Browse by Authors

October 2014

O'Hare, Colin and Li, Youwei (2014): Identifying structural breaks in stochastic mortality models. Forthcoming in: ASCE-ASME Journal of Risk and Uncertainty in Engineering Systems, Part B. Mechanical Engineering

2015

Sun, Zhuowei and Dunne, Peter G. and Li, Youwei (2015): Price Discovery in the Dual-Platform US Treasury Market.

1 April 2016

Yan, Wei and Li, Youwei and Wu, Ying and Palmer, Mark (2016): A rising e-channel tide lifts all boats? The impact of manufacturer multi-channel encroachment on traditional selling and leasing.

10 April 2016

Shehadeh, Ali and Erdős, Péter and Li, Youwei and Moore, Michael (2016): US Dollar Carry Trades in the Era of “Cheap Money”.

6 May 2016

Jin, Muzhao and Li, Youwei and Wang, Jianxin and Yang, Yung Chiang (2016): Price Discovery in the Chinese Gold Market.

10 May 2016

Li, Youwei and Waterworth, James (2016): Eurozone network connectedness during calm and crisis: evidence from the MTS platform for interdealer trading of European sovereign debt.

16 May 2016

O'Hare, Colin and Li, Youwei (2016): Modelling mortality: Are we heading in the right direction?

17 May 2016

O'Hare, Colin and Li, Youwei (2016): Models of Mortality rates - analysing the residuals.

2 June 2016

Shehadeh, Ali and Li, Youwei and Moore, Michael (2016): The Forward Premium Bias, Carry Trade Return and the Risks of Volatility and Liquidity.

20 December 2017

Fan, Minyou and Li, Youwei and Liu, Jiadong (2017): Risk adjusted momentum strategies: a comparison between constant and dynamic volatility scaling approaches.

28 February 2018

Zheng, Min and Liu, Ruipeng and Li, Youwei (2018): Long memory in financial markets: A heterogeneous agent model perspective.

2019

Jin, Muzhao and Kearney, Fearghal and Li, Youwei and Yang, Yung Chiang (2019): Intraday Time-series Momentum: Evidence from China.

16 September 2019

Gao, Ya and Han, Xing and Li, Youwei and Xiong, Xiong (2019): Overnight Momentum, Informational Shocks, and Late-Informed Trading in China.

November 2019

Leung, Melvern and Li, Youwei and Pantelous, Athanasios and Vigne, Samuel (2019): Bayesian Value-at-Risk Backtesting: The Case of Annuity Pricing.

December 2019

Lin, Zhongguo and Hamill, Philip A. and Li, Youwei and Sun, Zhuowei and Waterworth, James (2019): How Did Order-Flow Impact Bond Prices During the European Sovereign Debt Crisis? Forthcoming in:

29 May 2020

Chen, Yanhua and Li, Youwei and Pantelous, Athanasios and Stanley, Eugene (2020): Short-run disequilibrium adjustment and long-run equilibrium in the international stock markets: A network-based approach.

January 2021

Zhang, Jing and Zhang, Wei and Li, Youwei and Feng, Xu (2021): The Role of Hedge Funds in the Asset Pricing: Evidence from China.