Photo of Dr Yuyi Li

Dr Yuyi Li BSc, MSc, PhD

Lecturer in Economics Economics

    Publications

    2020

    A Multi-Factor Transformed Diffusion Model with Applications to VIX and VIX Futures (Journal article)

    Bu, R., Jawadi, F., & Li, Y. (2020). A Multi-Factor Transformed Diffusion Model with Applications to VIX and VIX Futures. Econometric Reviews, 39(1), 27-53. doi:10.1080/07474938.2019.1690195

    DOI: 10.1080/07474938.2019.1690195

    2017

    An empirical comparison of transformed diffusion models for VIX and VIX futures (Journal article)

    Bu, R., Jawadi, F., & Li, Y. (2017). An empirical comparison of transformed diffusion models for VIX and VIX futures. Journal of International Financial Markets, Institutions and Money, 46, 116-127. doi:10.1016/j.intfin.2016.08.003

    DOI: 10.1016/j.intfin.2016.08.003

    2015

    Testing for Structural Instability in Moment Restriction Models: An Info-Metric Approach (Journal article)

    Hall, A. R., Li, Y., Orme, C. D., & Sinko, A. (2015). Testing for Structural Instability in Moment Restriction Models: An Info-Metric Approach. ECONOMETRIC REVIEWS, 34(3), 286-327. doi:10.1080/07474938.2014.944477

    DOI: 10.1080/07474938.2014.944477