Cindy Yu

Iowa State University

613 Wallace Road

Ames, IA 50011

United States

SCHOLARLY PAPERS

5

DOWNLOADS

637

CITATIONS

8

Scholarly Papers (5)

1.
Downloads 343 ( 86,497)
Citation 3

No-Arbitrage Taylor Rules with Switching Regimes

Number of pages: 39 Posted: 12 Jan 2011 Last Revised: 17 Sep 2012
Haitao Li, Tao Li and Cindy Yu
University of Michigan - Stephen M. Ross School of Business, City University of Hong Kong (CityUHK) - Department of Economics & Finance and Iowa State University
Downloads 294 (101,925)

Abstract:

Loading...

Taylor rule, Term structure, Regime-switching, MCMC

No-Arbitrage Taylor Rules with Switching Regimes

Management Science, vol 59, pp 2278-2294.
Number of pages: 39 Posted: 13 Nov 2012 Last Revised: 12 Feb 2014
Haitao Li, Tao Li and Cindy Yu
University of Michigan - Stephen M. Ross School of Business, City University of Hong Kong (CityUHK) - Department of Economics & Finance and Iowa State University
Downloads 49 (396,498)

Abstract:

Loading...

Taylor rule, term structure, regime-switching, MCMC

2.

Optimal Monetary Policy and Term Structure in a Continuous-Time DSGE Model

Number of pages: 49 Posted: 29 Nov 2016 Last Revised: 17 Feb 2019
Haitao Li, Tao Li and Cindy Yu
University of Michigan - Stephen M. Ross School of Business, City University of Hong Kong (CityUHK) - Department of Economics & Finance and Iowa State University
Downloads 163 (181,281)

Abstract:

Loading...

Optimal monetary policy, Taylor rule, Term structure of interest rates, New Keynesian, Macroeconomic stability

3.

Macroeconomic Risks and Asset Pricing: Evidence from a Dynamic Stochastic General Equilibrium Model

Number of pages: 47 Posted: 08 Jun 2017 Last Revised: 26 Jan 2018
Cheung Kong Graduate School of Business, Cheung Kong Graduate School of Business, Tongji University and Iowa State University
Downloads 129 (219,539)
Citation 1

Abstract:

Loading...

DSGE model, Bayesian MCMC estimation, stock returns, neutral technology shock, investment-specific technology shock, monetary policy shock, risk shock

4.

MCMC Estimation of Lvy Jump Models Using Stock and Option Prices

Mathematical Finance, Vol. 21, Issue 3, pp. 383-422, 2011
Number of pages: 40 Posted: 20 May 2011
Cindy Yu, Haitao Li and Martin T. Wells
Iowa State University, University of Michigan - Stephen M. Ross School of Business and Cornell University - Law School
Downloads 2 (636,577)
  • Add to Cart

Abstract:

Loading...

Levy processes, variance gamma model, Markov Chain Monte Carlo, option pricing

5.

A Bayesian Analysis of Return Dynamics with Lévy Jumps

The Review of Financial Studies, Vol. 21, Issue 5, pp. 2345-2378, 2008
Posted: 19 Sep 2008
Haitao Li, Martin T. Wells and Cindy Yu
University of Michigan - Stephen M. Ross School of Business, Cornell University - Law School and Iowa State University

Abstract:

Loading...

G12, C11, C15, C32