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Details about Fuchun Li

Homepage:http://www.bankofcanada.ca/profile/fuchun-li/
Workplace:Bank of Canada, (more information at EDIRC)

Access statistics for papers by Fuchun Li.

Last updated 2023-03-16. Update your information in the RePEc Author Service.

Short-id: pli964


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Working Papers

2021

  1. Quantifying the Economic Benefits of Payments Modernization: the Case of the Large-Value Payment System
    Staff Working Papers, Bank of Canada Downloads

2016

  1. Early Warning of Financial Stress Events: A Credit-Regime-Switching Approach
    Staff Working Papers, Bank of Canada Downloads View citations (1)
  2. Measuring Systemic Risk Across Financial Market Infrastructures
    Staff Working Papers, Bank of Canada Downloads View citations (55)

2015

  1. Testing for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest Rates
    Staff Working Papers, Bank of Canada Downloads

2014

  1. Predicting Financial Stress Events: A Signal Extraction Approach
    Staff Working Papers, Bank of Canada Downloads View citations (36)
    See also Journal Article Predicting financial stress events: A signal extraction approach, Journal of Financial Stability, Elsevier (2014) Downloads View citations (37) (2014)

2013

  1. A Semiparametric Early Warning Model of Financial Stress Events
    Staff Working Papers, Bank of Canada Downloads View citations (3)

2011

  1. Measuring Systemic Importance of Financial Institutions: An Extreme Value Theory Approach
    Staff Working Papers, Bank of Canada Downloads View citations (3)

2010

  1. Financial Stress, Monetary Policy, and Economic Activity
    Staff Working Papers, Bank of Canada Downloads View citations (31)
    See also Journal Article Financial Stress, Monetary Policy, and Economic Activity, Bank of Canada Review, Bank of Canada (2010) Downloads View citations (29) (2010)
  2. Identifying Asymmetric Comovements of International Stock Market Returns
    Staff Working Papers, Bank of Canada Downloads

2009

  1. A Consistent Test for Multivariate Conditional Distributions
    Staff Working Papers, Bank of Canada Downloads
    See also Journal Article A Consistent Test for Multivariate Conditional Distributions, Econometric Reviews, Taylor & Francis Journals (2011) Downloads View citations (2) (2011)
  2. Testing for Financial Contagion with Applications to the Canadian Banking System
    Staff Working Papers, Bank of Canada Downloads View citations (4)

2006

  1. Linking Real Activity and Financial Markets: The Bonds, Equity, and Money (BEAM) Model
    Staff Working Papers, Bank of Canada Downloads View citations (2)

2005

  1. Testing the Parametric Specification of the Diffusion Function in a Diffusion Process
    Staff Working Papers, Bank of Canada Downloads View citations (2)
    See also Journal Article TESTING THE PARAMETRIC SPECIFICATION OF THE DIFFUSION FUNCTION IN A DIFFUSION PROCESS, Econometric Theory, Cambridge University Press (2007) Downloads View citations (15) (2007)

2001

  1. A Consistent Bootstrap Test for Conditional Density Functions with Time-Dependent Data
    Staff Working Papers, Bank of Canada Downloads View citations (7)
  2. Evaluating Linear and Non-Linear Time-Varying Forecast-Combination Methods
    Staff Working Papers, Bank of Canada Downloads View citations (3)

1999

  1. Pricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure Model
    Staff Working Papers, Bank of Canada Downloads View citations (5)

Journal Articles

2014

  1. Predicting financial stress events: A signal extraction approach
    Journal of Financial Stability, 2014, 14, (C), 54-65 Downloads View citations (37)
    See also Working Paper Predicting Financial Stress Events: A Signal Extraction Approach, Staff Working Papers (2014) Downloads View citations (36) (2014)
  2. Testing for financial contagion based on a nonparametric measure of the cross-market correlation
    Review of Financial Economics, 2014, 23, (3), 141-147 Downloads View citations (10)

2011

  1. A Consistent Test for Multivariate Conditional Distributions
    Econometric Reviews, 2011, 30, (3), 251-273 Downloads View citations (2)
    See also Working Paper A Consistent Test for Multivariate Conditional Distributions, Staff Working Papers (2009) Downloads (2009)

2010

  1. Financial Stress, Monetary Policy, and Economic Activity
    Bank of Canada Review, 2010, 2010, (Autumn), 9-18 Downloads View citations (29)
    See also Working Paper Financial Stress, Monetary Policy, and Economic Activity, Staff Working Papers (2010) Downloads View citations (31) (2010)

2007

  1. TESTING THE PARAMETRIC SPECIFICATION OF THE DIFFUSION FUNCTION IN A DIFFUSION PROCESS
    Econometric Theory, 2007, 23, (2), 221-250 Downloads View citations (15)
    See also Working Paper Testing the Parametric Specification of the Diffusion Function in a Diffusion Process, Staff Working Papers (2005) Downloads View citations (2) (2005)

2006

  1. A Semiparametric Two-Factor Term Structure Model
    Journal of Financial Econometrics, 2006, 4, (2), 204-237 Downloads View citations (1)
  2. A consistent bootstrap test for conditional density functions with time-series data
    Journal of Econometrics, 2006, 133, (2), 863-886 Downloads View citations (28)

2004

  1. Combining Forecasts with Nonparametric Kernel Regressions
    Studies in Nonlinear Dynamics & Econometrics, 2004, 8, (4), 1-18 Downloads View citations (8)

Chapters

2005

  1. Linking real activity and financial markets: the first steps towards a small estimated model for Canada
    A chapter in Investigating the relationship between the financial and real economy, 2005, vol. 22, pp 253-72 Downloads
 
Page updated 2024-07-13