Yuanying Jiang

Renmin University of China | RUC · School of Statistics

The inflation rate was an important indicator for monitoring macroeconomic operations. In this study, we analysed the reasons for the divergence of consumer-side inflation (CPI) and production-side inflation (PPI) trends through large-dimensional data, so as to consider the impact of various macroeconomic factors on the inflation. From the perspect...

As financial conditions become more complex and variable, capturing economic patterns becomes harder. The Financial Conditions Index (FCI) has gained traction as a tool to assess the performance of financial markets in nations or regions. This paragraph has created the China FCI using various financial indicators from 2002 to 2022. And with the use...

Real economy has always been a crucial component of China’s economic development, while fictitious economy has experienced rapid growth in past decades. As a result, the connection between the real and fictitious economy has become increasingly complex. This study utilized a hierarchical framework for classifying real economy and conducted a hidden...

Since the COVID-19 outbreak, the global economy has been hit hard, and the development of renewable energy and energy transitions has become a common choice for all countries. The development of clean energy firms has become a hot topic of discussion among scholars, and the relationship between the stock prices of clean energy firms and the interna...

This paper analyzes the time-varying impacts of Chinaʼs economic growth, energy efficiency, and industrial development on carbon dioxide (CO2) emissions from 1970 to 2019. First, we examined and found that there are two significant structural changes in the CO2 sequence over the years, and there was a significant nonlinear relationship among the fo...

With the continuous innovation of financial instruments, the financing structure presents a diversified development trend, and the proportion of direct financing in Aggregate Financing to the Real Economy (AFRE) has been increasing. We utilized monthly data from January 2002 to March 2023 to establish a time-varying spillover index model and a larg...

The reduction of carbon emissions has attracted significant global attention. This paper empirically analyzes the dynamic nonlinear linkages among carbon markets, green bonds, clean energy, and electricity markets by constructing DCC-GARCH and TVP-VAR-SV models, and places the four markets under a unified framework to analyze the volatility risk fr...

This paper we study and establish the complete convergence and complete moment convergence theorems under a sub-linear expectation space. As applications, the complete convergence and complete moment convergence for negatively dependent random variables with CV (exp (ln? |X|)) 1 have been generalized to the sub-linear expectation space context. We...

Let X,X1,X2,... be a stationary sequence of ??-mixing positive random variables. A universal result in the area of almost sure central limit theorems for the self-normalized products of sums of partial sums (?kj =1(Tj/(j(j+1)?/2)))?=(?Vk) is established, where: Tj = ?ji=1 Si,Si = ?i k=1 Xk,Vk = ??ki=1 X2i,? = EX, ? > 0. Our results generalize and i...

Let { X n , n ≥ 1 } be a strictly stationary negatively associated sequence of positive random variables with E X 1 = μ > 0 and Var ( X 1 ) = σ 2 < ∞ . Denote S n = ∑ i = 1 n X i , p k = P ( a k ≤ ( ∏ j = 1 k S j / ( k ! μ k ) ) 1 / ( γ σ 1 k ) < b k ) and γ = σ / μ the coefficient of variation. Under some sui...

Credit risk of fixed income securities is widely concerned during bond trading and risk monitoring, which can be measured by an important economic indicator credit spreads. This paper establishes a credit spread index by GZ model based on yield-to-maturity data of corporate bonds and government bonds from inter-bank bond market in China. In order t...

Limit theorems for sub-linear expectations are challenging field which have raised a large number of issues of interest recently. The aim of this paper is to establish general strong law of large numbers and the Chover's law of the iterated logarithm for a sequence of random variables under a sub-linear expectation space. As applications, several r...

Let X;X1;X2; … be a stationary sequence of negatively associated random variables. A universal result in almost sure central limit theorem for the self-normalized partial sums Sn=Vnis established, where: (formula presented).

In this paper, we study the almost sure convergence for sequences of asymptotically negative associated (ANA) random variables. As a result, we extend the classical Khintchine–Kolmogorov convergence theorem, Marcinkiewicz strong law of large numbers, and the three series theorem for sequences of independent random variables to sequences of ANA rand...

In this paper, some complete convergence, complete moment convergence, and mean convergence results for arrays of rowwise asymptotically negatively associated (ANA) random variables are obtained. These theorems not only generalize some well-known ones to ANA cases, but they also improve them.

In this paper, we study the complete convergence and complete moment convergence for negatively associated sequences of random variables with \(\mathbb{E}X=0\), \(\mathbb{E}\exp(\ln^{\alpha}|X| )<\infty\), \(\alpha>1\). As a result, we extend some complete convergence and complete moment convergence theorems for independent random variables to the...

There exist many ways to measure financial asset volatility. In this paper, we introduce a new joint model for the high-low range of assets prices and realized measure of volatility: Realized CARR. In fact, the high-low range and realized volatility, both are efficient estimators of volatility. Hence, this new joint model can be viewed as a model o...

We study the complete moment convergence for sequences of negatively dependent identically distributed random variables with E X = 0 , E exp ⁡ | X | α < ∞ , 0 < α < 1 , and E exp ⁡ | X | ln - r ⁡ | X | < ∞ , r > 0 . As a result, we establish the new complete moment convergence theorems.

Let \(X, X_1, X_2,\ldots \) be a sequence of independent and identically distributed random variables with zero mean and finite second moment. A universal result in almost sure central limit theorem for the self-normalized partial sums \(S_n/V_n\) and maxima \(M_n\) is established, where \(S_n=\sum _{i=1}^nX_i, V^2_n=\sum _{i=1}^nX^2_i,\) and \(M_n...

Applying the moment inequality of asymptotically almost negatively associated (AANA, in short) random variables which was obtained by Yuan and An (2009), some strong convergence results for weighted sums of AANA random variables are obtained without assumptions of identical distribution, which generalize and improve the corresponding ones of Zhou e...

The almost sure central limit theorem is established for sequences of negatively associated random variables: lim n→∞ (1/logn)∑ k=1 n (I(a k ≤S k <b k )/k)P(a k ≤S k <b k )=1a.s. This is the local almost sure central limit theorem for negatively associated sequences similar to results by E. Csáki et al. [Probab. Theory Relat. Fields 97, No. 3, 321–...

The aim of this paper is to introduce a new type of terminating Markov renewal process D(α,β,k) in view of application to replacement problems. The dynamical sojourn probability and the renewal function of each Markov state, the time τ till termination, the distribution and moments of τ are calculated for this type terminating process in order to a...

In this paper, the almost sure convergence for pairwise negatively quadrant dependent random variables is studied. The strong law of large numbers for pairwise negatively quadrant dependent random variables is obtained. Our results generalize and improve those on almost sure convergence theorems previously obtained by Marcinkiewicz (1937), Jamison...

The strong consistency of M estimators of the regression parameters in linear models for negatively dependent random errors under some mild conditions is established, which is an essential improvement on the relevant results in the literature on the moment conditions and dependent errors. Especially, Theorems 1 and 2 of Wu (200618. Wu , Q. Y. ( 200...

A Chover-type law of the k-iterated logarithm is established for ρ ˜-mixing sequences of identically distributed random variables with a distribution in the domain of an attraction of a stable distribution with an exponent in (0,2). Our results generalize and improve those on Chover’s LIL type behavior previously obtained by T. Mikosch [Vestnik Len...

Consider a sequence of NA identically distributed random variables with the underlying distribution in the domain of attraction of the normal distribution. This paper proves that law of the iterated logarithm holds for sequences of NA random variables.

Consider a sequence of negatively associated and identically distributed random variables with the underlying distribution in the domain of attraction of a stable distribution with an exponent in (0, 2). A Chover’s law of the iterated logarithm is established for negatively associated random variables. Our results generalize and improve those on Ch...

In this paper, we firstly obtain an exponential inequality and a moment inequality for negatively dependent random sequences. Then, we apply these inequalities to discuss logarithm theorems for negatively dependent random sequences. As a result, we extend the logarithm theorems to the case of negatively dependent random sequences.

In this paper, we study the almost sure convergence for -mixing sequences of random variables. As a result, the authors improve the corresponding results of Yang [Yang, Shanchao, 1998. Some moment inequalities for partial sums of random variables and their applications. Chinese Sci. Bull. 43 (17), 1823-1827], Gan [Gan, Shixin, 2004. Almost sure con...

In this paper, we study the almost sure convergence for over(ρ, ̃)-mixing sequences of random variables. As a result, the authors improve the corresponding results of Yang [Yang, Shanchao, 1998. Some moment inequalities for partial sums of random variables and their applications. Chinese Sci. Bull. 43 (17), 1823-1827], Gan [Gan, Shixin, 2004. Almos...