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Ruipeng Liu
Ruipeng Liu
Department of Finance, Deakin Business School, Deakin University
Verified email at deakin.edu.au - Homepage
Title
Cited by
Cited by
Year
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
1832012
A unit root model for trending time-series energy variables
PK Narayan, R Liu
Energy Economics 50, 391-402, 2015
1592015
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
1052016
Are shocks to commodity prices persistent?
PK Narayan, R Liu
Applied energy 88 (1), 409-416, 2011
942011
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
772007
Determinants of stock price bubbles
PK Narayan, S Mishra, S Sharma, R Liu
Economic Modelling 35, 661-667, 2013
582013
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
472008
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
282018
New evidence on the weak-form efficient market hypothesis
PK Narayan, R Liu
Working Paper, 2013
222013
Volatility forecasting with bivariate multifractal models
R Liu, R Demirer, R Gupta, M Wohar
Journal of Forecasting 39 (2), 155-167, 2020
192020
Non-homogeneous volatility correlations in the bivariate multifractal model
R Liu, T Lux
The European Journal of Finance, 1-21, 2014
172014
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
162018
Generalized Method of Moment estimation of multivariate multifractal models
R Liu, T Lux
Economic Modelling 67, 136-148, 2017
162017
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
152005
Investors’ uncertainty and forecasting stock market volatility
R Liu, R Gupta
Journal of Behavioral Finance 23 (3), 327-337, 2022
142022
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
102019
Multivariate multifractal models: estimation of parameters and applications to risk management
R Liu
Kiel, Christian-Albrechts-Universität, Diss., 2008, 2010
82010
Flexible and robust modelling of volatility comovements: a comparison of two multifractal models
R Liu, T Lux
Kiel working paper, 2010
52010
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
42017
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Articles 1–20