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Yayi Yan

Monash University (from arXiv:2111.00450, 2021) · ORCID · OpenAlex

25 papers in scope · 19 published · 10 on the econ.EM arXiv · 117 citations · h-index 6 (over the papers listed here)

Related authors

The 20 authors closest to this one in our weighted citation graph, most related first.

  1. Jiachen Cong
  2. Tingting Cheng
  3. Xuanbin Yang
  4. Fei Liu
  5. Rong Chen
  6. Minyuan Zhang
  7. Carsten Jentsch
  8. Yuefeng Han
  9. Elynn Chen
  10. Haoyuan Xu
  11. Cun-Hui Zhang
  12. Jiti Gao
  13. Nan Liu
  14. Yanbo Liu
  15. Wei Miao
  16. Geert Dhaene
  17. Qiwei Yao
  18. Jiangtao Duan
  19. Marco Barassi
  20. Chongxian Zhu

Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md.

Papers

(11 of 25)

Generalized impulse response analysis for time-varying VAR models
published2025 · Economic Modelling
with Li Tan, Shibo Bian, Zhiming Hu
Economic Modelling
An Adaptive Residual-Based Test for Factor Structure
published2025 · Journal of Business and Economic Statistics
with Yufeng Mao
Journal of Business and Economic Statistics
Nonparametric predictive regression for stock return prediction
published2025 · Econometric Reviews · 2 citations · first circulated 2019
with Tingting Cheng, Jiti Gao, Oliver Linton, Oliver B. Linton
Econometric Reviews
A robust residual-based test for structural changes in factor models
published2025 · Journal of Econometrics · 2 citations · first circulated 2024
with Bin Peng, Liangjun Su
Paper profile Journal of Econometrics arXiv:2406.00941
Time-varying vector error-correction models: Estimation and inference
published2025 · Journal of Econometrics · 3 citations · first circulated 2023
with Jiti Gao, Bin Peng
Paper profile Journal of Econometrics arXiv:2305.17829
A system of time-varying models for predictive regressions
published2025 · Journal of Empirical Finance · 4 citations · first circulated 2021
with Deshui Yu
Journal of Empirical Finance
Panel Data Estimation and Inference: Homogeneity versus Heterogeneity
working paper2025 · arXiv
with Jiti Gao, Fei Liu, Bin Peng
Paper profile arXiv arXiv:2502.03019
Examining Chinese volume–volatility nexus: A regime-switching perspective
published2025 · Economic Modelling · 1 citations
with Zhenxin Wang, Shaoping Wang, Yingcun Xia
Economic Modelling
Factor Models of Matrix-Valued Time Series: Nonstationarity and Cointegration
working paper2025 · arXiv · 1 citations
with Degui Li, Qiwei Yao
Paper profile arXiv arXiv:2508.11358
Robust Estimation and Inference for High-Dimensional Panel Data Models
working paper2024 · arXiv · 1 citations
with Jiti Gao, Fei Liu, Bin Peng
Paper profile arXiv arXiv:2405.07420
Sieve Bootstrap for Fixed-b Phillips–Perron Unit Root Test
published2024 · Computational Economics
with Zhenxin Wang, Shaoping Wang
Computational Economics
Time-varying multivariate causal processes
published2024 · Journal of Econometrics · 6 citations · first circulated 2022
with Jiti Gao, Bin Peng, Wei Biao Wu
Paper profile Journal of Econometrics arXiv:2206.00409
ASYMPTOTICS FOR TIME-VARYING VECTOR MA($\infty $) PROCESSES
published2024 · Econometric Theory · 7 citations
with Jiti Gao, Bin Peng
Econometric Theory
Estimation and Inference for a Class of Generalized Hierarchical Models
working paper2023 · arXiv
with Chaohua Dong, Jiti Gao, Bin Peng
Paper profile arXiv arXiv:2311.02789
Higher-Order Expansions and Inference for Panel Data Models
published2023 · Journal of the American Statistical Association · 4 citations · first circulated 2022
with Jiti Gao, Bin Peng
Paper profile Journal of the American Statistical Association arXiv:2205.00577
Joint dynamics of stock returns and cash flows: A time‐varying present‐value framework
published2023 · Financial Management · 18 citations
with Deshui Yu, Yu Deshui
Financial Management
Estimation, Inference, and Empirical Analysis for Time-Varying VAR Models
published2023 · Journal of Business and Economic Statistics · 19 citations
with Jiti Gao, Bin Peng
Journal of Business and Economic Statistics
Binary response models for heterogeneous panel data with interactive fixed effects
published2023 · Journal of Econometrics · 13 citations · first circulated 2020
with Jiti Gao, Fei Liu, Bin Peng
Paper profile Journal of Econometrics arXiv:2012.03182
De facto time‐varying indices‐based benchmarks for mutual fund returns
published2023 · The Journal of Financial Research
with Tingting Cheng, Cheng Yan
The Journal of Financial Research
On Time-Varying VAR Models: Estimation, Testing and Impulse Response Analysis
working paper2021 · arXiv · 8 citations
with Jiti Gao, Bin Peng
Paper profile arXiv arXiv:2111.00450
Factor-augmented forecasting regressions with threshold effects
published2021 · Econometrics Journal · 6 citations
with Tingting Cheng
Econometrics Journal
Improved inference for fund alphas using high-dimensional cross-sectional tests
published2021 · Journal of Empirical Finance · 6 citations
with Tingting Cheng, Cheng Yan
Journal of Empirical Finance
A Class of Time-Varying Vector Moving Average Models: Nonparametric Kernel Estimation and Application
working paper2020 · arXiv · 2 citations
with Jiti Gao, Bin Peng
Paper profile arXiv arXiv:2010.01492
Regime switching panel data models with interactive fixed effects
published2019 · Economics Letters · 3 citations · first circulated 2018
with Tingting Cheng, Jiti Gao
Economics Letters
A New Regime Switching Model with State–Varying Endogeneity
published2018 · Journal of Management Science and Engineering · 11 citations
with Tingting Cheng, Jiti Gao
Journal of Management Science and Engineering

Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.