Dr Yuzhi Cai
Associate Professor
Accounting & Finance
Telephone: (01792) 606865
Room: Office 234 - 234
Second Floor
School of Management
Bay Campus

My primary research interest is the development of advanced statistical methodologies and models. I am also interested in computational statistics, quantile regression and quantile function modelling for different types of statistical data, Hawkes processes and extreme value theory.

I have collaborated with colleagues from many different disciplines in the development of statistical methodology motivated by problems arising from fields such as finance, economics, biology, social sciences and engineering. Some of the research projects were supported by external research funding bodies, including EPSRC, EU and ESRC Wales DTC. I have also collaborated with a world-leading research company for a number of years.

I am also supervising PhD students. The topics of the PhD research projects are mainly on the development of novel methods for problems arising from various research areas. I am interested in supervising quantitative research projects.

My research has led to many high quality publications in peer reviewed international journals including: Biometrika, Econometric Reviews, Journal of Time Series Analysis, Statistica Sinica, Computational Statistics and Data Analysis, Extremes, Coastal Engineering, Frontiers in Ecology and the Environment, SIAM Journal on Numerical Analysis, Journal of Forecasting and Economic Modelling etc.

Any enquiries about potential research collaborations are welcome. Any enquires from prospective PhD students on the topics related to my research interests are welcome.



Publications

  1. Cai, Y., Li, G. A quantile function approach to the distribution of financial returns following TGARCH models Statistical Modelling 1471082X1987637
  2. Cai, Y., Stander, J. The Threshold GARCH Model: Estimation and Density Forecasting for Financial Returns* Journal of Financial Econometrics
  3. Cai, Y. A General Quantile Function Model for Economic and Financial Time Series Econometric Reviews 35 7 1173 1193
  4. Cai, Y. A comparative study of monotone quantile regression methods for financial returns International Journal of Theoretical and Applied Finance 19 3 1650016 [16 pages]
  5. Cai, Y. Currency exchange rate forecasts using quantile regression. International Journal of Social, Behavioral, Educational, Economic, Business and Industrial Engineering 10 5 1449 1452

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Teaching

  • MN-1503 Statistics 1 for Accounting and Finance

    The module will provide an overview of the statistical methods necessary for accounting/finance analysis, focusing specifically on the use of computer packages (primarily SPSS) to conduct statistical analysis.

Supervision

  • Corporate governance: The effect of CSR on innovation (current)

    Student name:
    PhD
    Other supervisor: Dr Xicheng Liu
  • Peer-to-Peer Online Lending (current)

    Student name:
    PhD
    Other supervisor: Dr Joy Jia
  • My topic is about the attributes of female busy directors affect the busy board (current)

    Student name:
    PhD
    Other supervisor: Dr Xicheng Liu
  • 'Stock market analysis, volatility forecasting and effect of macroeconomic variables: evidence from quantile regression' (awarded 2018)

    Student name:
    PhD
    Other supervisor: Dr Vineet Upreti
  • 'Towards a Bayesian approach in criminology: A case study of risk assessment in youth justice' (awarded 2018)

    Student name:
    PhD
    Other supervisor: Prof Marty Chamberlain