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Pricing interest rate derivatives in a non-parametric two-factor term-structure model

Knight, John L.; Li, Fuchun; Yuan, Mingwei - 1999

Persistent link: https://www.econbiz.de/10001429788

Combining forecasts with nonparametric kernel regressions

Li, Fuchun (contributor); Tkacz, Greg (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 8 (2004) 4

Persistent link: https://www.econbiz.de/10002652257

A semiparametric early warning model of financial stress events

Christensen, Ian; Li, Fuchun - 2013

The authors use the Financial Stress Index created by the International Monetary Fund to predict the likelihood of financial stress events for five developed countries: Canada, France, Germany, the United Kingdom and the United States. They use a semiparametric panel data model with...

Persistent link: https://www.econbiz.de/10009742333

Testing for financial contagion based on a nonparametric measure of the cross-market correlation

Li, Fuchun; Zhu, Hui - In: Review of financial economics : RFE 23 (2014) 3, pp. 141-147

Persistent link: https://www.econbiz.de/10010442578

A semiparametric two-factor term structure model

Knight, John L.; Li, Fuchun; Yuan, Mingwei - In: Journal of financial econometrics : official journal of … 4 (2006) 2, pp. 204-237

Persistent link: https://www.econbiz.de/10003318445

Estimation and inference of semiparametric models using data from several sources

Buchinsky, Moshe; Li, Fanghua; Liao, Zhipeng - In: Journal of econometrics 226 (2022) 1, pp. 80-103

Persistent link: https://www.econbiz.de/10013440517