Lily Y. Liu
Lily Y. Liu
Senior Financial Economist

Supervision, Regulation & Credit

email  lily.liu@bos.frb.org

617-973-0796

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Publications

Refereed articles

“Estimating Loss Given Default from CDS under Weak Identification.” Journal of Financial Econometrics, 2020, https://doi.org/10.1093/jjfinec/nbaa012

"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, 187(1), 293-311.

Working papers and other unpublished papers

"Credit Scores Since the COVID-19 Outbreak", with Michal Kowalik and Xiyu Wang, Federal Reserve Bank of Boston SRA 21-04, 2021

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