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Yushu Li

Associate Professor
  • E-mailYushu.Li@uib.no
  • Phone+47 55 58 48 83
  • Visitor Address
    Realfagbygget, Allégt. 41
  • Postal Address
    Postboks 7803
    5020 Bergen

Time series econometrics  

Sparse Bayesian Learning

Wavelet methods

Statistical machine learning 

Statistical Surveillance

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STATLEARN(H17,H18, H19), UIB: Statistical learning

STAT240 (V17), UIB: Theory of Finance

STAT231 (H16), UIB: Nonlife insurance mathematics

STAT111 (V16, V18), UIB: Statistiske metoder

STAT250 (H15), UIB: Monte Carlo method in statistics

ECO403 (V15,V14), NHH: Time series analysis and prediction

MAT013 (H14), NHH:Matematisk statistikk

 

 

 

13. Fredrik N.G. Andersson and Yushu Li (2019)

Are Central Bankers Inflation Nutters?  A MCMC Estimator of the Long-Memory Parameter in a State Space Model, (Accepted), Computational economics

12. Yushu Li and  Jonas Andersson (2019)

A Likelihood Ratio and Markov Chain Based Method to Evaluate Density Forecasting, (published on line 17 May 2019), Jounnal of forecasting

11. Hyunjoo Kim Karlsoon, Yushu Li and Ghazi Shukur (2018)

" The Causal Nexus between Oil Prices, Interest Rates, and Unemployment in Norway Using Wavelet Methods", Sustainability 201810(8), 2792; https://doi.org/10.3390/su10082792

10  Bjørn Gunna Hansan and Yushu Li (2017)

"An Analysis of Past World Market Prices of Feed and Milk and Predictions for the Future", Agribusiness, 33 (2), pp 175-193

9.    Simon Reese and Yushu Li (2015)

 “Testing for structural breaks in the presence of data perturbations---Impacts and wavelet based improvements”, Journal of Statistical Computation and Simulation, 2015, 85(17), pp. 3468-3479

8.       Yushu Li (2015)

  “Estimate long memory causality relationship by wavelet method”, Computational Economics, 2015, 45(4), pp. 531-544

7.       Yushu Li (2014)

 “Estimating APGARCH-Skew-t model by Wavelet Support Vector Machines”, Journal of Forecasting, 2014, 33(4), pp. 259-269

6.       Yushu Li and Simon Reese (2014)

  “Wavelet improvement in turning point detection using a HMM model - from the aspects of cyclical identification and outlier correction”, Computational Statistic,, 2014, 29(6), pp.1481-1496

5.      Yushu Li (2013)

 Wavelet Based Outlier Correction for Power Controlled Turning Point Detection in Surveillance Systems”, Economic modeling, 30, pp. 317-321

4.       Yushu Li and Shukur Ghazi (2011)

“Testing for unit roots in panel data using wavelet ratio method”, Computational Economics, Nov., 2011, pp 1-11

3.       Yushu Li and Shukur Ghazi (2011)

“Linear and Nonlinear Causality Test in LSTAR Models: Wavelet Decomposition in Nonlinear Environment”, Journal of Statistical Computation and Simulation,81:12, pp.1913-1925

2.       Yushu Li and Shukur Ghazi (2011)

“Wavelet Improvement of the Over-rejection of Unit root test under GARCH errors: An Application to Swedish Immigration Data”, Communications in Statistics, Theory and Methods. 40, Issue 13, pp. 2385-2396

1.      Yushu Li and Shukur Ghazi (2010)

 “Testing for Unit Root Against LSTAR Models: Wavelet Improvement under GARCH Distortion”, Communications in Statistics, Simulation and Computation, 39, Issue 2, pp. 277 – 286

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Journal articles
  • Andersson, Fredrik N. G.; Li, Yushu. 2019. Are Central Bankers Inflation Nutters? An MCMC Estimator of the Long-Memory Parameter in a State Space Model. Computational Economics. 1-21. doi: 10.1007/s10614-019-09900-3
  • Li, Yushu; Andersson, Lars Jonas. 2019. A likelihood ratio and Markov chain‐based method to evaluate density forecasting. Journal of Forecasting. 1-9. doi: 10.1002/for.2604
  • Karlsoon, Hyunjoo Kim; Li, Yushu; Shukur, Ghazi. 2018. The Causal Nexus between Oil Prices, Interest Rates, and Unemployment in Norway Using Wavelet Methods. Sustainability. 10: 1-15. doi: 10.3390/su10082792
  • Hansen, Bjørn Gunnar; Li, Yushu. 2017. An Analysis of Past World Market Prices of Feed and Milk and Predictions for the Future. Agribusiness. 33: 175-193. doi: 10.1002/agr.21474
  • Reese, Simon; Li, Yushu. 2015. Testing for structural breaks in the presence of data perturbations: impacts and wavelet-based improvements. Journal of Statistical Computation and Simulation. 85: 3468-3479. doi: 10.1080/00949655.2014.979824
  • Li, Yushu. 2014. Estimating and forecasting APARCH-Skew-t model by wavelet support vector machines. Journal of Forecasting. 33: 259-269. doi: 10.1002/for.2275
  • Li, Yushu. 2014. Estimate Long Memory Causality Relationship by Wavelet Method. Computational Economics. 45: 531-544. doi: 10.1007/s10614-014-9434-y
  • Li, Yushu; Reese, Simon. 2014. Wavelet improvement in turning point detection using a hidden Markov model: from the aspects of cyclical identification and outlier correction. Computational statistics (Zeitschrift). 29: 1481-1496. doi: 10.1007/s00180-014-0502-5
  • Li, Yushu; Shukur, Ghazi. 2011. Testing for unit roots in panel data using wavelet ratio method. Computational Economics. Nov: 1-11.
  • Li, Yushu; Shukur, Ghazi. 2011. inear and Nonlinear Causality Test in LSTAR Models: Wavelet Decomposition in Nonlinear Environment. Journal of Statistical Computation and Simulation. 81: 1913-1925.
  • Li, Yushu; Shukur, Ghazi. 2011. Wavelet Improvement of the Over-rejection of Unit root test under GARCH errors: An Application to Swedish Immigration Data”. Communications in Statistics - Theory and Methods. 40: 2385-2396.
  • Li, Yushu; Shukur, Ghazi. 2010. Testing for Unit Root Against LSTAR Models: Wavelet Improvement under GARCH Distortion. Communications in statistics. Simulation and computation. 39: 277-286.
Reports and theses
  • Hansen, Bjørn Gunnar; Li, Yushu. 2015. Future world market prices of milk and feed looking into the crystal ball. Norges Handelshoeyskole. Institutt for Foretaksoekonomi. Discussion Paper. 17. Norges Handelshøyskole. Institutt for Foretaksøkonomi, Bergen. 30 pages.
  • Andersson, Fredrik N. G.; Li, Yushu. 2014. Are Central Bankers Inflation Nutters? - A Bayesian MCMC Estimator of the Long Memory Parameter in a State Space Model. Norges Handelshoeyskole. Institutt for Foretaksoekonomi. Discussion Paper. 38. Norges Handelshøyskole. Institutt for Foretaksøkonomi, Bergen. 17 pages.
  • Li, Yushu; Andersson, Fredrik N. G. 2014. A simple wavelet-based test for serial correlation in panel data models. Norges Handelshoeyskole. Institutt for Foretaksoekonomi. Discussion Paper. 11. Norges Handelshøyskole. Institutt for Foretaksøkonomi, Bergen. 12 pages.
  • Li, Yushu; Andersson, Jonas. 2014. A Likelihood Ratio and Markov Chain Based Method to Evaluate Density Forecasting. Norges Handelshoeyskole. Institutt for Foretaksoekonomi. Discussion Paper. 12. Norges Handelshøyskole. Institutt for Foretaksøkonomi, Bergen. 12 pages.
  • Li, Yushu; Reese, Simon. 2014. Wavelet improvement in turning point detection using a Hidden Markov Model. Norges Handelshoeyskole. Institutt for Foretaksoekonomi. Discussion Paper. 10. Norges Handelshøyskole. Institutt for Foretaksøkonomi, Bergen. 22 pages.

More information in national current research information system (CRIStin)

Project leader for two years research project (2018-2019):  Strategic  Risk Adoption  in  Real  Options  under  Multi - Horizon  Regime  Switching and Uncertainty.

Project number 274569, Granted with 580000 nok from  Finance Market Fund, Norwegian Research Council