• Sun, Yiguo, 2002. An Empirical Analysis of Catastrophe-Linked Security Markets: Evidence from PCS Call Spread Options Traded at CBOT . Figure 6, Figure 7, Figure 8, Figure 9, Figure 10, Figure 11,

• Stengos, Thanasis and Yiguo Sun, 2001. Consistent Model Specification Test for a Regression Function Based on Nonparametric Wavelet Estimation. Econometric Reviews 20, 41-60.

• Yatchew, Andonis, Yiguo Sun and C. Deri, 2003. Efficient Estimation of Semiparametric Equivalent Scales. Journal of Business & Economic statistics 21, 247-257.

• Sun, Yiguo, 2005. Semiparametric Efficient Estimation of Partially Linear Quantile Regression Models . The Annals of Economics and Finance 6, 105-127.

• Li, Y., R.S. Singh, and Y. Sun, 2005. Goodness-of-fit Tests of a Parametric Density Functions: Monte Carlo Simulation Studies. Journal of Statistical Research 39(2), 111-133.

• Sun, Yiguo, 2006. A Consistent Nonparametric Equality Test of Conditional Quantile Functions. Econometric Theory 22, 614-632.

• Sun, Yiguo and Thanasis Stengos, 2006. Semiparametric Efficient Adaptive Estimation in Asymmetric GARCH Models. Jounral of Econometrics 133, 373-386.

• Liu, V., F. Tapon, and Y. Sun, 2006. Stock Return Volatility and the Internet Phenomenon. Applied Financial Economics Letters 2, 105-109.

• Stengos, T., Y. Sun, and D. Wang, 2006. Estimates of Semiparametric Equivalence Scales. Jounral of Applied Econometrics 21, 629-639.

• Yang, L., F. Tapon, and Y. Sun, 2006. International Correlations Across Stock Markets And Industries: Trends and Patterns 1988-2002. Applied Financial Economics (in press).

• Sun, Y. and T. Stengos, 2008. The absolute health income hypothesis revisited: A Semiparametric Quantile Regression Approach.Forthcoming to Empirical Economics.

• Sun, Y., R. Carroll, and D. Li, 2008. Semiparametric Estimation of Fixed Effects Panel Data Varying Coefficient Models. Forthcoming to Advances in Econometrics, volume 24.

• Sun, Y. and Q. Li, 2011. Data-Driven Method Selecting Smoothing Parameters in Semiparametric Models with Integrated Time Series Data. Journal of Business&Economic Statistics 29, 541-551.

• Sun, Y., C. Hsiao, and Q. Li, 2011. Measuring Correlations of Integrated but not Cointegrated Variables-A Semiparametric Approach. Journal of Econometrics 164, 252-267.

• Sun, Yiguo, 2004. Density Decomposition of Stock Index Returns , preliminary draft.

• Sun, Yiguo, 2004. Volatility risks, correlation risks and stock index returns: evidence from US industry stock markets.

• Sun, Y., Z. Cai, and Q. Li, 2008. Consistent Nonparametric Test on Parametric Smooth Coefficient Model with Nonstationary Data.

• Sun, Yiguo, 2008. Daily Correlation and Volatility Dynamics between National Stock Markets with Non-overlapping Trading Hours, preliminary draft.

Last Updated: May 8, 2003