杨亚星

副教授

香港科技大学统计学博士

电话:

电子邮件:yangyx@xmu.edu.cn

办公室:经济楼D127

Office Hours:


个人简介 研究成果 研究项目

 

Research interests:

Financial Econometrics,
Nonlinear time series analysis.
 
Education:
Ph.D. in Statistics, Hong Kong University of Science and Technology, 2016.

 

Ling, S., Tsay, R.S. and Yang, Y.X. (2019). Testing serial correlation and ARCH effect of high-dimensional time series data. Journal of Business & Economic Statistics.  DOI: 10.1080/07350015.2019.1647844.

 

Yang, Y.X. and Li D. (2019).  Sel-weighted LAD-based inference for heavy-tailed  continuous threshold autoregressive models. Journal of Time Series Analysis. DOI: 10.1111/jtsa.12492.

 

Yang, Y.X. and Ling S. (2018). A note on the LSE of three regime TAR model with an infinite variance. Annals of Financial Economics,  13(02), 1-13.

 

Yang, Y.X. and Ling, S. (2017). Inference for heavy-tailed and multiple-threshold double autoregressive models. Journal of Business & Economic Statistics, 35,318-333.

 

Yang, Y.X. and Ling, S. (2017). Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models. Journal of Econometrics, 197(2),368-381.

 

Tai, M.T., Yang, Y.X. and Ling, S. (2016) Diagnostic checking of partially no nstationary multivariaten AR and ARMA models.  Advances in Time Series Methods and Application(Part of the Fields Institute Communications book series,78,115-130.

 
 

 

国家自然科学基金青年科学基金项目:连续型门限模型的统计推断及应用, 2019-2021。

福建省自然科学基金面上项目:一类门限波动率模型的统计推断研究,2019-2021。