CV

  Papers

WEI LIU

PhD Candidate
Department of Economics
Sidney Smith Hall
100 St. George St., Rm 4072
Toronto, ON M5S 3G3
Tel: (416) 978-6018
Cell: (647) 999-9126
E-mail: leo.liu@utoronto.ca



Research Fields

Financial Econometrics, Financial Economics, Insurance, Risk Managment.

Summary of my papers

Publications

  • A new application of exact nonparametric methods to long-horizon predictability tests, with Alex Maynard, Studies in Nonlinear Dynamics & Econometrics 11(1)(2007 forthcoming).

  • Testing for forward rate unbiasedness allowing for persistent regressors, with Alex Maynard, Journal of Empirical Finance 12 (2005), 613-628.

    Working Papers

  • Efficient portfolio analysis using distortion risk measures, with Christian Gourieroux. (job market paper)

  • Sensitivity analysis of distortion risk measures, with Christian Gourieroux. (also job market paper, submitted to Insurance: Mathematics and Economics)

  • Currencies portfolio return: a copula methodology, submitted to Insurance and Risk Management Journal.

    Please click here for copies of papers or see my papers link.