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- Haitao Li, Ann Arbor, Matin T. Wells, Cindy Yu
- 2006

We develop Bayesian Markov chain Monte Carlo methods for inferences of continuoustime models with stochastic volatility and infinite-activity Levy jumps using discretely sampled data. Simulation studies show that (i) our methods provide accurate joint identification of diffusion, stochastic volatility, and Levy jumps, and (ii) affine jumpdiffusion models… (More)

- Jae Kwang Kim, Cindy Yu
- 2010

Parameter estimation with non-ignorable missing data is a challenging problem in statistics. The fully parametric approach for joint modeling of the response model and the population model can produce results that are quite sensitive to the failure of the assumed model. We propose a more robust modeling approach by considering the model for the… (More)

While controversy surrounds skewness attributes of typical yield distributions, a better understanding is important for agricultural policy assessment and for crop insurance rate setting. Day (1965) conjectured that crop yield skewness declines with an increase in low levels of nitrogen use, but higher levels have no effect. In a theoretical model based on… (More)

- Song Chen, Liang Peng, Cindy Yu
- 2009

Markov processes are used in a wide range of disciplines including finance. The transitional densities of these processes are often unknown. However, the conditional characteristic functions are more likely to be available especially for Lévy driven processes. We propose an empirical likelihood approach for estimation and model specification test based on… (More)

We develop a continuous-time regime-switching model for the term structure of interest rates, in which the spot rate follows the Taylor rule, and government bonds at different maturities are priced by no-arbitrage. We allow the coefficients of the Taylor rule and the dynamics of inflation and output gap to be regime-dependent. We estimate the model using… (More)

- Cindy Yu
- 2003

the nucleus marks diminutive. Pingding infixation not only creates onset clusters but also introduces a phoneme. Both features are otherwise not found elsewhere in the language. We argue that the infix -, which is cognate with the diminutive -r suffix in other Mandarin dialects, is the result of rhotic metathesis (cf. Blevins and Garrett (1998)). This study… (More)

Lévy processes have been receiving increasing attention in financial modeling. One distinctive feature of such models is that their characteristic functions are readily available. Inference based on characteristic functions is very useful for studying Lévy processes. By incorporating the recent advances in nonparametric approaches, empirical likelihood… (More)

- Steven Kou, Cindy Yu, Haowen Zhong
- 2016

We provide the option pricing formula of the SV-DEJ model as follows. Following the assumptions in Yu, Li and Wells (2011), we let γ (1) t = η svt and γ t = − 1 √ 1−ρ2 (ρη+ η v σv ) √ vt, where η s and η are the market prices of risk. Then there exists a risk-neutral measure Q under which W (1) t (Q) and W (2) t (Q) are standard Brownian motions: dW (i) t… (More)

- Xiaodong Du, Dermot Hayes, Cindy Yu
- 2009

We use Bayesian Markov Chain Monte Carlo methods to investigate the linkage between the volatility of ethanol security prices and the uncertainty surrounding the profitability of ethanol production and the price variations of non-ethanol energy securities. The joint evolution of return and volatility is modeled as a stochastic process that incorporates… (More)

In this article, we consider an imputation method to handle missing response values based on semiparametric quantile regression estimation. In the proposed method, the missing response values are generated using the estimated conditional quantile regression function at given values of covariates. We adopt the generalized method of moments for estimation of… (More)