Working Papers
Zhang, Jianhan, Yiguo Sun, 2024. Threshold Regression with a Mismeasured Variable.
Sun, Yiguo, 2023. Threshold Investment Regression with Errors-in-Variables: Estimation and Empirical Analysis.
Chen, Chaoyi., Yiguo Sun, Yao Rao, 2023. Threshold MIDAS Forecasting of Inflation Rate.
Dimiski, Aanastasia and Yiguo Sun, 2023. Exploring Inflation Dynamics in Canada: A Threshold Vector Autoregressive Approach.
Delong Li, Mitchell Riddell, Yiguo Sun, and David Adler, 2022. Illiquidity premiums in international corporate bond markets.
Xiao, Hui and Yiguo Sun, 2022. Trust Thy Neighbor? Uncovering the Structure of the Real Estate Market.
Sun, Yiguo, 2019. Functional-coefficient spatial autoregressive fixed-effects panel data models with unknown social interactions.
Sun, Yiguo , 2012. Gravity of Core Inflation Rates: A Canadian Study.
Sun, Yiguo, 2009. Functional APT Model: Evidence from the U.S. Market. (The old title in 2004: Volatility risk, correlation risk and stock indexes return: evidence from the U.S. market.)
Sun, Yiguo, 2008. Daily Correlation and Volatility Dynamics between National Stock Markets with Non-Overlapping Trading Hours.
Sun, Yiguo, 2007. Dynamic Interdependence across Daily Non-overlapping National Stock Indexes.
Sun, Yiguo, 2003. An Empirical Analysis of Catastrophe-linked Security Markets: Evidence from PCS Call Spread Options Traded at CBOT.