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Nonlinearity and efficiency dynamics of foreign exchange markets : evidence from multifractality and volatility of major exchange rates

Han, Chenyu; Wang, Yiming; Xu, Yingying - In: Economic research 33 (2020) 1,1, pp. 731-751

Persistent link: https://www.econbiz.de/10013173575

White flight in Los Angeles county, 1960 - 1990 : a model of fuzzy tipping

Wang, Yiming - In: The annals of regional science : an international … 47 (2011) 1, pp. 111-129

Schellings (J Math Sociol 1:143186, 1971) tipping model is a classic model of racial residential segregation. In this paper, the Schelling original is translated into a fuzzy set version and tested against demographic census data in Los Angeles county from 1960 to 1990. Results of nonlinear...

Persistent link: https://www.econbiz.de/10009235124

Corporate probability of default : a single-index hazard model approach

Li, Shaobo; Tian, Shaonan; Yu, Yan; Zhu, Xiaorui; Lian, Heng - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 4, pp. 1288-1299

Persistent link: https://www.econbiz.de/10014448636

Estimating the interest rate term structure of corporate debt with a semiparametric penalized spline model

Jarrow, Robert A.; Ruppert, David; Yu, Yan - In: Journal of the American Statistical Association : JASA 99 (2004) 465, pp. 57-66

Persistent link: https://www.econbiz.de/10002029382

Quality of PIN estimates and the PIN-return relationship

Yan, Yuxing; Zhang, Shaojun - In: Journal of banking & finance 43 (2014), pp. 137-149

Persistent link: https://www.econbiz.de/10010409000

Quality of PIN Estimates and the PIN-Return Relationship

Yan, Yuxing - 2014

This paper provides new evidence concerning the probability of informed trading (PIN) and the PIN-return relationship. We take measures to overcome known estimation biases and improve the quality of quarterly PIN estimates. We use the average of a firm's PIN estimates in four consecutive...

Persistent link: https://www.econbiz.de/10013054880