Dr Yuzhi Cai

Athro Cyswllt, Accounting and Finance

+44 (0) 1792 606865

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234
Ail lawr
Yr Ysgol Reolaeth
Campws y Bae

Ar gael ar gyfer Goruchwyliaeth Ôl-raddedig

Dolenni Ymchwil

https://orcid.org/0000-0003-3509-9787

Trosolwg

Mae diddordebau ymchwil Dr Yuzhi Cai ym meysydd econometreg ariannol, swyddogaeth cwantil a modelu atchweliad cwantil, ystadegau cyfrifiannol. Mae ei hymchwil yn aml yn cynnwys datblygiadau newydd o fodelau a methodolegau ystadegol uwch.

Mae ei hymchwil wedi arwain at lawer o gyhoeddiadau o ansawdd uchel mewn cyfnodolion rhyngwladol a adolygir gan gymheiriaid, gan gynnwys: Biometrika, Journal of Financial Econometrics, Econometric Reviews, Journal of Time Series Analysis, Journal of Forecasting, Statistica Sinica, Computational Statistics and Data Analysis, Extremes, SIAM Journal on Numerical Analysis and Economic Modelling.

A chanddi gefndir mewn ystadegau, mae hi'n gweithio gyda chydweithwyr o feysydd pwnc eraill gan gynnwys biowyddoniaeth, gwyddorau cymdeithasol a pheirianneg. Cefnogwyd rhai o'i phrosietau ymchwil gan gyrff ariannu ymchwil allanol, gan gynnwys EPSRC, yr UE ac ESRwwwC Cymru DTC, ac mae rhai o'i phapurau ymchwil hefyd wedi'u cyhoeddi mewn cyfnodolion blaenllaw yn y meysydd pwnc hyn megis Coastal Engineering and Frontiers in Ecology and the Environment, a Journal of Flood Risk Management etc.

Mae hi'n goruchwylio myfyrwyr PhD. Mae pynciau'r prosiectau ymchwil PhD yn canolbwyntio'n bennaf ar econometreg ariannol a chyllid meintiol. Mae ganddi ddiddordeb mewn goruchwylio prosiectau ymchwil meintiol.

Meysydd Arbenigedd

Econometreg ariannol;
Cyllid meintiol;
Atchweliad Cwantil a modelu swyddogaeth cwantil;
Modelu ystadegol ar gyfer data meintiol

Uchafbwyntiau Gyrfa

Ymchwil

Darllenwch am ymchwil Dr Yuzhi Cai ar Morffoddynameg Sympiau Mawr O Waddod Mewn Amgylchedd Macro-Lanwol yma.

Cyhoeddiadau

Uchafbwyntiau Ymchwil

Cai, Y. & Li, G. (2019). A quantile function approach to the distribution of financial returns following TGARCH models. Statistical Modelling, 1471082X1987637
https://doi.org/10.1177/1471082x19876371, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa51457
Cai, Y. & Stander, J. (2019). The Threshold GARCH Model: Estimation and Density Forecasting for Financial Returns*. Journal of Financial Econometrics, 18(2), 395-424.
https://doi.org/10.1093/jjfinec/nbz014, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa49769
Cai, Y. (2016). A General Quantile Function Model for Economic and Financial Time Series. Econometric Reviews, 35(7), 1173-1193.
https://doi.org/10.1080/07474938.2014.976528, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa21661
Cai, Y. (2016). A comparative study of monotone quantile regression methods for financial returns. International Journal of Theoretical and Applied Finance, 19(3), 1650016-[16 pages].
https://doi.org/10.1142/S0219024916500163, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa27421
Cai, Y. (2016). Currency exchange rate forecasts using quantile regression.. International Journal of Social, Behavioral, Educational, Economic, Business and Industrial Engineering, 10(5), 1449-1452.
SU Repository: https://cronfa.swan.ac.uk/Record/cronfa27599
http://waset.org/publications/10004420/currency-exchange-rate-forecasts-using-quantile-regression
Cai, Y. (2015). Forecasting for Financial Stock Returns Using a Quantile Function Model. World Academy of Science, Engineering and Technology, 9(9), 753-756.
https://doi.org/10.5281/zenodo.1109383, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa24734
https://zenodo.org/record/1109383#.XZHyWkZKiBY
Cai, Y. & Jiang, T. (2015). Estimation of Non-Crossing Quantile Regression Curves. Australian & New Zealand Journal of Statistics, 57(1), 139-162.
https://doi.org/10.1111/anzs.12106, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa21658
Wilson, R., Grundy, E., Massy, R., Soltis, J., Tysse, B., Holton, M., Cai, Y., Parrott, A., Downey, L., Qasem, L., Butt, T., & Parrott, A. (2014). Wild state secrets: ultra-sensitive measurement of micro-movement can reveal internal processes in animals. Frontiers in Ecology and the Environment, 12(10), 582-587.
https://doi.org/10.1890/140068, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa19803
Cai, Y., Davies, N., & Pang, W. (2014). Combining Forecasts via Simulations. Communications in Statistics - Simulation and Computation, 43(6), 1318-1332.
https://doi.org/10.1080/03610918.2012.731121, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa19802
Cai, Y., Huang, J., Tang, Y., & Zhou, G. (2014). A simulation method for finite non-stationary time series. Journal of Statistical Computation and Simulation, 84(7), 1563-1579.
https://doi.org/10.1080/00949655.2012.755184, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa19801

Holl Ymchwil

Erthyglau Cylchgronau

Cai, Y. (2022). Hawkes processes with hidden marks. The European Journal of Finance, 28(7), 679-704.
https://doi.org/10.1080/1351847x.2020.1820356, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa55070
Valsamidis, A., Cai, Y., & Reeve, D. (2022). Simulation of Wave Time Series with a Vector Autoregressive Method. Water, 14(3), 363
https://doi.org/10.3390/w14030363, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa59229
Cai, Y., Chevapatrakul, T., & Mascia, D. (2021). How is price explosivity triggered in the cryptocurrency markets?. Annals of Operations Research, 307
https://doi.org/10.1007/s10479-021-04298-4, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa57837
Huang, F., Bentley, L., Cai, Y., Song, J., & Davies, A. (2021). Determinants of the mental wellbeing of unpaid carers in Wales: a cross-sectional study. The Lancet, 398, S56
https://doi.org/10.1016/s0140-6736(21)02599-x, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa52868
http://dx.doi.org/10.1016/s0140-6736(21)02599-x
Huang, F., Cai, Y., Florentin, D., Song, J., & Davies, A. (2021). Cau’r bwlch ymgysylltu ag addysg i ofalwyr ifanc. Iechyd Cyhoeddus Cymru - Ymchwil a Gwerthuso, ISBN: 978-1-78986-154-452
SU Repository: https://cronfa.swan.ac.uk/Record/cronfa57690
https://icc.gig.cymru/newyddion1/mae-caur-bwlch-ymgysylltu-ag-addysg-i-ofalwyr-ifanc-yn-allweddol-i-wella-iechyd-a-llesiant-cenedlaethol-dyfodol/
Cai, Y. (2021). Estimating expected shortfall using a quantile function model. International Journal of Finance & Economics, 26(3), 4332-4360.
https://doi.org/10.1002/ijfe.2017, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa54532
Zhao, Y., Upreti, V., & Cai, Y. (2021). Stock returns, quantile autocorrelation, and volatility forecasting. International Review of Financial Analysis, 73, 101599
https://doi.org/10.1016/j.irfa.2020.101599, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa55342
Cai, Y. & Stander, J. (2019). The Threshold GARCH Model: Estimation and Density Forecasting for Financial Returns*. Journal of Financial Econometrics, 18(2), 395-424.
https://doi.org/10.1093/jjfinec/nbz014, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa49769
Cai, Y. & Li, G. (2019). A quantile function approach to the distribution of financial returns following TGARCH models. Statistical Modelling, 1471082X1987637
https://doi.org/10.1177/1471082x19876371, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa51457
Cai, Y. (2016). Currency exchange rate forecasts using quantile regression.. International Journal of Social, Behavioral, Educational, Economic, Business and Industrial Engineering, 10(5), 1449-1452.
SU Repository: https://cronfa.swan.ac.uk/Record/cronfa27599
http://waset.org/publications/10004420/currency-exchange-rate-forecasts-using-quantile-regression
Cai, Y. (2016). A comparative study of monotone quantile regression methods for financial returns. International Journal of Theoretical and Applied Finance, 19(3), 1650016-[16 pages].
https://doi.org/10.1142/S0219024916500163, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa27421
Cai, Y. (2016). A General Quantile Function Model for Economic and Financial Time Series. Econometric Reviews, 35(7), 1173-1193.
https://doi.org/10.1080/07474938.2014.976528, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa21661
Cai, Y. (2015). Forecasting for Financial Stock Returns Using a Quantile Function Model. World Academy of Science, Engineering and Technology, 9(9), 753-756.
https://doi.org/10.5281/zenodo.1109383, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa24734
https://zenodo.org/record/1109383#.XZHyWkZKiBY
Cai, Y. & Jiang, T. (2015). Estimation of Non-Crossing Quantile Regression Curves. Australian & New Zealand Journal of Statistics, 57(1), 139-162.
https://doi.org/10.1111/anzs.12106, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa21658
Wilson, R., Grundy, E., Massy, R., Soltis, J., Tysse, B., Holton, M., Cai, Y., Parrott, A., Downey, L., Qasem, L., Butt, T., & Parrott, A. (2014). Wild state secrets: ultra-sensitive measurement of micro-movement can reveal internal processes in animals. Frontiers in Ecology and the Environment, 12(10), 582-587.
https://doi.org/10.1890/140068, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa19803
Cai, Y., Davies, N., & Pang, W. (2014). Combining Forecasts via Simulations. Communications in Statistics - Simulation and Computation, 43(6), 1318-1332.
https://doi.org/10.1080/03610918.2012.731121, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa19802
Cai, Y., Huang, J., Tang, Y., & Zhou, G. (2014). A simulation method for finite non-stationary time series. Journal of Statistical Computation and Simulation, 84(7), 1563-1579.
https://doi.org/10.1080/00949655.2012.755184, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa19801
Kalueff, A., Bidder, O., Campbell, H., Gómez-Laich, A., Urgé, P., Walker, J., Cai, Y., Gao, L., Quintana, F., & Wilson, R. (2014). Love Thy Neighbour: Automatic Animal Behavioural Classification of Acceleration Data Using the K-Nearest Neighbour Algorithm. PLoS ONE, 9(2), e88609
https://doi.org/10.1371/journal.pone.0088609, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa19800
Cai, Y., Montes-Rojas, G., & Olmo, J. (2013). A quantile double AR model: estimation and forecasting. Journal of Forecasting, 32-560.
SU Repository: https://cronfa.swan.ac.uk/Record/cronfa15289
Cai, Y. & Reeve, D. (2013). Extreme value prediction via a quantile function model. Coastal Engineering, 77, 91-98.
https://doi.org/10.1016/j.coastaleng.2013.02.003, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa24074
Valsamidis, A., Cai, Y., & Reeve, D. (2013). Modelling beach-structure interaction using a Heaviside technique: application and validation.. Journal of Coastal Research, Special Issue(65), 410-415.
SU Repository: https://cronfa.swan.ac.uk/Record/cronfa16450
Cai, Y. (2013). Quantile function models for survival data analysis. Australian and New Zealand Journal of Statistics, 55, 155-172.
SU Repository: https://cronfa.swan.ac.uk/Record/cronfa15288
Tee, K., Cai, Y., & Chen, H. (2013). Structural damage detection using quantile regression. Journal of Civil Structural Health Monitoring, 3-31.
SU Repository: https://cronfa.swan.ac.uk/Record/cronfa15290
V.,, M., Gross, M, S., G.,, P., D.E, R., & Cai, Y. (2012). Statistical prediction of coastal and estuarine evolution. 'International Conference of Coastal Engineering 2012, USA, 1(33)-133.
SU Repository: https://cronfa.swan.ac.uk/Record/cronfa15292
Cai, Y., Stander, J., & Davies, N. (2012). A new Bayesian approach to quantile autoregressive time series model estimation and forecasting. Journal of Time Series Analysis, 33(4), 684-698.
https://doi.org/10.1111/j.1467-9892.2012.00800.x, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa11711
Cai, Y. & Davies, N. (2012). A simple bootstrap method for time serie. Communications in Statistics – Simulation and Computation, 41, 621-631.
SU Repository: https://cronfa.swan.ac.uk/Record/cronfa11972
Cai, Y. (2011). Multivariate time series simulation. Journal of Time Series Analysis, 32(5), 566-679.
https://doi.org/10.1111/j.1467-9892.2010.00715.x, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa6999
Cai, Y. & Hames, D. (2011). Minimum sample size determination for generalized extreme value distribution.. Communications in Statistics – Simulation and Computation, 40, 99-110.
SU Repository: https://cronfa.swan.ac.uk/Record/cronfa11974
Cai, Y. (2010). Multivariate quantile function models. Statistica Sinica, 20(2), 481-496.
SU Repository: https://cronfa.swan.ac.uk/Record/cronfa6997
http://www3.stat.sinica.edu.tw/statistica/j20n2/J20N21/J20N21.html
Cai, Y. & Cai, Y. (2010). Forecasting for quantile self-exciting threshold autoregressive time series models. Biometrika, 97(1), 199-208.
https://doi.org/10.1093/biomet/asp070, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa6996
Thompson, P., Cai, Y., Moyeed, R., Reeve, D., & Stander, J. (2010). Bayesian nonparametric quantile regression using splines. Computational Statistics and Data Analysis, 54(4), 1138-1150.
https://doi.org/10.1016/j.csda.2009.09.004, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa7005
Cai, Y. (2010). Polynomial power-Pareto quantile function models. Extremes, 13(3), 291-314.
https://doi.org/10.1007/s10687-009-0089-3, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa6998
Hewson, P., Kalinauskaite, A., Stander, J., & Cai, Y. (2010). Barefoot statistician. Significance, 7, 182-184.
SU Repository: https://cronfa.swan.ac.uk/Record/cronfa11976
Cai, Y. (2009). Autoregression with Non-Gaussian Innovations. Journal of Time Series Econometrics, 1(2)
https://doi.org/10.2202/1941-1928.1016, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa11977
Thompson, P., Cai, Y., Reeve, D., & Stander, J. (2009). Automated threshold selection methods for extreme wave analysis. Coastal Engineering, 56(10), 1013-1021.
https://doi.org/10.1016/j.coastaleng.2009.06.003, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa11978
Cai, Y. & Stander, J. (2008). Quantile self-exciting threshold autoregressive time series models. journal of time series analysis, 29(1), 186-202.
https://doi.org/10.1111/j.1467-9892.2007.00551.x, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa7004
http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1467-9892
Cai, Y., Gouldby, B., Hawkes, P., Dunning, P., & Cai, Y. (2008). Statistical simulation of flood variables: incorporating short-term sequencing. Journal of Flood Risk Management, 1(1), 3-10.
https://doi.org/10.1111/j.1753-318X.2008.00002.x, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa11979
Cai, Y. (2007). A quantile approach to US GNP. Economic Modelling, 24-979.
SU Repository: https://cronfa.swan.ac.uk/Record/cronfa15293
Cai, Y. (2005). A Non-monotone CFTP perfect simulation method. Statistica Sinica, 15, 927-943.
SU Repository: https://cronfa.swan.ac.uk/Record/cronfa15294
Cai, Y. (2005). A forecasting procedure for nonlinear autoregressive time series models. Journal of Forecasting, 24-351.
SU Repository: https://cronfa.swan.ac.uk/Record/cronfa15295
Cai, Y. (2005). Teaching Statistics using Adopted Textbooks?. MSOR Connections, 5-2.
SU Repository: https://cronfa.swan.ac.uk/Record/cronfa15296
Cai, Y. (2003). Convergence Theory of a Numerical Method for Solving. SIAM Journal on Numerical Analysis, 40-2351.
SU Repository: https://cronfa.swan.ac.uk/Record/cronfa15297
Cai, Y. & Neville, D. (2003). A Simple Diagnostic Method of Outlier Detection for Stationary Gaussian Time Series. Journal of Applied Statistics, 30, 205-223.
SU Repository: https://cronfa.swan.ac.uk/Record/cronfa15298
Cai, Y. & Davies, N. (2003). Monitoring the parameter changes in general ARIMA time series models. Journal of Applied Statistics, 30-1001.
SU Repository: https://cronfa.swan.ac.uk/Record/cronfa15299
Cai, Y. & Kendall, W. (2002). Perfect simulation for correlated poisson random variables conditioned to be positive. Statistics and Computing, 12, 229-243.
SU Repository: https://cronfa.swan.ac.uk/Record/cronfa15300
Ball, F., Cai, Y., Kadane, J, B., & O.Hagan, A. (1999). Bayesian inference for ion channel gating mechanisms directly from single channel recordings, using Markov chain Monte Carlo.. Proceedings of the Royal society of London Series A - Mathematical Physical and Engineering Sciences, 455-2932.
SU Repository: https://cronfa.swan.ac.uk/Record/cronfa15302

Penodau Llyfrau

Cai, Y., Huang, F., & Song, J. (2023). Modelling and Predicting the Dynamics of Confirmed COVID-19 Cases Based on Climate Data. Contributions to Statistics (pp. 105-115). Springer Nature Switzerland
https://doi.org/10.1007/978-3-031-40209-8_8, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa61876
http://dx.doi.org/10.1007/978-3-031-40209-8_8
Cai, Y. (2002). How rates of convergence for gibbs fields depend on the interaction and the kind of scanning used. Markov Process and Controlled Markov Chains-498).
SU Repository: https://cronfa.swan.ac.uk/Record/cronfa15301

Cyfraniadau Cynadleddau

Huang, F., Cai, Y., Florentin, D., Song, J., & Davies, A. (2022). Identifying the educational engagement gap in Wales. In SALT Conference 2022, Swansea
SU Repository: https://cronfa.swan.ac.uk/Record/cronfa61490
https://swanseauniversity.cloud.panopto.eu/Panopto/Pages/Viewer.aspx?id=4d9ea7a7-c8f5-48e3-b0e4-aefa00bbcb94
Huang, F., Banks, T., Cai, Y., Cubbage, K., Florentin, D., Kyle, R., Morgan, C., Song, J., & Davies, A. (n.d.) Young unpaid carers’ educational engagement and health conditions in Wales: a data linkage study. In ADR UK conference, Birmingham, 2023
SU Repository: https://cronfa.swan.ac.uk/Record/cronfa65175

Cynnyrch Ymchwil Arall

Huang, F., Bentley, L., Cai, Y., Hodgson, K., Song, J., & Davies, A. (2021). Unpaid carers in Wales: The determinants of mental wellbeing. Public Health Wales - Research and Evaluation, ISBN: ISBN 978-1-78986-154-559
SU Repository: https://cronfa.swan.ac.uk/Record/cronfa58784
https://phw.nhs.wales/publications/publications1/unpaid-carers-in-wales-the-determinants-of-mental-wellbeing/
Huang, F., Bentley, L., Cai, Y., Hodgson, K., Song, J., & Davies, A. (2021). Gofalwyr di-dâl yng Nghymru: Penderfynyddion llesiant meddyliol. Iechyd Cyhoeddus Cymru - Ymchwil a Gwerthuso, ISBN: 978-1-78986-154-558
SU Repository: https://cronfa.swan.ac.uk/Record/cronfa58786
https://icc.gig.cymru/cyhoeddiadau/cyhoeddiadau/gofalwyr-di-dal-yng-nghymru-penderfynyddion-llesiant-meddyliol/
Huang, F., Cai, Y., Florentin, D., Song, J., & Davies, A. (2021). Closing the educational engagement gap for young carers. Public Health Wales - Research and Evaluation, ISBN 978-1-78986-154-451
SU Repository: https://cronfa.swan.ac.uk/Record/cronfa57745
https://phw.nhs.wales/news/closing-educational-engagement-gap-for-young-carers-is-key-to-improving-health-and-wellbeing-of-future-generations/

Goruchwyliaeth

A study of corporate social responsibility and innovation: Evidence from US firms (dyfarnwyd 2023)

PhD

Goruchwyliwr arall: Dr Xicheng Liu
HOW DOES BUSY FEMALE DIRECTORS AFFECT FIRMS? EVIDENCE FROM LINEAR AND QUANTILE REGRESSION (dyfarnwyd 2022)

PhD

Goruchwyliwr arall: Dr Xicheng Liu