Yanping YI


Associate Professor (with Tenure)
Time Series, Financial Econometrics, Econometric Theory
(Ph.D., New York University, 2011)

Office Address
222, School of Economics
111 Wuchuan Rd

Contact Information:
Telephone: (+86)21-65902962
Email: yi.yanping@mail.shufe.edu.cn
Personal Web Page: click here
Research Papers
Working Papers
Work in Progress
Selected Awards


07/2014-present Associate Professor, School of Economics, SUFE
01/2014-06/2014 Assistant Professor, School of Economics, SUFE
08/2011-01/2014 Assistant Professor, School of Statistics and Management, SUFE
2005 - 2011 Doctor of Philosophy in Economics, New York University, USA
2001 - 2004 Master of Arts in Economics, Wuhan University, China
1997 - 2001 B.A. in Economics and B.S. in Mathematics , Wuhan University, China

Research Papers
  1. "Efficient Estimation of Copula-based Semiparametric Markov Models," (joint with Xiaohong Chen and Wei Biao Wu), Annals of Statistics, Volume 37, No. 6B, 4214-4253, 2009.
  2. "Uniform Inference in Predictive Regression Models," (joint with Rohit S. Deo and Willa W. Chen), Journal of Business & Economic Statistics, Volume 31, No. 4, 525-533, 2013.
  3. "Estimation of extreme value-at-risk: An EVT approach for quantile GARCH model," (joint with Xingdong Feng and Zhuo Huang), Economics Letters, 124, 378–381, 2014.
  4. "Is There a Structural Change in the Persistence of WTI-Brent Oil Price Spreads in the Post-2010 Period", (joint with Zhuo Huang and Wei Chen), Economic Modelling, 50, 64-71, 2015.
  5. "Forecasting Cointegrated Nonstationary Time Series with Time-varying Variance", (corresponding author, joint with Yundong Tu), Journal of Econometrics, 196, 83-98, 2017.
  6. "Semiparametric Identification of the Bid-Ask Spread in Extended Roll Models", (corresponding author, joint with Xiaohong Chen and Oliver Linton), Journal of Econometrics, forthcoming.

Working Papers
  1. "Semiparametric Estimation of the Bid-Ask Spread in Extended Roll Models", with Xiaohong Chen, Oliver Linton and Stefan Schneeberger, submitted.
  2. "Balanced Predictive Regressions", with Yu Ren and Yundong Tu.
  3. "Estimation of Multivariate Semiparametric GARCH Filtered Copula Models", with Xiaohong Chen.
Work in Progress
  1. "Bootstrap in Copula-based Semiparametric Markov Models", with Xiaohong Chen.
  2. "Goodness of fit test for copula functions based on martingale transformation", with Qiang Chen and Yuting Gong.
Selected Awards

  1. 2005 - 2011 MacCracken Fellowship, NYU

  2. 2006 - 2007 Summer Fellowships, Department of Economics, NYU

  3. 2001 - 2004 Graduate Student Fellowships, Wuhan University

  4. 97, 98, 2000 Distinguished Undergraduate Scholarships (Top 5% in the class), Wuhan University

The Review of Economics and Statistics, Journal of Econometrics, Journal of Business and Economic Statistics, Journal of Financial Econometrics, the Journal of the Royal Statistical Society