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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
1802012
A unit root model for trending time-series energy variables
PK Narayan, R Liu
Energy Economics, 2014
1532014
A GARCH Model for Testing Market Efficiency
PK Narayan, R Liu, J Westerlund
Journal of International Financial Markets, Institutions and Money, 2015
982015
Are shocks to commodity prices persistent?
PK Narayan, R Liu
Applied energy 88 (1), 409-416, 2011
902011
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
762007
Determinants of stock price bubbles
PK Narayan, S Mishra, S Sharma, R Liu
Economic Modelling 35, 661-667, 2013
532013
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
462008
Higher dimensional multifractal processes: A GMM approach
R Liu, T Lux
ICCEF 2010 book of abstracts, 2012
32*2012
New evidence on the weak-form efficient market hypothesis
PK Narayan, R Liu
Working Paper, 2013
222013
Non-homogeneous volatility correlations in the bivariate multifractal model
R Liu, T Lux
The European Journal of Finance, 1-21, 2014
162014
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
Multivariate multifractal models: estimation of parameters and applications to risk management
R Liu
Kiel, Christian-Albrechts-Universitšt, Diss., 2008, 2010
72010
Flexible and robust modelling of volatility comovements: a comparison of two multifractal models
R Liu, T Lux
Kiel working paper, 2010
52010
Multi-scaling modelling in financial markets [6802-50]
R Liu, T Aste, T Di Matteo
PROCEEDINGS-SPIE THE INTERNATIONAL SOCIETY FOR OPTICAL ENGINEERING 6802, 6802, 2008
4*2008
Multi-scaling modelling in financial markets
R Liu, T Aste, T Di Matteo
Microelectronics, MEMS, and Nanotechnology, 68021A-68021A-8, 2007
42007
The efficient market hypothesis re-visited: new evidence from 100 US firms
R Liu, PK Narayan
Financial Econometrics Series, Working Paper, 2011
12011
Higher Dimensional Multi-fractal Processes: Filtering via Simulation
R Liu, T Lux
12008
A look at different scaling behaviors by means of the generalized Hurst exponent approach
T Di Matteo, R Liu, T Lux
preparation, 2007
12007
Bivariate Multi-Fractal Model: Estimation of parameters and Applications to Risk Management
R Liu, T Lux
Economics Working paper, 2006
12006
The Efficient Market Hypothesis Re-Visited: New Evidence from 100 US Firms
PK Narayan, R Liu
Available at SSRN 2052121, 2011
2011
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Articles 1–20