Jia Liu
- Finance and Business Economics
- Alumni
Contact Information
| Email: | liuj46@mcmaster.ca |
| Website: | Visit |
Jia joined the PhD program (Finance) at the DeGroote School of Business in September 2011. His research interests include financial econometrics and empirical finance.
Thesis Title: Advancing Financial Market Volatility Measurement and Forecasting
Supervisor: John Maheu
Current Position: Assistant Professor in Finance at Saint Mary’s University, Nova Scotia
- M.A., Statistics, University of South Florida
- B.Sc., Statistics, Tianjin University of Finance and Economics
- Sessional Lecturer – Security Analysis (COMM 3FB3), McMaster University, January – May 2016
- Research Assistant for Dr. John Maheu, McMaster University, July 2014 – Present
- Teaching Assistant, McMaster University, September 2011 – Present
- Teaching Assistant, University of South Florida, August 2009 – May 2011
- Referee (Journal) – Journal of Empirical Finance
- Discussant (Conference) – Canadian Economics Association Annual Conference
Working Papers
- “Bayesian Nonparametric Covariance Estimation with Noisy and Nonsynchronous Asset Prices” (Job Market Paper)
- “Bayesian Nonparametric Estimation of Ex-post Variance” (with Jim Griffin and John Maheu)
- “Improving Markov Switching Model using Realized Variance” (with John Maheu)
Work in Progress
- Have the Dynamics of Intraday Stock Returns Changed Over Time? (with Wing Hong Chan and John Maheu)
Conference Presentations
- “Bayesian Nonparametric Estimation of Ex-post Variance”, Canadian Econometrics Study Group (Poster Session), London, ON, October 2016
- “Bayesian Nonparametric Estimation of Ex-post Variance”, The Rimini Conference in Economics and Finance, Waterloo, ON, September 2016
- “Bayesian Nonparametric Estimation of Ex-post Variance”, NBER-NSF Seminar on Bayesian Inference in Econometrics and Statistics, Philadelphia, PA, April 2016
- “Improving Markov Switching Model using Realized Variance”, Midwest Econometrics Group Annual Meeting, St. Louis, MO, October 2015
- “Improving Markov Switching Model using Realized Variance”, Canadian Econometrics Study Group (Poster Session), Guelph, ON, September 2015
- “Improving Markov Switching Model using Realized Variance”, Canadian Economics Association Annual Conference, Toronto, ON, June 2015
- “Improving Markov Switching Model using Realized Variance”, Doctoral Workshop in Applied Econometrics, Toronto, ON, April 2014