Lily Y. Liu
Lily Y. Liu
Financial Economist

Supervision, Regulation & Credit

email  lily.liu@bos.frb.org

617-973-0796

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Publications

Refereed articles

"Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes", with Andrew Patton and Kevin Sheppard, 2015. Journal of Econometrics, Economics, 187(1), 293-311.

Working papers and other unpublished papers

"Estimating Loss Given Default from CDS under Weak Identification", 2015.

"Estimating Loss Given Default from CDS under Weak Identification", Federal Reserve Bank of Boston RPA 17-1, May 2017.