Closed-form transformations from risk-neutral to real-world distributions X Liu, MB Shackleton, SJ Taylor, X Xu Journal of Banking & Finance 31 (5), 1501-1520, 2007 | 183 | 2007 |
De-noising option prices with the wavelet method E Haven, X Liu, L Shen European Journal of Operational Research 222 (1), 104-112, 2012 | 95 | 2012 |
Measuring the subprime crisis contagion: Evidence of change point analysis of copula functions W Ye, X Liu, B Miao European Journal of Operational Research 222 (1), 96-103, 2012 | 76 | 2012 |
Time-varying quantile association regression model with applications to financial contagion and VaR W Ye, K Luo, X Liu European Journal of Operational Research 256, 1015-1028, 2017 | 34 | 2017 |
Can currency-based risk factors help forecast exchange rates?, S Ahmed, X Liu, G Valente International Journal of Forecasting 32, 75-97, 2016 | 28 | 2016 |
Revealing the implied risk-neutral MGF from options: The wavelet method E Haven, X Liu, C Ma, L Shen Journal of Economic Dynamics and Control 33 (3), 692-709, 2009 | 24 | 2009 |
Volatility forecasting in the Chinese commodity futures market with intraday data Y Jiang, S Ahmed, X Liu Review of Quantitative Finance and Accounting, 1-51, 2016 | 22 | 2016 |
Investor sentiment and value and growth stock index options J Coakley, G Dotsis, X Liu, J Zhai The European Journal of Finance 20 (12), 1211-1229, 2014 | 21 | 2014 |
Empirical pricing kernels obtained from the UK index options market X Liu, MB Shackleton, SJ Taylor, X Xu Applied Economics Letters 16 (10), 989-993, 2009 | 16 | 2009 |
Recovering default risk from CDS spreads with a nonlinear filter A Guarin, X Liu, WL Ng Journal of Economic Dynamics and Control 38, 87-104, 2014 | 13 | 2014 |
Enhancing credit default swap valuation with meshfree methods A Guarin, X Liu, WL Ng European Journal of Operational Research 214 (3), 805-813, 2011 | 13 | 2011 |
Returns to trading portfolios of FTSE 100 index options X Liu Applied Financial Economics 17 (15), 1211-1225, 2007 | 13 | 2007 |
Bid–ask spread, strike prices and risk-neutral densities X Liu Applied Financial Economics 17 (11), 887-900, 2007 | 12 | 2007 |
Do intraday data contain more information for volatility forecasting? Evidence from the Chinese commodity futures market Y Jiang, X Liu, W Ye Applied Economics Letters 22 (3), 218-222, 2015 | 7 | 2015 |
Option-implied volatilities and stock returns: Evidence from industry-neutral portfolios X Liu, ESY Pong, MB Shackleton, Y Zhang Journal of Portfolio Management 41 (1), 65-77, 2014 | 5 | 2014 |
High-frequency Trading and Treasury Bond Returns X Liu, I Lo, M Nguyen, G Valente | 5* | |
The model-free measures and the volatility spread J Chen, X Liu Applied Economics Letters 17 (18), 1829-1833, 2010 | 3 | 2010 |
A pricing kernel approach to valuing options on interest rate futures X Liu, JM Kuo, J Coakley The European Journal of Finance 21 (2), 93-110, 2015 | 2 | 2015 |
An Empirical Investigation of Option Pricing Models X Liu, L Shen Working paper, 2008 | 2* | 2008 |
Investor heterogeneity, sentiment, and skewness preference in options market A Lazos, J Coakley, X Liu Sentiment, and Skewness Preference in Options Market (October 2015), 2015 | | 2015 |