← All authors Xiaochun Liu University of Alabama (from arXiv:2603.02357, 2026) · ORCID · OpenAlex
18 papers in scope · 18 published · 1 on the econ.EM arXiv · 236 citations · h-index 9 (over the papers listed here)
Papers (1 of 18)
published 2025 · International Journal of Forecasting · 2 citations
Unfolded Skewness and Kurtosis Timings in Out-of-Sample Density Forecasts of Financial Returns
published 2025 · Quarterly Journal of Finance
Are exchange rates absorbers of global oil shocks? A generalized structural analysis
published 2024 · Journal of International Money and Finance · 3 citations
with Andre Harrison, Shamar L. Stewart
Structural sources of oil market volatility and correlation dynamics
published 2023 · Energy Economics · 11 citations
with Andre Harrison, Shamar L. Stewart
Forecasting short-run exchange rate volatility with monetary fundamentals: A GARCH-MIDAS approach
published 2020 · Journal of Banking & Finance · 56 citations
with Yu You
On tail fatness of macroeconomic dynamics
published 2019 · Journal of Macroeconomics · 17 citations
QUANTILE-BASED ASYMMETRIC DYNAMICS OF REAL GDP GROWTH
published 2019 · Macroeconomic Dynamics · 4 citations
Structural Volatility Impulse Response Function and Asymptotic Inference
published 2017 · Journal of Financial Econometrics · 9 citations
Markov-switching quantile autoregression: a Gibbs sampling approach
published 2017 · Studies in Nonlinear Dynamics and Econometrics · 9 citations
An integrated macro‐financial risk‐based approach to the stressed capital requirement
published 2017 · Review of Financial Economics · 4 citations
Unfolded risk-return trade-offs and links to Macroeconomic Dynamics
published 2017 · Journal of Banking & Finance · 22 citations
How is the Taylor Rule Distributed under Endogenous Monetary Regimes?
published 2017 · International Review of Finance · 4 citations
Foreign exchange predictability and the carry trade: A decomposition approach
published 2017 · Journal of Empirical Finance · 16 citations
Can macroeconomic dynamics explain the time variation of risk–return trade-offs in the U.S. financial market?
published 2017 · The Quarterly Review of Economics and Finance · 1 citations
Measuring systemic risk with regime switching in tails
published 2016 · Economic Modelling · 30 citations
A new approach to risk-return trade-off dynamics via decomposition
published 2015 · Journal of Economic Dynamics and Control · 19 citations
Unfolded GARCH models
published 2015 · Journal of Economic Dynamics and Control · 19 citations
China's segmented stock market: An application of the conditional international capital asset pricing model
published 2008 · Emerging Markets Review · 10 citations
with Brian Jacobsen
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