Jia Liu

Finance and Business Economics
McMaster University 1280 Main Street West Hamilton, ON, Canada L8S 4M4
905-525-9140

Jia joined the PhD program (Finance) at the DeGroote School of Business in September 2011. His research interests include financial econometrics and empirical finance.

Supervisor: John Maheu

Education

  • M.A., Statistics, University of South Florida
  • B.Sc., Statistics, Tianjin University of Finance and Economics

Selected Publications and Presentations

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

Experience

  • 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

Professional Activities

  • Referee (Journal) – Journal of Empirical Finance
  • Discussant (Conference) – Canadian Economics Association Annual Conference
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