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Personal profile

Biography

Personal website: yanlinshi.weebly.com

Fingerprint Dive into the research topics where Yanlin Shi is active. These topic labels come from the works of this person. Together they form a unique fingerprint.

stock market Social Sciences
News Business & Economics
projection Social Sciences
Long memory Business & Economics
Regime switching Business & Economics
Hong Kong Social Sciences
mortality Social Sciences
Markov regime-switching Business & Economics

Network Recent external collaboration on country level. Dive into details by clicking on the dots.

Research Outputs 2011 2019

  • 23 Article
  • 5 Conference proceeding contribution
  • 4 Chapter

The Sources and diversity of immigrant population change in Australia, 1981–2011

Raymer, J., Shi, Y., Guan, Q., Baffour, B. & Wilson, T., 1 Oct 2018, In : Demography. 55, 5, p. 1777-1802 26 p.

Research output: Contribution to journalArticleResearchpeer-review

Open Access
File
immigrant
immigration
age structure
population group
international migration

Long memory and regime switching: a simulation study on the Markov regime-switching ARFIMA model

Shi, Y. & Ho, K-Y., Dec 2015, In : Journal of Banking and Finance. 61, Supp 2, p. S189-S204 16 p.

Research output: Contribution to journalArticleResearchpeer-review

Long memory
Markov regime-switching
Integrated
Regime switching
Simulation study

Public news arrival and the idiosyncratic volatility puzzle

Shi, Y., Liu, W. M. & Ho, K. Y., 1 Jun 2016, In : Journal of Empirical Finance. 37, p. 159-172 14 p.

Research output: Contribution to journalArticleResearchpeer-review

News
Idiosyncratic volatility
Sentiment
Expected returns
Data base

Long memory or regime switching in volatility? Evidence from high-frequency returns on the U.S. stock indices

Gao, G., Ho, K. Y. & Shi, Y., 4 Sep 2018, In : Pacific Basin Finance Journal.

Research output: Contribution to journalArticleResearchpeer-review

Long memory
Regime switching
Stock index
Generalized autoregressive conditional heteroscedasticity
Markov regime-switching

Stochastic payments per claim incurred

Gao, G., Meng, S. & Shi, Y., 2019, In : North American Actuarial Journal. 23, 1, p. 11-26 16 p.

Research output: Contribution to journalArticleResearchpeer-review

Payment
Triangle
Bayesian Estimator
Bayesian Modeling
Inference Engine