Yanping Yi
Selected Publications
Semiparametric identification of the bid-ask spread in extended Roll Models
This paper provides new identification results for the bid–ask spread and the nonparametric distribution of the […]
Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model
We propose new methods for estimating the bid-ask spread from observed transaction prices alone. Our methods […]
Efficient estimation of copula-based semiparametric Markov models
This paper considers efficient estimation of copula-based semiparametric strictly stationary Markov models. These models are characterized […]
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Efficient estimation of copula-based semiparametric Markov models
This paper considers efficient estimation of copula-based semiparametric strictly stationary Markov models. These models are characterized […]