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Coherent mortality forecasting with a model averaging approach : evidence from global populations

Shi, Yanlin - In: North American actuarial journal : NAAJ ; leading the … 28 (2024) 1, pp. 218-235

Persistent link: https://www.econbiz.de/10014513816

A new unique impulse response function in linear vector autoregressive models

Shi, Yanlin - In: International review of finance : the official journal … 23 (2023) 2, pp. 460-468

Persistent link: https://www.econbiz.de/10014326311

A closed-form solution for the stochastic volatility model with applications on international stock markets

Shi, Yanlin - In: Journal of the Operational Research Society 74 (2023) 4, pp. 1183-1197

Persistent link: https://www.econbiz.de/10014334888

A tale of two tails : a new unique information share measure based on copulas

Shi, Yanlin - 2024

Persistent link: https://www.econbiz.de/10015338773

Robust information share measures with an application on the international crude oil markets

Li, Hong; Shi, Yanlin - In: Journal of Futures Markets 42 (2021) 4, pp. 555-579

Persistent link: https://www.econbiz.de/10012808319

Claims reserving with a robust generalized additive model

Chang, Le; Gao, Guangyuan; Shi, Yanlin - In: North American actuarial journal : NAAJ ; leading the … 28 (2024) 4, pp. 840-860

Persistent link: https://www.econbiz.de/10015189584

Discussions on the Zero-drift GARCH model : evidence from an Markov regime-switching extension

Feng, Lingbing; Fu, Tong; Shi, Yanlin; Wang, Zili - In: Finance research letters 40 (2021), pp. 1-8

Persistent link: https://www.econbiz.de/10012819431

A new unique information share measure with applications on cross-listed Chinese banks

Li, Hong; Shi, Yanlin - In: Journal of banking & finance 128 (2021), pp. 1-19

Persistent link: https://www.econbiz.de/10012821622

A simulation study on the distributions of disturbances in the GARCH model

Feng, Lingbing; Shi, Yanlin - In: Cogent economics & finance 5 (2017) 1, pp. 1-19

Generalized autoregressive conditional heteroskedastic (GARCH) model is a standard approach to study the volatility behaviour of financial time series. The original specification of GARCH model is developed based on Normal distribution for the disturbances, which cannot accommodate fat-tailed...

Persistent link: https://www.econbiz.de/10011882518

A discussion on the innovation distribution of the Markov regime-switching GARCH model

Shi, Yanlin; Feng, Lingbing - In: Economic modelling 53 (2016), pp. 278-288

Persistent link: https://www.econbiz.de/10011641034