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Details about Yang Lu

E-mail:
Homepage:https://sites.google.com/site/luyangensae/
Workplace:Centre d'Économie de l'Université Paris-Nord (CEPN) (Economic Center of Paris Nord University), Université Paris-13 (University of Paris-13), (more information at EDIRC)

Access statistics for papers by Yang Lu.

Last updated 2020-04-19. Update your information in the RePEc Author Service.

Short-id: plu292


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Working Papers

2019

  1. Bivariate integer-autoregressive process with an application to mutual fund flows
    Post-Print, HAL Downloads
    Also in Post-Print, HAL (2019)

    See also Journal Article in Journal of Multivariate Analysis (2019)
  2. Flexible (panel) regression models for bivariate count-continuous data with an insurance application
    Post-Print, HAL Downloads
    See also Journal Article in Journal of the Royal Statistical Society Series A (2019)
  3. Least Impulse Response Estimator for Stress Test Exercises
    Working Papers, HAL Downloads
    Also in CEPN Working Papers, Centre d'Economie de l'Université de Paris Nord (2019) Downloads
    Post-Print, HAL (2019) Downloads

    See also Journal Article in Journal of Banking & Finance (2019)
  4. Non-causal Affine Processes with Applications to Derivative Pricing
    Working Papers, Center for Research in Economics and Statistics Downloads

2018

  1. A Bayesian non-parametric model for small population mortality
    Post-Print, HAL Downloads
  2. Dynamic Frailty Count Process in Insurance: A Unified Framework for Estimation, Pricing, and Forecasting
    Post-Print, HAL
    Also in Post-Print, HAL (2018) Downloads

    See also Journal Article in Journal of Risk & Insurance (2018)
  3. Exact Likelihood Estimation and Probabilistic Forecasting in Higher-order INAR(p) Models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
  4. Negative Binomial Autoregressive Process
    Working Papers, Center for Research in Economics and Statistics Downloads

2016

  1. A Flexible State-Space Model with Application to Stochastic Volatility
    Working Papers, Center for Research in Economics and Statistics Downloads
  2. COHERENT FORECASTING OF MORTALITY RATES: A SPARSE VECTOR-AUTOREGRESSION APPROACH
    Post-Print, HAL Downloads
    See also Journal Article in ASTIN Bulletin (2017)

2015

  1. Love and death: A Freund model with frailty
    Post-Print, HAL Downloads View citations (3)
    Also in Working Papers, Center for Research in Economics and Statistics (2013) Downloads View citations (1)

    See also Journal Article in Insurance: Mathematics and Economics (2015)

2013

  1. Long Term Care and Longevity
    Working Papers, Center for Research in Economics and Statistics Downloads

Journal Articles

2020

  1. A simple parameter‐driven binary time series model
    Journal of Forecasting, 2020, 39, (2), 187-199 Downloads
  2. Spatial spillover effects and risk contagion around G20 stock markets based on volatility network
    The North American Journal of Economics and Finance, 2020, 51, (C) Downloads View citations (1)
  3. The distribution of unobserved heterogeneity in competing risks models
    Statistical Papers, 2020, 61, (2), 681-696 Downloads

2019

  1. A forecast reconciliation approach to cause-of-death mortality modeling
    Insurance: Mathematics and Economics, 2019, 86, (C), 122-133 Downloads
  2. Bivariate integer-autoregressive process with an application to mutual fund flows
    Journal of Multivariate Analysis, 2019, 173, (C), 181-203 Downloads
    See also Working Paper (2019)
  3. Flexible (panel) regression models for bivariate count–continuous data with an insurance application
    Journal of the Royal Statistical Society Series A, 2019, 182, (4), 1503-1521 Downloads
    See also Working Paper (2019)
  4. Least impulse response estimator for stress test exercises
    Journal of Banking & Finance, 2019, 103, (C), 62-77 Downloads
    See also Working Paper (2019)
  5. Negative Binomial Autoregressive Process with Stochastic Intensity
    Journal of Time Series Analysis, 2019, 40, (2), 225-247 Downloads View citations (1)

2018

  1. Dynamic Frailty Count Process in Insurance: A Unified Framework for Estimation, Pricing, and Forecasting
    Journal of Risk & Insurance, 2018, 85, (4), 1083-1102 Downloads
    See also Working Paper (2018)

2017

  1. BROKEN-HEART, COMMON LIFE, HETEROGENEITY: ANALYZING THE SPOUSAL MORTALITY DEPENDENCE
    ASTIN Bulletin, 2017, 47, (3), 837-874 Downloads View citations (2)
  2. COHERENT FORECASTING OF MORTALITY RATES: A SPARSE VECTOR-AUTOREGRESSION APPROACH
    ASTIN Bulletin, 2017, 47, (2), 563-600 Downloads View citations (2)
    See also Working Paper (2016)

2015

  1. Love and death: A Freund model with frailty
    Insurance: Mathematics and Economics, 2015, 63, (C), 191-203 Downloads View citations (5)
    See also Working Paper (2015)
 
Page updated 2020-09-08