Details about Fuchun Li

Access statistics for papers by Fuchun Li.

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

Short-id: pli964

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

2016

2. Early Warning of Financial Stress Events: A Credit-Regime-Switching Approach
   Staff Working Papers, Bank of Canada View citations (1)
3. Measuring Systemic Risk Across Financial Market Infrastructures
   Staff Working Papers, Bank of Canada View citations (57)

2015

4. 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

2014

5. Predicting Financial Stress Events: A Signal Extraction Approach
   Staff Working Papers, Bank of Canada View citations (39)
   See also Journal Article Predicting financial stress events: A signal extraction approach, Journal of Financial Stability, Elsevier (2014) View citations (41) (2014)

2013

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

2011

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

2010

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

2009

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

2006

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

2005

13. Testing the Parametric Specification of the Diffusion Function in a Diffusion Process
    Staff Working Papers, Bank of Canada 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) View citations (15) (2007)

2001

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

1999

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

Journal Articles

2014

1. Predicting financial stress events: A signal extraction approach
   Journal of Financial Stability, 2014, 14, (C), 54-65 View citations (41)
   See also Working Paper Predicting Financial Stress Events: A Signal Extraction Approach, Staff Working Papers (2014) View citations (39) (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 View citations (10)

2011

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

2010

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

2007

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

2006

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

2004

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