2
H index
0
i10 index
26
Citations
Yayi Yan : Citation Profile
Shanghai University of Finance and Economics | RESEARCH PRODUCTION: 15 Articles 27 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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7 years (2018 - 2025). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Yayi Yan. | Is cited by:
| Cites to:
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Main data
Where Yayi Yan has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Econometrics | 4 |
| Journal of Empirical Finance | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Monash Econometrics and Business Statistics Working Papers / Monash University, Department of Econometrics and Business Statistics | 15 |
| Papers / arXiv.org | 11 |
Recent works citing Yayi Yan (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2024 | Structural Analysis of Vector Autoregressive Models. (2024). Katsouris, Christis. In: Papers. RePEc:arx:papers:2312.06402. Full description at Econpapers || Download paper |
| 2024 | Sparse Interval-valued Time Series Modeling with Machine Learning. (2024). Wang, Shouyang ; Sun, Yuying ; Hong, Yongmiao ; Bao, Haowen. In: Papers. RePEc:arx:papers:2411.09452. Full description at Econpapers || Download paper |
| 2025 | Inference in High-Dimensional Panel Models: Two-Way Dependence and Unobserved Heterogeneity. (2025). Chen, Kaicheng. In: Papers. RePEc:arx:papers:2504.18772. Full description at Econpapers || Download paper |
| 2025 | Binary Response Forecasting under a Factor-Augmented Framework. (2025). Yang, Xuanbin ; Liu, Fei ; Cong, Jiachen ; Cheng, Tingting. In: Papers. RePEc:arx:papers:2507.16462. Full description at Econpapers || Download paper |
| 2025 | Explaining the causality between trading volume and stock returns: What drives its cross-quantile patterns?. (2025). Gebka, Bartosz. In: Economic Modelling. RePEc:eee:ecmode:v:148:y:2025:i:c:s0264999325000720. Full description at Econpapers || Download paper |
| 2024 | Confidence intervals of treatment effects in panel data models with interactive fixed effects. (2024). Zhou, Qiankun ; Shen, Yan ; Li, Xingyu. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000307. Full description at Econpapers || Download paper |
| 2025 | On time-varying panel data models with time-varying interactive fixed effects. (2025). Su, Liangjun ; Qian, Junhui ; Jin, Sainan ; Wang, Xia ; Li, Yingxing. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000144. Full description at Econpapers || Download paper |
| 2024 | Jobless recoveries and time variation in labor markets. (2024). Panovska, Irina ; Zhang, Licheng. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:81:y:2024:i:c:s0164070424000387. Full description at Econpapers || Download paper |
| 2025 | Environmental transitions effect of renewable energy and fintech markets on Europes real estate stock market. (2025). Liu, Xiyu ; Missaoui, Ibtissem ; Younis, Ijaz ; Shah, Waheed Ullah. In: Renewable Energy. RePEc:eee:renene:v:243:y:2025:i:c:s0960148125002654. Full description at Econpapers || Download paper |
| 2025 | Volatility Analysis of Returns of Financial Assets Using a Bayesian Time-Varying Realized GARCH-Itô Model. (2025). Ko, Htwe ; Pastpipatkul, Pathairat. In: Econometrics. RePEc:gam:jecnmx:v:13:y:2025:i:3:p:34-:d:1745120. Full description at Econpapers || Download paper |
| 2025 | What Can We Learn About the Monetary Policy Transmission Mechanism? Evidence from a Peripheral Country After a Political Revolution and COVID-19. (2025). Dardouri, Nesrine ; Aguir, Abdelkader. In: Economies. RePEc:gam:jecomi:v:13:y:2025:i:10:p:286-:d:1761494. Full description at Econpapers || Download paper |
| 2025 | The Role of Food Processing in Sustaining Food Security Indicators in the Kingdom of Saudi Arabia. (2025). Abouelnour, Khaled Ahmed ; Almohaimeed, Fahad Abdelaziz. In: Economies. RePEc:gam:jecomi:v:13:y:2025:i:3:p:84-:d:1616791. Full description at Econpapers || Download paper |
| 2025 | What Can We Learn About the Monetary Policy Transmission Mechanism? Evidence from a Peripheral Country After a Political Revolution and COVID-19. (2025). Dardouri, Nesrine ; Aguir, Abdelkader. In: Post-Print. RePEc:hal:journl:hal-05290329. Full description at Econpapers || Download paper |
| 2025 | Lifecycle Wages and Human Capital Investments: Selection and Missing Data. (2025). Roux, Sébastien ; Gobillon, Laurent ; Magnac, Thierry. In: IZA Discussion Papers. RePEc:iza:izadps:dp17838. Full description at Econpapers || Download paper |
| 2025 | Bivariate Maximum Likelihood Method for Fixed Effects Panel Interval-Valued Data Models. (2025). Ji, Aibing ; Zhang, Jinjin ; Cao, YU. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:2:d:10.1007_s10614-024-10737-8. Full description at Econpapers || Download paper |
| 2025 | A two-sample test for high-dimensional mean vectors via double verification. (2025). Jiang, Ruizhe ; Huang, Xiaowen. In: Statistical Papers. RePEc:spr:stpapr:v:66:y:2025:i:6:d:10.1007_s00362-025-01744-4. Full description at Econpapers || Download paper |
Works by Yayi Yan:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2020 | A Class of Time-Varying Vector Moving Average Models: Nonparametric Kernel Estimation and Application In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Binary Response Models for Heterogeneous Panel Data with Interactive Fixed Effects In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2023 | Binary response models for heterogeneous panel data with interactive fixed effects.(2023) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2021 | On Time-Varying VAR Models: Estimation, Testing and Impulse Response Analysis In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2021 | On Time-Varying VAR models: Estimation, Testing and Impulse Response Analysis.(2021) In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2023 | Higher-order Expansions and Inference for Panel Data Models In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2023 | Higher-order Expansions and Inference for Panel Data Models.(2023) In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2024 | Higher-Order Expansions and Inference for Panel Data Models.(2024) In: Journal of the American Statistical Association. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2022 | Time-Varying Multivariate Causal Processes In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2024 | Time-varying multivariate causal processes.(2024) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2022 | Time-Varying Multivariate Causal Processes.(2022) In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2023 | Time-Varying Vector Error-Correction Models: Estimation and Inference In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2025 | Time-varying vector error-correction models: Estimation and inference.(2025) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2023 | Time-Varying Vector Error-Correction Models: Estimation and Inference.(2023) In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2024 | Estimation and Inference for a Class of Generalized Hierarchical Models In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | Estimation and Inference for a Class of Generalized Hierarchical Models.(2024) In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2025 | Robust Estimation and Inference for High-Dimensional Panel Data Models In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2025 | A Robust Residual-Based Test for Structural Changes in Factor Models In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2025 | A robust residual-based test for structural changes in factor models.(2025) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2024 | A Robust Residual-Based Test for Structural Changes in Factor Models.(2024) In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2025 | Panel Data Estimation and Inference: Homogeneity versus Heterogeneity In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2025 | Factor Models of Matrix-Valued Time Series: Nonstationarity and Cointegration In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2025 | Factor Models of Matrix-Valued Time Series: Nonstationarity and Cointegration.(2025) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2023 | Joint dynamics of stock returns and cash flows: A time‐varying present‐value framework In: Financial Management. [Full Text][Citation analysis] | article | 0 |
| 2025 | ASYMPTOTICS FOR TIME-VARYING VECTOR MA( $\infty $ ) PROCESSES In: Econometric Theory. [Full Text][Citation analysis] | article | 0 |
| 2025 | Examining Chinese volume–volatility nexus: A regime-switching perspective In: Economic Modelling. [Full Text][Citation analysis] | article | 1 |
| 2019 | Regime switching panel data models with interactive fixed effects In: Economics Letters. [Full Text][Citation analysis] | article | 5 |
| 2018 | Regime switching panel data models with interative fixed effects.(2018) In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2021 | Improved inference for fund alphas using high-dimensional cross-sectional tests In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 1 |
| 2025 | A system of time-varying models for predictive regressions In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 0 |
| 2024 | Sieve Bootstrap for Fixed-b Phillips–Perron Unit Root Test In: Computational Economics. [Full Text][Citation analysis] | article | 0 |
| 2018 | Regime switching in the presence of endogeneity In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2020 | A Class of Time-Varying Vector Moving Average (infinity) Models In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Parameter Stability Testing for Multivariate Dynamic Time-Varying Models In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Asymptotics for Time-Varying Vector MA(∞) Processes In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Nonparametric Estimation and Testing for Time-Varying VAR Models In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | A Simple Bootstrap Method for Panel Data Inferences In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2023 | Estimation of Semiparametric Multi-Index Models Using Deep Neural Networks In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | Robust Inference for High Dimensional Panel Data Models In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2022 | Factor-augmented forecasting regressions with threshold effects In: The Econometrics Journal. [Full Text][Citation analysis] | article | 2 |
| 2025 | Nonparametric predictive regression for stock return prediction In: Econometric Reviews. [Full Text][Citation analysis] | article | 2 |
| 2024 | Estimation, Inference, and Empirical Analysis for Time-Varying VAR Models In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 2 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated December, 22 2025. Contact: CitEc Team