Journal Article
Liao, K. (2026). The Role of Price‐Volatility Cojumps in Volatility Forecasting. Journal of Futures Markets. https://doi.org/10.1002/fut.70091
Liao, K. (2026). Realized drift and equity premium. Finance Research Letters. https://doi.org/10.1016/j.frl.2026.110284
Conference papers
"Time-Varying Impacts of Jumps on Realized Variance Forecast" (K. Liao)
18th Annual SoFiE Conference (The Society for Financial Econometrics), 2026
"Good and bad volatility estimation for drift-diffusion process" (with K. Evans and D. Gilder)
World Congress of the Econometric Society, 2025
Rimini Centre for Economic Analysis International Conference, 2025
International Conference of the Financial Engineering and Banking Society, 2025
International Association for Applied Econometrics Conference, 2024
Asian Meeting of the Econometric Society, 2023
"The refinement of signed jumps for drift bias and its implication to volatility prediction" (with K. Evans and D. Gilder)
15th Annual SoFiE Conference (The Society for Financial Econometrics), 2023
"Drift bursts, volatility forecasting, and the variance risk premium" (with K. Evans and D. Gilder)
International Association for Applied Econometrics Conference, 2025
Lancaster Financial Econometrics Conference, 2023
"The role of jumps in anticipating volatility" (with K. Evans and D. Gilder)
European Financial Management Association Annual Conference, 2023
British Accounting & Finance Association Annual Conference, 2023