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Dynamic return-volatility dependence and risk measure of CoVaR in the oil market : a time-varying mixed copula model
Liu, Bing-Yue; Ji, Qiang; Fan, Ying - In: Energy economics 68 (2017), pp. 53-65
Persistent link: https://www.econbiz.de/10011904999
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Modelling dynamic dependence and risk spillover between all oil price shocks and stock market returns in the BRICS
Ji, Qiang; Liu, Bing-Yue; Zhao, Wan-Li; Fan, Ying - In: International review of financial analysis 68 (2020), pp. 1-12
Persistent link: https://www.econbiz.de/10012301045
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Risk dependence of CoVaR and structural change between oil prices and exchange rates : a time-varying copula model
Ji, Qiang; Liu, Bing-Yue; Fan, Ying - In: Energy economics 77 (2019), pp. 80-92
Persistent link: https://www.econbiz.de/10012306349
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Vector copulas
Fan, Yanqin; Henry, Marc - In: Journal of econometrics 234 (2023) 1, pp. 128-150
Persistent link: https://www.econbiz.de/10014364686
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Symmetrized multivariate k-NN estimators
Fan, Yanqin; Liu, Ruixuan - In: Econometric reviews 34 (2015) 6/10, pp. 828-848
Persistent link: https://www.econbiz.de/10011483390
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Partial identification of average treatment effects on the treated through difference-in-differences
Fan, Yanqin; Manzanares, Carlos A. - In: Econometric reviews 36 (2017) 6/9, pp. 1057-1080
Persistent link: https://www.econbiz.de/10011795566
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Partial identification of functionals of the joint distribution of "potential outcomes"
Fan, Yanqin; Guerre, Emmanuel; Zhu, Dongming - In: Journal of econometrics 197 (2017) 1, pp. 42-59
Persistent link: https://www.econbiz.de/10011818340
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Copulas in econometrics
Fan, Yanqin; Patton, Andrew J. - In: Annual review of economics 6 (2014), pp. 179-200
Persistent link: https://www.econbiz.de/10011380011
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Partial identification and inference in censored quantile regression
Fan, Yanqin; Liu, Ruixuan - In: Journal of econometrics 206 (2018) 1, pp. 1-38
Persistent link: https://www.econbiz.de/10012110350
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Estimation and inference in a high-dimensional semiparametric Gaussian copula vector autoregressive model
Fan, Yanqin; Han, Fang; Park, Hyeonseok - In: Journal of econometrics 237 (2023) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10014471479