Blar i Department of Mathematics på forfatter "Li, Yushu"
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Are Central Bankers Inflation Nutters? An MCMC Estimator of the Long-Memory Parameter in a State Space Model
Andersson, Fredrik N. G.; Li, Yushu (Journal article; Peer reviewed, 2019)Inflation targeting is a common monetary policy regime. Inflation targets are often flexible in the sense that the central bank allows inflation to temporarily deviate from the target to avoid causing unnecessary volatility ... -
Investigating the Asymmetric Behavior of Oil Price Volatility Using Support Vector Regression
Li, Yushu; Karlsson, Hyunjoo Kim (Journal article; Peer reviewed, 2022)This paper investigates the asymmetric behavior of oil price volatility using different types of Asymmetric Power ARCH (APARCH) model. We compare the estimation and forecasting performance of the models estimated from the ... -
A Likelihood Ratio and Markov Chain-Based Method to Evaluate Density Forecasting
Li, Yushu; Andersson, Lars Jonas (Peer reviewed; Journal article, 2019)In this paper, we propose a likelihood ratio based method to evaluate density forecasts which can jointly evaluate the unconditional forecasted distribution and dependence of the outcomes. Unlike the well‐known Berkowitz ... -
A simple wavelet-based test for serial correlation in panel data models
Li, Yushu; Andersson, Fredrik (Journal article; Peer reviewed, 2021)Hong and Kao (2004) proposed a class of general applicable wavelet-based tests for serial correlation of unknown form in the residuals from a panel regression model. The tests can be applied to both static and dynamic panel ...