鍑▼鑰冪爺锛屼负瀛﹀憳鏈嶅姟锛屼负瀛︾敓寮曡矾锛?/p>
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椤靛叡
1
椤?/p>
娓呭崕閲戣瀺纭曞＋鐢熷甯堝垬娣崇畝浠?/p>
鍒樻烦
閲戣瀺绯诲壇鏁欐巿
鍔炲叕瀹や紵浼︽ゼ
416C
涓汉绠�浠?/p>
鐮旂┒鎴愭灉
鐮旂┒椤圭洰
鍒樻烦锛屾竻鍗庡ぇ瀛︾粡娴庣鐞嗗闄㈤噾铻嶇郴鍔╃悊鏁欐巿锛屼簬
1999
骞磋幏寰楁竻鍗庡ぇ瀛﹂噾铻嶅瀛﹀＋瀛︿綅锛?/p>
2001
骞磋幏寰楁竻鍗庡ぇ瀛﹂噾铻嶅纭曞＋瀛︿綅锛?/p>
2007
骞磋幏寰楀姞鎷垮ぇ澶氫鸡澶氬ぇ瀛︾粡娴庡鍗氬＋瀛︿綅銆備富
瑕佺爺绌堕鍩熶负閲戣瀺璁￠噺銆侀噾铻嶅競鍦恒�侀闄╃鐞嗐�傝鎺堣绋嬪寘鎷祫浜у畾浠枫�侀噾铻嶈閲忓銆侀闄?/p>
绠＄悊锛岃鐢熶骇鍝佺瓑銆?/p>
浠栧彂琛ㄧ殑鏈熷垔璁烘枃涓衡�?/p>
ForecastingRealizedV
olatility:ABayesianModelAveragingApproach
鈥?/p>
锛?/p>
JournalofAppliedEconometrics
锛?/p>
銆?/p>
鈥?/p>
AreThereStructuralBreaksinRealizedVolatility?
鈥?/p>
(JournalofFinancialEconometrics)
銆?/p>
鈥滄槸璋佽幏寰椾簡鏇撮珮鐨勫熀閲戞姇璧勬敹鐩婏紵鈥?/p>
锛堥噾铻嶇爺绌讹級
銆?/p>
鈥滀娇
鐢ㄨ竟闄呬技鐒跺嚱鏁拌瘑鍒彉缁撴瀯妯″瀷鈥?/p>
锛堢粺璁＄爺绌讹級
銆?/p>
鈥滄満鏋勬姇璧勮�呮槸鑲″競鏆存定鏆磋穼鐨勫姪鎺ㄥ櫒鍚楋紵鈥?/p>
锛堥噾铻嶇爺绌讹級銆?/p>
鈥滃畯瑙傜粡娴庡洜绱犲涓浗琛屼笟鑲＄エ鏀剁泭鐜囩殑褰卞搷鈥濓紙璐㈣锤缁忔祹锛夈�佲�滀腑鍥借偂绁?/p>
甯傚満鐨勬棩闂存尝鍔ㄧ巼鍜屼氦鏄撴椂闂寸殑鑱斿悎鍒嗘瀽鈥?/p>
锛堜腑鍥借蒋绉戝锛夈�?/p>
鈥滃祵鍏ユ�ц瑙掍笅鐨勪紒涓氬绀句細
璧勬湰涓庢潈鐩婅祫鏈垚鏈�?/p>
锛堜腑鍥藉伐涓氱粡娴庯級銆?/p>
鈥滀娇鐢ㄨ礉鍙舵柉鏂规硶璇嗗埆鑲″競鍙樼粨鏋勬ā鍨嬧�?/p>
锛堟竻鍗?/p>
澶?/p>
瀛?/p>
瀛?/p>
鎶?/p>
锛?/p>
锛?/p>
宸?/p>
浣?/p>
璁?/p>
鏂?/p>
涓?/p>
鈥?/p>
IntradayDynamicsofV
olatilityandDuration:EvidencefromtheChineseStockMarket
鈥?/p>
銆?/p>
鈥?/p>
OntheEconomicIntegrationandFinancialContagion
鈥濄�?/p>
鐜版寔鏈夐噾铻嶉闄╃鐞嗗笀锛?/p>
FRM
锛夊拰閲戣瀺鍒嗘瀽甯堬紙
CFA
锛夎瘉涔︺�?/p>
鑷?/p>
2007
骞磋嚦浠婏紝鎷呬换娓呭崕澶у缁忔祹绠＄悊瀛﹂櫌鍔╃悊鏁欐巿銆?/p>
鏈熷垔璁烘枃锛堝浗闄咃級
ChunLiu,JohnMaheu
锛?/p>
鈥?/p>
IntradayDynamicsofV
olatilityandDuration:EvidencefromtheChineseStockMarket
鈥?/p>
锛?/p>
PacificBasinFinanceJournal,forthcoming
ChunLiuandQingLiu,"MarginalLikelihoodCalculationforGelfand-DeyandChibMethod
鈥?/p>
锛?/p>
EconomicsLetters,Forthcoming.
ChunLIUandJohnMaheu,ForecastingRealizedV
olatility:ABayesianModelAveragingApproach,Jour
nalofAppliedEconometrics,V
ol.24No.5p709-733,2009-08-01
ChunLIUandJohnMaheu,AreThereStructuralBreaksinRealizedV
olatility?,Journaloffinancialecono
metrics,Vol.6No.2008,summer,p326-360,2008-08-01