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Sun Li

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Main Referenced Co-authors
Hambuckers, Julien  (2)
Hecq, Alain (2)
Straetmans, Stefan (1)
Trapin, Luca (1)
Main Referenced Keywords
causal and noncausal time series (1); model selection (1); quantile autoregressions (1);
Main Referenced Disciplines
Quantitative methods in economics & management (3)

Publications (total 3)

The most downloaded
59 downloads
Sun, L., & Hecq, A. (19 September 2021). Selecting between causal and noncausal models with quantile autoregressions. Studies in Nonlinear Dynamics and Econometrics, 25 (5), 393–416. doi:10.1515/snde-2019-0044 https://hdl.handle.net/2268/265710

The most cited

6 citations (OpenAlex)

Sun, L., & Hecq, A. (19 September 2021). Selecting between causal and noncausal models with quantile autoregressions. Studies in Nonlinear Dynamics and Econometrics, 25 (5), 393–416. doi:10.1515/snde-2019-0044 https://hdl.handle.net/2268/265710

Sun, L., Hecq, A., Straetmans, S., & Hambuckers, J. (2022). VAR for VaR and CoVaR [Paper presentation]. Quantitative Finance and Financial Econometrics (QFFE) conference, Marseille, France.

Hambuckers, J., Sun, L., & Trapin, L. (2022). Non-stationary variable selection in time-varying extreme Value regression [Poster presentation]. Workshop on Dimensionality Reduction and Inference in High-Dimensional Time Series.
Editorial reviewed

Sun, L., & Hecq, A. (19 September 2021). Selecting between causal and noncausal models with quantile autoregressions. Studies in Nonlinear Dynamics and Econometrics, 25 (5), 393–416. doi:10.1515/snde-2019-0044
Peer Reviewed verified by ORBi

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