Reasearch Papers

[1]Bing-Yue Liu, Qiang Ji, Duc Khuong Nguyen, Ying Fan. 2020. Dynamic dependence and extreme risk comovement: The case of oil prices and exchange rates.International Journal of Finance & Economics,Accepted.

[2] Jiang-Bo Geng, Fu-Rui Chen, Qiang Ji,Bing-Yue Liu*. 2021. Network connectedness between natural gas markets, uncertainty and stock markets.Energy Economics95,105001.

[3] Qiang Ji,Bing-Yue Liu*, Ying Fan. 2019. Risk dependence of CoVaR and structural change between oil prices and exchange rates: A time-varying copula model.Energy Economics77, 80-92.

[4]Bing-Yue Liu, Qiang Ji, Ying Fan. 2017. Dynamic return-volatility dependence and risk measure of CoVaR in the oil market: A time-varying mixed copula model.Energy Economics68, 53-65.

[5]Bing-Yue Liu, Qiang Ji, Ying Fan. 2017. A new time-varying optimal copula model identifying the dependence across markets.Quantitative Finance17(3), 437-453.