Yanping Yi
Selected Publications
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 […]