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Yin Liao

Dr

  • 57 Citations
  • 4 h-Index
20132020
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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 2020

  • 57 Citations
  • 4 h-Index
  • 12 Article

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 journalArticleResearchpeer-review

Expected Shortfall
Spectral Decomposition
Horizon
Tail
Decomposition

Firm-specific information and systemic risk

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

Research output: Contribution to journalArticleResearchpeer-review

File
Systemic risk
News
Information risk
Surprise
Asset returns

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

Mei, D., Ma, F., Liao, Y. & Wang, L., Dec 2019, (Accepted/In press) In : Energy Economics. 86, 8 p., 104624.

Research output: Contribution to journalArticleResearchpeer-review

Sampling
Uncertainty
Oils
Oil
Risk and uncertainty

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