Yuying Sun

Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Science (AMSS)

Beijing

China

SCHOLARLY PAPERS

8

DOWNLOADS

621

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (8)

1.

Mutual Fund Advisory Misconduct: Investor Flows and Company Reactions

Number of pages: 63 Posted: 13 Nov 2017 Last Revised: 11 Aug 2020
Bing Liang, Yuying Sun and Kai Wu
University of Massachusetts Amherst - Department of Finance, Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Science (AMSS) and Central University of Finance and Economics (CUFE) - School of Finance
Downloads 282 (158,575)

Abstract:

Loading...

investor monitoring; misconduct allegation; advisory contracting

2.

Does Economic Policy Uncertainty Drive Global ETF Flows?

Number of pages: 59 Posted: 19 Mar 2020 Last Revised: 06 Oct 2022
Kai Wu, Yuying Sun, Ke Shi and Qianrun Lin
Central University of Finance and Economics (CUFE) - School of Finance, Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Science (AMSS), Central University of Finance and Economics and Central University of Finance and Economics (CUFE) - School of Finance
Downloads 191 (231,077)

Abstract:

Loading...

economic policy uncertainty; investor sentiment; flow decomposition

3.

Model Averaging of Integer-Valued Autoregressive Model With Covariates

Number of pages: 33 Posted: 18 May 2021 Last Revised: 05 Jan 2022
Chinese Academy of Sciences (CAS) - School of Economics and Management, Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Science (AMSS), Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences and University of Liverpool - Management School (ULMS)
Downloads 93 (396,375)

Abstract:

Loading...

Asymptotic optimality; K-fold cross-validation; Integer-valued autoregressive models; Maximum likelihood; Model averaging.

4.

Is There a Carbon-Neutral Premium? Evidence from the Chinese Bond Market

Number of pages: 35 Posted: 14 Oct 2022
Moran Wang, Yuying Sun and Shouyang Wang
University of Science and Technology of China (USTC) - University of Science and Technology of China, Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Science (AMSS) and Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences
Downloads 36 (621,755)

Abstract:

Loading...

Carbon-neutral bonds, carbon-neutral premium, event study, stock liquidity, ESG rating

5.

Market Inefficiencies Associated with Pricing Oil Stocks During Shocks

Number of pages: 26 Posted: 10 Dec 2018
Kenan Qiao, Yuying Sun and Shouyang Wang
Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Science (AMSS), Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Science (AMSS) and Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences
Downloads 19 (744,436)

Abstract:

Loading...

Crude oil shocks, Interval-valued factor pricing models, Market efficiency, Oil stocks, Quantile regression.

6.

Uncertainty Shocks of Trump Election in an Interval Model of Stock Market

Posted: 10 Dec 2018
Yuying Sun, Kenan Qiao and Shouyang Wang
Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Science (AMSS), Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Science (AMSS) and Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences

Abstract:

Loading...

Interval dummy variables, Interval time series, Nonlinear minimum distance estimator, Range volatility, Trump election

7.

How to Distinguish Abrupt Structural Breaks from Smooth Structural Changes?

Posted: 23 May 2018
Yuying Sun, Yongmiao Hong and Shouyang Wang
Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Science (AMSS), Cornell University - Department of Economics and Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences

Abstract:

Loading...

Abrupt structural break; Boundary problem; Local linear smoothing; Model instability; Predictive regression models; Smooth structural change

Threshold Autoregressive Models for Interval-Valued Time Series Data

Posted: 19 Apr 2018 Last Revised: 28 Apr 2018
Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Science (AMSS), Chinese Academy of Sciences, Cornell University - Department of Economics and Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences

Abstract:

Loading...

Asymmetric Reaction, Interval-Valued Data, Minimum Distance Estimation, Nonlinearity, Symbolic Data, Threshold Autoregressive Interval Models

Threshold Autoregressive Models for Interval-Valued Time Series Data

Posted: 24 Apr 2018
Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Science (AMSS), Independent, Cornell University - Department of Economics and Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences

Abstract:

Loading...

Asymmetric Reaction, Interval-Valued Data, Minimum Distance Estimation, Nonlinearity, Symbolic Data, Threshold Autoregressive Interval Models