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Time-varying model averaging? 期刊论文
JOURNAL OF ECONOMETRICS, 2021, 卷号: 222, 期号: 2, 页码: 974-992
Authors:  Sun, Yuying;  Hong, Yongmiao;  Lee, Tae-Hwy;  Wang, Shouyang;  Zhang, Xinyu
Favorite  |  View/Download:10/0  |  Submit date:2021/06/01
Asymptotic optimality  Forecast combination  Local stationarity  Model averaging  Structural change  Time-varying model averaging  
Estimation of Partially Linear Panel Data Models with Cross-Sectional Dependence 期刊论文
JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY, 2021, 页码: 12
Authors:  Huang, Bai;  Sun, Yuying;  Wang, Shouyang
Favorite  |  View/Download:3/0  |  Submit date:2021/04/26
Common correlated effects  common factors  cross-sectional dependence  panel data  semi-parametric estimation  
Brexit and Its Impact on the US Stock Market 期刊论文
JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY, 2021, 页码: 19
Authors:  Qiao Kenan;  Liu Zhengyang;  Huang Bai;  Sun Yuying;  Wang Shouyang
Favorite  |  View/Download:4/0  |  Submit date:2021/04/26
Brexit  interval time series  intra-day volatility  S&P500 index  
A novel two-stage approach for cryptocurrency analysis 期刊论文
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2020, 卷号: 72, 页码: 13
Authors:  Yang, Boyu;  Sun, Yuying;  Wang, Shouyang
Favorite  |  View/Download:2/0  |  Submit date:2021/04/26
Bitcoin  Cryptocurrency  Noise-assisted multivariate empirical mode  decomposition  Two-stage decomposition and composition  
Uncertainty shocks of Trump election in an interval model of stock market 期刊论文
QUANTITATIVE FINANCE, 2020, 页码: 15
Authors:  Sun, Yuying;  Qiao, Kenan;  Wang, Shouyang
Favorite  |  View/Download:5/0  |  Submit date:2021/01/14
Interval dummy variables  Interval time series  Nonlinear minimum-distance estimator  Range volatility  Trump election  
Assessing the price dynamics of onshore and offshore RMB markets: An ITS model approach 期刊论文
CHINA ECONOMIC REVIEW, 2020, 卷号: 62, 页码: 12
Authors:  Sun, Yuying;  Bao, Qin;  Zheng, Jiali;  Wang, Shouyang
Favorite  |  View/Download:4/0  |  Submit date:2021/01/14
RMB exchange rate  Onshore and offshore markets  Price dynamics, interval time series  
A Hierarchical Forecasting Model for China's Foreign Trade 期刊论文
JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY, 2020, 页码: 17
Authors:  Sun, Yuying;  Zhang, Xun;  Wang, Shouyang
Favorite  |  View/Download:20/0  |  Submit date:2020/06/30
Decomposed and combined models  exports and imports  forecasts  hierarchy  trade structure  
基于时变模型平均方法的我国航空客运量预测 期刊论文
系统工程理论与实践, 2020, 卷号: 40, 期号: 6, 页码: 1509-1519
Authors:  张健;  孙玉莹;  张新雨;  汪寿阳
Favorite  |  View/Download:46/0  |  Submit date:2021/01/14
air passengers  time-varying model average  non-parametric estimation  time-varying weights  time-varying parameter predictive models  航空客运量  时变模型平均  非参数估计  时变权重  时变参数预测模型  
Market inefficiencies associated with pricing oil stocks during shocks 期刊论文
ENERGY ECONOMICS, 2019, 卷号: 81, 页码: 661-671
Authors:  Qiao, Kenan;  Sun, Yuying;  Wang, Shouyang
Favorite  |  View/Download:43/0  |  Submit date:2020/01/10
Crude oil shocks  Interval-valued factor pricing models  Market efficiency  Oil stocks  Quantile regression  
Asymmetric pass-through of oil prices to gasoline prices with interval time series modelling 期刊论文
ENERGY ECONOMICS, 2019, 卷号: 78, 页码: 165-173
Authors:  Sun, Yuying;  Zhang, Xun;  Hong, Yongmiao;  Wang, Shouyang
Favorite  |  View/Download:43/0  |  Submit date:2020/01/10
Asymmetry  Crude oil prices  Gasoline prices  Threshold autoregressive interval-valued  regression  Volatility