Details about Yang Lu

Access statistics for papers by Yang Lu.

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

Short-id: plu292

Working Papers

2019

1. Bivariate integer-autoregressive process with an application to mutual fund flows
   Post-Print, HAL View citations (6)
   See also Journal Article Bivariate integer-autoregressive process with an application to mutual fund flows, Journal of Multivariate Analysis, Elsevier (2019) View citations (6) (2019)
2. Flexible (panel) regression models for bivariate count-continuous data with an insurance application
   Post-Print, HAL View citations (4)
   See also Journal Article Flexible (panel) regression models for bivariate count–continuous data with an insurance application, Journal of the Royal Statistical Society Series A, Royal Statistical Society (2019) View citations (4) (2019)
3. Least Impulse Response Estimator for Stress Test Exercises
   CEPN Working Papers, Centre d'Economie de l'Université de Paris Nord View citations (2)
   Also in Post-Print, HAL (2019) View citations (1)
   Working Papers, HAL (2019) View citations (2)
   See also Journal Article Least impulse response estimator for stress test exercises, Journal of Banking & Finance, Elsevier (2019) View citations (2) (2019)
4. Non-causal Affine Processes with Applications to Derivative Pricing
   Working Papers, Center for Research in Economics and Statistics

2018

5. A Bayesian non-parametric model for small population mortality
   Post-Print, HAL View citations (5)
6. Dynamic Frailty Count Process in Insurance: A Unified Framework for Estimation, Pricing, and Forecasting
   Post-Print, HAL View citations (4)
   See also Journal Article Dynamic Frailty Count Process in Insurance: A Unified Framework for Estimation, Pricing, and Forecasting, Journal of Risk & Insurance, The American Risk and Insurance Association (2018) View citations (4) (2018)
7. Exact Likelihood Estimation and Probabilistic Forecasting in Higher-order INAR(p) Models
   MPRA Paper, University Library of Munich, Germany View citations (1)
8. Negative Binomial Autoregressive Process
   Working Papers, Center for Research in Economics and Statistics

2016

9. A Flexible State-Space Model with Application to Stochastic Volatility
   Working Papers, Center for Research in Economics and Statistics
10. COHERENT FORECASTING OF MORTALITY RATES: A SPARSE VECTOR-AUTOREGRESSION APPROACH
    Post-Print, HAL
    See also Journal Article COHERENT FORECASTING OF MORTALITY RATES: A SPARSE VECTOR-AUTOREGRESSION APPROACH, ASTIN Bulletin, Cambridge University Press (2017) View citations (19) (2017)

2015

11. Love and death: A Freund model with frailty
    Post-Print, HAL View citations (11)
    Also in Working Papers, Center for Research in Economics and Statistics (2013) View citations (4)
    See also Journal Article Love and death: A Freund model with frailty, Insurance: Mathematics and Economics, Elsevier (2015) View citations (11) (2015)

2013

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

Journal Articles

2020

1. A simple parameter‐driven binary time series model
   Journal of Forecasting, 2020, 39, (2), 187-199 View citations (1)
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) View citations (14)
3. The distribution of unobserved heterogeneity in competing risks models
   Statistical Papers, 2020, 61, (2), 681-696

2019

4. A forecast reconciliation approach to cause-of-death mortality modeling
   Insurance: Mathematics and Economics, 2019, 86, (C), 122-133 View citations (15)
5. Bivariate integer-autoregressive process with an application to mutual fund flows
   Journal of Multivariate Analysis, 2019, 173, (C), 181-203 View citations (6)
   See also Working Paper Bivariate integer-autoregressive process with an application to mutual fund flows, Post-Print (2019) View citations (6) (2019)
6. 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 View citations (4)
   See also Working Paper Flexible (panel) regression models for bivariate count-continuous data with an insurance application, Post-Print (2019) View citations (4) (2019)
7. Least impulse response estimator for stress test exercises
   Journal of Banking & Finance, 2019, 103, (C), 62-77 View citations (2)
   See also Working Paper Least Impulse Response Estimator for Stress Test Exercises, CEPN Working Papers (2019) View citations (2) (2019)
8. Negative Binomial Autoregressive Process with Stochastic Intensity
   Journal of Time Series Analysis, 2019, 40, (2), 225-247 View citations (9)

2018

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

2017

10. BROKEN-HEART, COMMON LIFE, HETEROGENEITY: ANALYZING THE SPOUSAL MORTALITY DEPENDENCE
    ASTIN Bulletin, 2017, 47, (3), 837-874 View citations (7)
11. COHERENT FORECASTING OF MORTALITY RATES: A SPARSE VECTOR-AUTOREGRESSION APPROACH
    ASTIN Bulletin, 2017, 47, (2), 563-600 View citations (19)
    See also Working Paper COHERENT FORECASTING OF MORTALITY RATES: A SPARSE VECTOR-AUTOREGRESSION APPROACH, Post-Print (2016) (2016)

2015

12. Love and death: A Freund model with frailty
    Insurance: Mathematics and Economics, 2015, 63, (C), 191-203 View citations (11)
    See also Working Paper Love and death: A Freund model with frailty, Post-Print (2015) View citations (11) (2015)