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Toward a unified interval estimation of autoregressions

Chan, Ngai Hang; Li, Deyuan; Peng, Liang - In: Econometric theory 28 (2012) 3, pp. 705-717

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Tail index of an AR(1) model with ARCH(1) errors

Chan, Ngai Hang; Li, Deyuan; Peng, Liang; Zhang, Rongmao - In: Econometric theory 29 (2013) 5, pp. 920-940

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Uniform test for predictive regression with AR errors

Li, Chenxue; Li, Deyuan; Peng, Liang - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 1, pp. 29-39

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Bias-corrected inference for a modified Lee-Carter mortality model

Liu, Qing; Ling, Chen; Li, Deyuan; Peng, Liang - In: Astin bulletin : the journal of the International … 49 (2019) 2, pp. 433-455

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Pitfalls in Using Weibull Tailed Distributions

Asimit, Alexandru Vali; Li, Deyuan; Peng, Liang - 2013

By assuming that the underlying distribution belongs to the domain of attraction of an extreme value distribution, one can extrapolate the data to a far tail region so that a rare event can be predicted. However, when the distribution is in the domain of attraction of a Gumbel distribution, the...

Persistent link: https://www.econbiz.de/10014038337

The Impact of competition on prices with numerous firms

Gabaix, Xavier; Laibson, David I.; Li, Deyuan; Li, Hongyi; … - 2013

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Empirical likelihood test for causality of bivariate AR(1) processes

Li, Deyuan; Chan, Ngai Hang; Lian, Peng - In: Econometric theory 30 (2014) 2, pp. 357-371

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The impact of competition on prices with numerous firms

Gabaix, Xavier; Laibson, David I.; Li, Deyuan; Li, Hongyi; … - In: Journal of economic theory 165 (2016), pp. 1-24

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Extreme quantile estimation for autoregressive models

Li, Deyuan; Wang, Huixia - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 4, pp. 661-670

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Prediction of extremal expectile based on regression models with heteroscedastic extremes

Xu, Wen; Hou, Yanxi; Li, Deyuan - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 522-536

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