Zobrazeno 1 - 10
of 155
pro vyhledávání: '"Yanlin Shi"'
Autor:
Caixia Zhang, Yanlin Shi
Publikováno v:
Axioms, Vol 12, Iss 5, p 446 (2023)
Recent research suggests that long memory can be caused by regime switching and is easily confused with it. However, if the causes of confusion were properly controlled, they could be distinguished. Motivated by this idea, our study aims to distingui
Externí odkaz:
https://doaj.org/article/0ba354f0ce704c0da3619b60363fff1b
Publikováno v:
Risks, Vol 10, Iss 11, p 219 (2022)
This paper proposes a two-step LASSO based vector autoregressive (2-LVAR) model to forecast mortality rates. Within the VAR framework, recent studies have developed a spatial–temporal autoregressive (STAR) model, in which age-specific mortality rat
Externí odkaz:
https://doaj.org/article/5c8700655ee644048607ce150710caf1
Publikováno v:
Vienna Yearbook of Population Research, Vol 1, Pp 135-162 (2019)
Externí odkaz:
https://doaj.org/article/f0432cef27564d75bb096947c162a6bb
Autor:
Tong Liu, Yanlin Shi
Publikováno v:
Mathematics, Vol 10, Iss 15, p 2757 (2022)
The recent price crash of the New York Mercantile Exchange (NYMEX) crude oil futures contract, which occurred on 20 April 2020, has caused history-writing movements of relative prices. For instance, the West Texas Intermediate (WTI) experienced a neg
Externí odkaz:
https://doaj.org/article/8b10f1355cd24376801f38456806bfa5
Autor:
Tong Liu, Yanlin Shi
Publikováno v:
Mathematics, Vol 10, Iss 11, p 1903 (2022)
The component GARCH model (CGARCH) was among the first attempts to split the conditional variance into a permanent and transitory component. With the application to economic and finance data, it helps investigate the long- and short-run movements of
Externí odkaz:
https://doaj.org/article/0c3eded7b8ac451aad7febd946e329fe
Autor:
Hong Li, Yanlin Shi
Publikováno v:
Risks, Vol 9, Iss 2, p 35 (2021)
This paper proposes an age-coherent sparse Vector Autoregression mortality model, which combines the appealing features of existing VAR-based mortality models, to forecast future mortality rates. In particular, the proposed model utilizes a data-driv
Externí odkaz:
https://doaj.org/article/f8e72ffddf4849daab96677469047655
Publikováno v:
Risks, Vol 8, Iss 3, p 67 (2020)
The joint modelling of mortality rates for multiple populations has gained increasing popularity in areas such as government planning and insurance pricing. Sub-groups of a population often preserve similar mortality features with short-term deviatio
Externí odkaz:
https://doaj.org/article/e9b8ce692131442abf78e09b07e40e86
Autor:
Lingbing Feng, Yanlin Shi
Publikováno v:
Cogent Economics & Finance, Vol 5, Iss 1 (2017)
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 distur
Externí odkaz:
https://doaj.org/article/c09eabd1dd0948249b7d57b9de3e9730
Autor:
Yanlin Shi, Yang Yang
Publikováno v:
Risks, Vol 6, Iss 2, p 26 (2018)
In this paper, we propose an Adaptive Hyperbolic EGARCH (A-HYEGARCH) model to estimate the long memory of high frequency time series with potential structural breaks. Based on the original HYGARCH model, we use the logarithm transformation to ensure
Externí odkaz:
https://doaj.org/article/f50afb0bd6ad4a0189f0c7a4e489d894
Publikováno v:
PLoS ONE, Vol 9, Iss 10, p e109307 (2014)
The Lyme disease spirochete, Borrelia burgdorferi, must abundantly produce outer surface lipoprotein A (OspA) in the tick vector but downregulate OspA in mammals in order to evade the immune system and maintain its natural enzootic cycle. Here, we sh
Externí odkaz:
https://doaj.org/article/d4f09717e3194b2cb33077cbbcc3da79