018) Predicting carbon market risk using information from macroeconomic, Energy Economics, 73, pp. 212-227.
- Liao Y, Andersonz H, (2019) Testing for cojumps in high-frequency financial data: an approach based on first-high-low-last prices, Journal of Banking and Finance, 99, pp. 252-274.
- Clements A, Liao Y, (2017) Forecasting the variance of stock index returns using jumps and cojumps, International Journal of Forecasting, 33 (3), pp. 729-742.
- Liao Y, Stachurski J, (2015) Simulation-based density estimation for time series using covariate data, Journal of Business and Economic Statistics, 33 (4), pp. 595-606.
- Arslanalp S, Liao Y, (2014) Banking sector contingent liabilities and sovereign risk, Journal of Empirical Finance, 29, pp. 316-330.
- Bu D, Liao Y, (2014) Corporate credit risk prediction under stochastic volatility and jumps, Journal of Economic Dynamics and Control, 47, pp. 263-281.
- Liao Y, (2013) The benefit of modeling jumps in realized volatility for risk prediction: Evidence from Chinese mainland stocks, Pacific Basin Finance Journal, 23, pp. 25-48.