Xiaoquan Liu

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Bubbles and dependence between international equity markets Quantitative Finance	2024-04-12	Paper
The impact of US macroeconomic news announcements on Chinese commodity futures Quantitative Finance	2021-09-03	Paper
Option valuation under no-arbitrage constraints with neural networks European Journal of Operational Research	2021-06-07	Paper
A neural network enhanced volatility component model Quantitative Finance	2021-06-02	Paper
Volatility modeling and prediction: the role of price impact Quantitative Finance	2020-09-16	Paper
Recovering default risk from CDS spreads with a nonlinear filter Journal of Economic Dynamics and Control	2018-11-01	Paper
Wavelet-based option pricing: an empirical study European Journal of Operational Research	2018-10-30	Paper
Time-varying quantile association regression model with applications to financial contagion and VaR European Journal of Operational Research	2018-05-24	Paper
Measuring the subprime crisis contagion: evidence of change point analysis of copula functions European Journal of Operational Research	2012-12-29	Paper
De-noising option prices with the wavelet method European Journal of Operational Research	2012-12-29	Paper
Enhancing credit default swap valuation with meshfree methods European Journal of Operational Research	2011-08-19	Paper
Revealing the implied risk-neutral MGF from options: the wavelet method Journal of Economic Dynamics and Control	2009-08-07	Paper

Research outcomes over time

This page was built for person: Xiaoquan Liu