Wuyi Ye

Available identifiers

List of research outcomes

Publication	Date of Publication	Type
Assessing time-varying risk in China's GDP growth	2024-11-12	Paper
Statistical inference of mode regression with adaptive Lasso	2024-08-12	Paper
Variance swaps with mean reversion and multi-factor variance	2024-06-13	Paper
Bubbles and dependence between international equity markets	2024-04-12	Paper
Pricing VIX derivatives using a stochastic volatility model with a flexible jump structure	2023-06-16	Paper
Upgrade strategies in the two-sided market: Updated strategy vs. derived strategy	2023-03-15	Paper
Stochastic volatility model with correlated jump sizes and independent arrivals	2022-11-18	Paper
Cryptocurrency risk measurement based on MIDAS-Expectile regression model	2021-12-17	Paper
A study of dynamic cointegration of gold and bitcoin --- based on semiparametric MIDAS quantile regression model	2021-07-01	Paper
https://portal.mardi4nfdi.de/entity/Q4996487	2021-07-01	Paper
Dynamic correlation of quantile regression model based on smooth transition mechanism	2021-01-14	Paper
Measuring contagion of subprime crisis based on MVMQ-CAViaR method	2019-08-23	Paper
https://portal.mardi4nfdi.de/entity/Q4624757	2019-02-22	Paper
Risk spillover effect between oil and exchange rates: based on MV-CAViaR model	2018-10-22	Paper
Time-varying quantile association regression model with applications to financial contagion and VaR	2018-05-24	Paper
Analysis of sub-prime loan crisis contagion based on change-point testing method of FIDC model	2017-10-20	Paper
Granger causality test in quantiles and conditional VaR estimation of continuously rising and falling returns	2017-10-20	Paper
Markov regime-switching quantile regression models and financial contagion detection	2016-05-12	Paper
Evaluating CVaR conditioned on VPIN based on the threshold quantile regression model	2014-11-03	Paper
Nonlinear features and mean reversion mechanism research based on the basis of stock index futures	2014-11-03	Paper
Estimating auto-dependence structure and conditional VaR based on canonical vine copula	2014-06-30	Paper
https://portal.mardi4nfdi.de/entity/Q5398871	2014-02-28	Paper
Measuring the subprime crisis contagion: evidence of change point analysis of copula functions	2012-12-29	Paper
Analysis of a multivariate Gaussian mixture model based on the DRJMCMC method	2012-10-05	Paper
Evaluation of condition VaR based on threshold quantile regression model	2009-07-22	Paper
The application of spectral distribution of product of two random matrices in the factor analysis	2007-12-19	Paper

Research outcomes over time

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