All Outputs (3)

Identifying structural breaks in stochastic mortality models (2015)
Journal Article
O’Hare, C., & Li, Y. (2015). Identifying structural breaks in stochastic mortality models. ASCE-ASME Journal of Risk and Uncertainty in Engineering Systems, Part B: Mechanical Engineering, 1(2), Article 021001. https://doi.org/10.1115/1.4029740

In recent years, the issue of life expectancy has become of utmost importance to pension providers, insurance companies, and government bodies in the developed world. Significant and consistent improvements in mortality rates and hence life expectanc... Read More about Identifying structural breaks in stochastic mortality models.

Price discovery in the dual-platform US Treasury market (2015)
Journal Article
Sun, Z., Dunne, P. G., & Li, Y. (2015). Price discovery in the dual-platform US Treasury market. Global finance journal, 28, 95-110. https://doi.org/10.1016/j.gfj.2015.02.001

Inter-dealer trading in US Treasury securities is almost equally divided between two electronic trading platforms that have only slight differences in terms of their relative liquidity and transparency. BrokerTec is more active in the trading of 2-,... Read More about Price discovery in the dual-platform US Treasury market.

Testing of a market fraction model and power-law behaviour in the DAX 30 (2015)
Journal Article
He, X. Z., & Li, Y. (2015). Testing of a market fraction model and power-law behaviour in the DAX 30. Journal of Empirical Finance, 31, 1-17. https://doi.org/10.1016/j.jempfin.2015.01.001

This paper tests a simple market fraction asset pricing model with heterogeneous agents. By selecting a set of structural parameters of the model through a systematic procedure, we show that the autocorrelations (of returns, absolute returns and squa... Read More about Testing of a market fraction model and power-law behaviour in the DAX 30.