20112020

Research output per year

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Research Outputs

  • 32 Article
  • 5 Conference proceeding contribution
  • 4 Chapter
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Article
2020

A retrospective analysis of the dynamic transmission routes of the COVID-19 in mainland China

Jiang, X., Chang, L. & Shi, Y., 1 Dec 2020, In : Scientific Reports. 10, 1, 10 p., 14015.

Research output: Contribution to journalArticle

Open Access
File

A Two-population extension of the exponential smoothing state space model with a smoothing penalisation scheme

Shi, Y., Tang, S. & Li, J., Sep 2020, In : Risks. 8, 3, p. 1-18 18 p., 67.

Research output: Contribution to journalArticle

Open Access
File
1 Downloads (Pure)

Discussions on the spurious hyperbolic memory in the conditional variance and a new model

Ho, K-Y. & Shi, Y., 1 Jan 2020, In : Journal of Empirical Finance. 55, p. 83-103 21 p.

Research output: Contribution to journalArticle

1 Citation (Scopus)

Discussions on the Zero-drift GARCH model: Evidence from an Markov regime-switching extension

Feng, L., Fu, T., Shi, Y. & Wang, Z., 10 Aug 2020, In : Finance Research Letters. 101713.

Research output: Contribution to journalArticle

Does Bitcoin dominate the price discovery of the Cryptocurrencies market? A time-varying information share analysis

Chang, L. & Shi, Y., 1 Sep 2020, In : Operations Research Letters. 48, 5, p. 641-645 5 p.

Research output: Contribution to journalArticle

Does US partisan conflict affect US–China bilateral trade?

Jiang, X. & Shi, Y., 1 Sep 2020, In : International Review of Economics and Finance. 69, p. 1117-1131 15 p.

Research output: Contribution to journalArticle

1 Citation (Scopus)

Forecasting mortality with a hyperbolic spatial temporal VAR model

Feng, L., Shi, Y. & Chang, L., 6 Jun 2020, In : International Journal of Forecasting.

Research output: Contribution to journalArticle

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., Jun 2020, In : Pacific-Basin finance journal. 61, p. 1-20 20 p., 101059.

Research output: Contribution to journalArticle

2 Citations (Scopus)
Open Access
File
1 Downloads (Pure)

Markov Regime-Switching in-mean model with tempered stable distribution

Shi, Y., Feng, L. & Fu, T., 1 Apr 2020, In : Computational Economics. 55, 4, p. 1275-1299 25 p.

Research output: Contribution to journalArticle

News and return volatility of Chinese bank stocks

Ho, K. Y., Shi, Y. & Zhang, Z., 1 Sep 2020, In : International Review of Economics and Finance. 69, p. 1095-1105 11 p.

Research output: Contribution to journalArticle

1 Citation (Scopus)
2019

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 journalArticle

2018

Forecasting mortality rates: multivariate or univariate models?

Feng, L. & Shi, Y., 1 Sep 2018, In : Journal of Population Research. 35, 3, p. 289-318 30 p.

Research output: Contribution to journalArticle

4 Citations (Scopus)

Modeling high frequency data with long memory and structural change: A-HYEGARCH model

Shi, Y. & Yang, Y., 1 Jun 2018, In : Risks. 6, 2, p. 1-28 28 p., 26.

Research output: Contribution to journalArticle

Open Access
File
5 Downloads (Pure)

Multistate projections of Australia’s Indigenous population: interacting area group and identification status change

Raymer, J., Shi, Y., O’Donnell, J. & Biddle, N., 21 Nov 2018, In : Vienna Yearbook of Population Research. 16, p. 135-162 28 p.

Research output: Contribution to journalArticle

Open Access
1 Citation (Scopus)
3 Citations (Scopus)

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 journalArticle

Open Access
File
3 Citations (Scopus)
21 Downloads (Pure)
2017

A simulation study on the distributions of disturbances in the GARCH model

Feng, L. & Shi, Y., 27 Jul 2017, In : Cogent Economics and Finance. 5, 1, p. 1-19 19 p., 1355503.

Research output: Contribution to journalArticle

Open Access
File
71 Downloads (Pure)

Does news matter in China's foreign exchange market? Chinese RMB volatility and public information arrivals

Ho, K. Y., Shi, Y. & Zhang, Z., Nov 2017, In : International Review of Economics and Finance. 52, p. 302-321 20 p.

Research output: Contribution to journalArticle

15 Citations (Scopus)

Fractionally integrated GARCH model with tempered stable distribution: a simulation study

Feng, L. & Shi, Y., 10 Dec 2017, In : Journal of Applied Statistics. 44, 16, p. 2837-2857 21 p.

Research output: Contribution to journalArticle

3 Citations (Scopus)
2016

A discussion on the innovation distribution of the Markov regime-switching GARCH model

Shi, Y. & Feng, L., 1 Feb 2016, In : Economic Modelling. 53, p. 278-288 11 p.

Research output: Contribution to journalArticle

12 Citations (Scopus)
4 Citations (Scopus)

Long-memory in volatilities of CDS spreads: evidences from the emerging markets

Günay, S. & Shi, Y., 2016, In : Romanian Journal of Economic Forecasting. 19, 1, p. 122-137 16 p.

Research output: Contribution to journalArticle

2 Citations (Scopus)

Public information arrival and stock return volatility: evidence from news sentiment and Markov Regime-Switching approach

Shi, Y., Ho, K. Y. & Liu, W. M., 1 Mar 2016, In : International Review of Economics and Finance. 42, p. 291-312 22 p.

Research output: Contribution to journalArticle

9 Citations (Scopus)

Public news arrival and the idiosyncratic volatility puzzle

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

Research output: Contribution to journalArticle

13 Citations (Scopus)
2015

Can we distinguish regime switching from long memory? A simulation evidence

Shi, Y., 4 Mar 2015, In : Applied Economics Letters. 22, 4, p. 318-323 6 p.

Research output: Contribution to journalArticle

2 Citations (Scopus)

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 journalArticle

16 Citations (Scopus)

Modeling high-frequency volatility with three-state FIGARCH models

Shi, Y. & Ho, K-Y., Dec 2015, In : Economic Modelling. 51, p. 473-483 11 p.

Research output: Contribution to journalArticle

8 Citations (Scopus)
2014

Volatility and correlation dynamics of the mainland Chinese and Hong Kong stock markets: Evidence from the A-, B-, H- And red chip markets

Ho, K. Y., Shi, Y. & Zhang, Z., 1 Sep 2014, In : Journal of Wealth Management. 17, 2, p. 55-67 13 p.

Research output: Contribution to journalArticle

2 Citations (Scopus)
2013
47 Citations (Scopus)