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Yin Liao

Dr

  • 49 Citations
  • 4 h-Index
20132019
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Personal profile

Biography

Dr Yin Liao joined Department of Applied Finance at Macquarie University from July, 2019. Prior to that, she held position at the Australian National University and Queensland University of Technology. She received a Mater in Economics and a PhD in Financial Econometrics from the Australian National University in 2011.

Dr Liao's main research interests are in the areas of financial econometrics, household finance and credit risk. Her research publications have appeared in internationally renowned academic journals, including Journal of Business and Economic statistics, Journal of Banking and Finance, Journal of Economic Dynamics and Control,and Energy Economics, etc.

 

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  • 3 Similar Profiles
Expected Shortfall Mathematics
Credit Risk Mathematics
Stochastic Volatility Mathematics
Spectral Decomposition Mathematics
Density Estimation Mathematics
Covariates Mathematics
Horizon Mathematics
Tail Mathematics

Network Recent external collaboration on country level. Dive into details by clicking on the dots.

Projects 2013 2019

How Low-for-long Impact on Credit Risk Premium

Liao, Y., Berndt, A. & Helwege, J.

1/01/19 → …

Project: Research

Political Corruption and Household Financial Risk Taking

Liao, Y., Bu, D. & Hanspal, T.

1/07/18 → …

Project: Research

Novel Model Average Approach for Sovereign Credit Risk

Liao, Y. & Zhu, M.

1/07/151/12/16

Project: Research

Research Outputs 2013 2019

  • 49 Citations
  • 4 h-Index
  • 10 Article

Dynamic expected shortfall: A spectral decomposition of tail risk across time horizons

Bu, D., Liao, Y., Shi, J. & Peng, H., 2019, (Accepted/In press) In : Journal of Economic Dynamics and Control. 108, 15 p., 103753.

Research output: Contribution to journalArticleResearchpeer-review

Expected Shortfall
Spectral Decomposition
Horizon
Tail
Decomposition

Harnessing jump component for crude oil volatility forecasting in the presence of extreme shocks

Ma, F., Liao, Y., Zhang, Y. & Cao, Y., Jun 2019, In : Journal of Empirical Finance. 52, p. 40-55 16 p.

Research output: Contribution to journalArticleResearchpeer-review

Volatility forecasting
Crude oil
Jump
Oil markets
Market volatility

Testing for cojumps in high-frequency financial data: an approach based on first-high-low-last prices

Liao, Y. & Anderson, H. M., Feb 2019, In : Journal of Banking and Finance. 99, p. 252-274 23 p.

Research output: Contribution to journalArticleResearchpeer-review

Financial data
Testing
Test statistic
Announcement
Market regulation

A hybrid information approach to predict corporate credit risk

Bu, D., Kelly, S., Liao, Y. & Zhou, Q., Sep 2018, In : The Journal of Futures Markets. 38, 9, p. 1062-1078 17 p.

Research output: Contribution to journalArticleResearchpeer-review

Reduced-form model
Credit risk
Maturity
Prediction error
Prediction

Predicting carbon market risk using information from macroeconomic fundamentals

Jiao, L., Liao, Y. & Zhou, Q., 18 Jun 2018, In : Energy Economics. 73, p. 212-227 16 p.

Research output: Contribution to journalArticleResearchpeer-review

Carbon
Economics
Market risk
Carbon markets
Macroeconomic fundamentals