5 Result(s)
within
Yanlin Shi
Combinatorics
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Article
Open AccessA semi-parametric claims reserving model with monotone splines
Stochastic reserving models used in the insurance industry are usually based on an assumed distribution of claim amounts. Despite their popularity, such models may unavoidably be affected by the misspecificati...
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Article
A simulation study on the Markov regime-switching zero-drift GARCH model
A Zero-drift GARCH (ZD-GARCH) model is recently proposed to study conditional and unconditional heteroskedasticity together. Despite its attractive statistical properties, our research demonstrates that the st...
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Article
Robustness and spurious long memory: evidence from the generalized autoregressive score models
This paper employs the generalized autoregressive score (GAS) models to study the long memory and regime switching in the second comment. Via systematically constructed simulation studies, we firstly demonstra...
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Article
Long memory and regime switching in the stochastic volatility modelling
This paper studies the confusion between the long memory and regime switching in the second moment via the stochastic volatility (SV) methodology. An illustrative proposition is firstly presented with simulati...
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Article
Open AccessA discussion on the robust vector autoregressive models: novel evidence from safe haven assets
The vector autoregressive (VAR) model has been popularly employed in operational practice to study multivariate time series. Despite its usefulness in providing associated metrics such as the impulse response ...
