Yayi Yan

Department of Econometrics and Business Statistics

900 Dandenong Road

Caulfield, Victoria 3145

Australia

SCHOLARLY PAPERS

6

DOWNLOADS

168

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (6)

1.

Three High-Dimensional Cross-Sectional Tests for Fund Performance Evaluation

Number of pages: 48 Posted: 08 Jul 2019
Tingting Cheng, Cheng Yan and Yayi Yan
Monash University, University of Essex - Essex Business School and Department of Econometrics and Business Statistics
Downloads 52 (399,837)

Abstract:

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Performance Evaluation, Mutual Fund, Hedge Fund, Crisis, Arbitrage

2.

Benchmarking Mutual Fund Returns

Number of pages: 67 Posted: 24 Sep 2019 Last Revised: 09 Mar 2020
Tingting Cheng, Cheng Yan and Yayi Yan
Nankai University - School of Finance, University of Essex - Essex Business School and Department of Econometrics and Business Statistics
Downloads 48 (413,816)

Abstract:

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Alpha, Benchmark, Measurement error, Mutual fund, Performance evaluation

3.

Regime Switching in the Presence of Endogeneity

Number of pages: 29 Posted: 07 May 2018
Tingting Cheng, Jiti Gao and Yayi Yan
Monash University, Monash University - Department of Econometrics & Business Statistics and Department of Econometrics and Business Statistics
Downloads 24 (522,598)

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Latent Factor, Maximum Likelihood Estimation, Markov Chain, Regime Switching Models, State-Varying Endogeneity

4.

Inference for Factor-Augmented Forecasting Regressions with Threshold effects

Number of pages: 47 Posted: 05 Jun 2019 Last Revised: 09 Mar 2020
Yayi Yan and Tingting Cheng
Department of Econometrics and Business Statistics and Monash University
Downloads 21 (540,576)

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Factor-augmented regression; Threshold parameter; Likelihood ratio statistic; Forecasting error

5.

Regime Switching Panel Data Models with Interactive Fixed Effects

Number of pages: 12 Posted: 12 Nov 2018
Tingting Cheng, Jiti Gao and Yayi Yan
Monash University, Monash University - Department of Econometrics & Business Statistics and Department of Econometrics and Business Statistics
Downloads 15 (577,765)
Citation 1

Abstract:

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ECM algorithm; interactive effect; maximum likelihood estimation; panel data model; regime switching

6.

Online Appendix to 'Three High-Dimensional Cross-Sectional Tests for Fund Performance Evaluation'

Number of pages: 59 Posted: 10 Jul 2019 Last Revised: 12 Jul 2019
Tingting Cheng, Cheng Yan and Yayi Yan
Monash University, University of Essex - Essex Business School and Department of Econometrics and Business Statistics
Downloads 8 (624,336)

Abstract:

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