Publications
2024
Dynamic causality between global supply chain pressures and China's resource industries: A time-varying Granger analysis
Ren, X., Fu, C., Jin, C., & Li, Y. (2024). Dynamic causality between global supply chain pressures and China's resource industries: A time-varying Granger analysis. International Review of Financial Analysis, 95, 103377. doi:10.1016/j.irfa.2024.103377
2020
A Multi-Factor Transformed Diffusion Model with Applications to VIX and VIX Futures
Bu, R., Jawadi, F., & Li, Y. (2020). A Multi-Factor Transformed Diffusion Model with Applications to VIX and VIX Futures. Econometric Reviews, 39(1), 27-53. doi:10.1080/07474938.2019.1690195
A Multi-Factor Transformed Diffusion Model with Applications to VIX and VIX Futures. Accepted in Econometric Reviews
Bu, R., Jawadi, F., & Li, Y. (2020). A Multi-Factor Transformed Diffusion Model with Applications to VIX and VIX Futures. Accepted in Econometric Reviews. Econometric Reviews, 39(01), 27-53. doi:10.1080/07474938.2019.169019
2017
An empirical comparison of transformed diffusion models for VIX and VIX futures
Bu, R., Jawadi, F., & Li, Y. (2017). An empirical comparison of transformed diffusion models for VIX and VIX futures. Journal of International Financial Markets, Institutions and Money, 46, 116-127. doi:10.1016/j.intfin.2016.08.003
2015
Testing for Structural Instability in Moment Restriction Models: An Info-Metric Approach
Hall, A. R., Li, Y., Orme, C. D., & Sinko, A. (2015). Testing for Structural Instability in Moment Restriction Models: An Info-Metric Approach. ECONOMETRIC REVIEWS, 34(3), 286-327. doi:10.1080/07474938.2014.944477