Yanping Yi
CFDPs
CFDP 2215 | Xiaohong Chen, Zhuo Huang, Yanping Yi, "Efficient Estimation of Multivariate Semi-nonparametric GARCH Filtered Copula Models," (August 2015, revised October 2019) [78pp, Abstract] (See: CFP 1719) | |
CFDP 2033 | Xiaohong Chen, Oliver B. Linton, Stefan Schneeberger, Yanping Yi, "Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model," (March 2016) [51pp, Abstract] (See: CFP 1617) | |
CFDP 1691 | Xiaohong Chen, Wei Biao Wu, Yanping Yi, "Efficient Estimation of Copula-based Semiparametric Markov Models," (January 2009, updated March 2009) [55pp, Abstract] (See: 1284) |
CFPs
CFP 1719 | Xiaohong Chen, Zhuo Huang, Yanping Yi, "Efficient Estimation of Multivariate Semi-Nonparametric Garch Filtered Copula Models," Journal of Econometrics, (March 2021), 222(1): 484-501 (See CFDP 2215) | |
CFP 1617 | Xiaohong Chen, Oliver B. Linton, Stefan Schneeberger, Yanping Yi, "Semiparametric Estimation of the Bid–ask Spread in Extended Roll Models," Journal of Econometrics, (January 2019), 208(1): 160-178 (See CFDP 2033) | |
CFP 1590 | Xiaohong Chen, Oliver B. Linton, Yanping Yi, "Semiparametric Identification of the Bid–ask Spread in Extended Roll Models," Journal of Econometrics, (October 2017), 200(2): 312-325 (See CFDP 2033) | |
CFP 1284 | Xiaohong Chen, Wei Biao Wu, Yanping Yi, "Efficient Estimation of Copula-based Semiparametric Markov Models," Annals of Statistics, (January 2009), 37(6B): 4214-4253 (See CFDP 1691) |