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Yin Liao

Dr

  • 63 Citations
  • 5 h-Index
20132020

Research output per year

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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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Projects

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

  • 63 Citations
  • 5 h-Index
  • 12 Article

Geopolitical risk uncertainty and oil future volatility: Evidence from MIDAS models

Mei, D., Ma, F., Liao, Y. & Wang, L., Feb 2020, In : Energy Economics. 86, 8 p., 104624.

Research output: Contribution to journalArticle

  • 1 Citation (Scopus)

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

    Bu, D., Liao, Y., Shi, J. & Peng, H., Nov 2019, In : Journal of Economic Dynamics and Control. 108, p. 1-15 15 p., 103753.

    Research output: Contribution to journalArticle

  • Firm-specific information and systemic risk

    Clements, A. E. & Liao, Y., 17 Dec 2019, In : Economic Modelling.

    Research output: Contribution to journalArticle

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  • 4 Downloads (Pure)

    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 journalArticle

  • 22 Citations (Scopus)

    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 journalArticle