Understanding the source of multifractality in financial markets J Barunik, T Aste, T Di Matteo, R Liu Physica A: Statistical Mechanics and its Applications 391 (17), 4234-4251, 2012 | 183 | 2012 |
A unit root model for trending time-series energy variables PK Narayan, R Liu Energy Economics 50, 391-402, 2015 | 159 | 2015 |
A GARCH model for testing market efficiency PK Narayan, R Liu, J Westerlund Journal of International Financial Markets, Institutions and Money 41, 121-138, 2016 | 105 | 2016 |
Are shocks to commodity prices persistent? PK Narayan, R Liu Applied energy 88 (1), 409-416, 2011 | 94 | 2011 |
True and apparent scaling: The proximity of the Markov-switching multifractal model to long-range dependence R Liu, T Di Matteo, T Lux Physica A: Statistical Mechanics and its Applications 383 (1), 35-42, 2007 | 77 | 2007 |
Determinants of stock price bubbles PK Narayan, S Mishra, S Sharma, R Liu Economic Modelling 35, 661-667, 2013 | 58 | 2013 |
Multifractality and long-range dependence of asset returns: the scaling behavior of the Markov-switching multifractal model with lognormal volatility components R Liu, T Di Matteo, T Lux Advances in complex systems 11 (05), 669-684, 2008 | 47 | 2008 |
Higher dimensional multifractal processes: A GMM approach R Liu, T Lux ICCEF 2010 book of abstracts, 2012 | 32* | 2012 |
A new GARCH model with higher moments for stock return predictability PK Narayan, R Liu Journal of International Financial Markets, Institutions and Money 56, 93-103, 2018 | 28 | 2018 |
New evidence on the weak-form efficient market hypothesis PK Narayan, R Liu Working Paper, 2013 | 22 | 2013 |
Volatility forecasting with bivariate multifractal models R Liu, R Demirer, R Gupta, M Wohar Journal of Forecasting 39 (2), 155-167, 2020 | 19 | 2020 |
Non-homogeneous volatility correlations in the bivariate multifractal model R Liu, T Lux The European Journal of Finance, 1-21, 2014 | 17 | 2014 |
Long memory in financial markets: A heterogeneous agent model perspective M Zheng, R Liu, Y Li International review of financial analysis 58, 38-51, 2018 | 16 | 2018 |
Generalized Method of Moment estimation of multivariate multifractal models R Liu, T Lux Economic Modelling 67, 136-148, 2017 | 16 | 2017 |
Long memory in financial time series: estimation of the bivariate multi-fractal model and its application for value-at-risk R Liu, T Lux Global Finance Conference, 2005 | 15 | 2005 |
Investors’ uncertainty and forecasting stock market volatility R Liu, R Gupta Journal of Behavioral Finance 23 (3), 327-337, 2022 | 14 | 2022 |
Price jumps in developed stock markets: The role of monetary policy committee meetings R Gupta, CKM Lau, R Liu, HA Marfatia Journal of Economics and Finance 43, 298-312, 2019 | 10 | 2019 |
Multivariate multifractal models: estimation of parameters and applications to risk management R Liu Kiel, Christian-Albrechts-Universität, Diss., 2008, 2010 | 8 | 2010 |
Flexible and robust modelling of volatility comovements: a comparison of two multifractal models R Liu, T Lux Kiel working paper, 2010 | 5 | 2010 |
Do bivariate multifractal models improve volatility forecasting in financial time series? An application to foreign exchange and stock markets R Liu, R Demirer, R Gupta, M Wohar University of Pretoria, Department of Economics Working Papers, 2017 | 4 | 2017 |