Skip to main content

Research Repository

Advanced Search

Outputs (75)

Structural breaks in mortality models and their consequences (2014)
Presentation / Conference Contribution
O'Hare, C., & Li, Y. (2014, July). Structural breaks in mortality models and their consequences. Presented at Second International Conference on Vulnerability and Risk Analysis and Management (ICVRAM) and the Sixth International Symposium on Uncertainty, Modeling, and Analysis (ISUMA), Liverpool, UK

In recent years, the issue of life expectancy has become of upmost importance to pension providers, insurance companies and the government bodies in the developed world. Significant and consistent improvements in mortality rates and, hence, life expe... Read More about Structural breaks in mortality models and their consequences.

Do low-priced stocks drive long-term contrarian performance on the London Stock Exchange? (2012)
Journal Article
Wu, Y., Li, Y., & Hamill, P. (2012). Do low-priced stocks drive long-term contrarian performance on the London Stock Exchange?. Financial Review, 47(3), 501-530. https://doi.org/10.1111/j.1540-6288.2012.00338.x

We investigate whether low‐priced stocks drive long‐term contrarian performance on the U.K. market. We find that contrarian performance at low, middle, and high price levels is positive. On the Fama‐French risk adjusted basis, we find both low‐priced... Read More about Do low-priced stocks drive long-term contrarian performance on the London Stock Exchange?.

The Effect of Historical Events on the Speed of Price Evolution Indexed by an Operational Time for China’s Futures Market (2012)
Book Chapter
Zhang, R., Li, Y., & McKillop, D. (2012). The Effect of Historical Events on the Speed of Price Evolution Indexed by an Operational Time for China’s Futures Market. In L. Wang (Ed.), Rising China in the Changing World Economy (357-395). Routledge

Introduction:
The non-normality of security price returns has attracted a large number of studies. The observed distributions are commonly called leptokurtic because of the narrower body of the distribution and fatter tails. One explanation suggeste... Read More about The Effect of Historical Events on the Speed of Price Evolution Indexed by an Operational Time for China’s Futures Market.

Explaining young mortality (2011)
Journal Article
O'Hare, C., O’Hare, C., & Li, Y. (2012). Explaining young mortality. Insurance: Mathematics and Economics, 50(1), 12-25. https://doi.org/10.1016/j.insmatheco.2011.09.005

Stochastic modeling of mortality rates focuses on fitting linear models to logarithmically adjusted mortality data from the middle or late ages. Whilst this modeling enables insurers to project mortality rates and hence price mortality products it do... Read More about Explaining young mortality.

Long-term return reversals-Value and growth or tax? UK evidence (2010)
Journal Article
Wu, Y., & Li, Y. (2011). Long-term return reversals-Value and growth or tax? UK evidence. Journal of International Financial Markets, Institutions and Money, 21(3), 347-368. https://doi.org/10.1016/j.intfin.2010.12.001

This paper examines (i) whether value-growth characteristics have more power than past performance in predicting return reversals; and (ii) whether typical rational behaviour such as incentives to delay paying capital gain taxes can better explain lo... Read More about Long-term return reversals-Value and growth or tax? UK evidence.

Econometric analysis of microscopic simulation models (2010)
Journal Article
Li, Y., Donkers, B., & Melenberg, B. (2010). Econometric analysis of microscopic simulation models. Quantitative finance, 10(10), 1187-1201. https://doi.org/10.1080/14697680903460176

Microscopic simulation models are often evaluated based on visual inspection of the results. This paper presents formal econometric techniques to compare microscopic simulation (MS) models with real-life data. A related result is a methodology to com... Read More about Econometric analysis of microscopic simulation models.

Do benchmark African equity indices exhibit the stylized facts? (2010)
Journal Article
Li, Y., Hamill, P. A., & Opong, K. K. (2010). Do benchmark African equity indices exhibit the stylized facts?. Global finance journal, 21(1), 71-97. https://doi.org/10.1016/j.gfj.2010.03.006

This paper investigates if benchmark African equity indices exhibit the stylized facts reported for financial time series returns. The returns distributions of the Africa All-Share, Large, Medium and Small Company Indices were found to be leptokurtot... Read More about Do benchmark African equity indices exhibit the stylized facts?.

Financial bubbles: A learning effect modelling approach (2009)
Book Chapter
Hsieh, T. H., Li, Y., & McKillop, D. G. (2009). Financial bubbles: A learning effect modelling approach. In A. Brabazon, & M. O'Neill (Eds.), Natural computing in computational finance (117-135). Springer Verlag. https://doi.org/10.1007/978-3-540-95974-8_7

This chapter studies financial bubbles by incorporating a learning effect into the coordination game model which was articulated by Ozdenoren and Yuan [36]. Monte Carlo simulation is then utilised to analyse how the addition of a learning effect impa... Read More about Financial bubbles: A learning effect modelling approach.