Items where authors include "Chen, Liyuan"

Article

Baum, Christopher, Zerilli, Paola Z orcid.org/0000-0001-6589-5552 and Chen, Liyuan (2019) Stochastic volatility, jumps and leverage in energy and stock markets : evidence from high frequency data. Energy economics. 104481. ISSN 0140-9883

Chen, Liyuan, Zerilli, Paola Z orcid.org/0000-0001-6589-5552 and Baum, Christopher (2019) Leverage effects and stochastic volatility in spot oil returns : A Bayesian approach with VaR and CVaR applications. Energy economics. pp. 111-129. ISSN 0140-9883