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Fuchun Li

Personal Details

First Name:Fuchun
Middle Name:
Last Name:Li
Suffix:
RePEc Short-ID:pli964
[This author has chosen not to make the email address public]
http://www.bankofcanada.ca/profile/fuchun-li/

Affiliation

Bank of Canada

Ottawa, Canada
http://www.bank-banque-canada.ca/
RePEc:edi:bocgvca (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Neville Arjani & Fuchun Li & Zhentong Lu, 2021. "Quantifying the Economic Benefits of Payments Modernization: the Case of the Large-Value Payment System," Staff Working Papers 21-64, Bank of Canada.
  2. Fuchun Li & Hongyu Xiao, 2016. "Early Warning of Financial Stress Events: A Credit-Regime-Switching Approach," Staff Working Papers 16-21, Bank of Canada.
  3. Fuchun Li & Héctor Pérez Saiz, 2016. "Measuring Systemic Risk Across Financial Market Infrastructures," Staff Working Papers 16-10, Bank of Canada.
  4. Fuchun Li, 2015. "Testing for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest Rates," Staff Working Papers 15-17, Bank of Canada.
  5. Ian Christensen & Fuchun Li, 2014. "Predicting Financial Stress Events: A Signal Extraction Approach," Staff Working Papers 14-37, Bank of Canada.
  6. Ian Christensen & Fuchun Li, 2013. "A Semiparametric Early Warning Model of Financial Stress Events," Staff Working Papers 13-13, Bank of Canada.
  7. Toni Gravelle & Fuchun Li, 2011. "Measuring Systemic Importance of Financial Institutions: An Extreme Value Theory Approach," Staff Working Papers 11-19, Bank of Canada.
  8. Fuchun Li, 2010. "Identifying Asymmetric Comovements of International Stock Market Returns," Staff Working Papers 10-21, Bank of Canada.
  9. Fuchun Li & Pierre St-Amant, 2010. "Financial Stress, Monetary Policy, and Economic Activity," Staff Working Papers 10-12, Bank of Canada.
  10. Fuchun Li & Greg Tkacz, 2009. "A Consistent Test for Multivariate Conditional Distributions," Staff Working Papers 09-34, Bank of Canada.
  11. Fuchun Li, 2009. "Testing for Financial Contagion with Applications to the Canadian Banking System," Staff Working Papers 09-14, Bank of Canada.
  12. Céline Gauthier & Fuchun Li, 2006. "Linking Real Activity and Financial Markets: The Bonds, Equity, and Money (BEAM) Model," Staff Working Papers 06-42, Bank of Canada.
  13. Fuchun Li, 2005. "Testing the Parametric Specification of the Diffusion Function in a Diffusion Process," Staff Working Papers 05-35, Bank of Canada.
  14. Fuchun Li & Greg Tkacz, 2001. "Evaluating Linear and Non-Linear Time-Varying Forecast-Combination Methods," Staff Working Papers 01-12, Bank of Canada.
  15. Fuchun Li & Greg Tkacz, 2001. "A Consistent Bootstrap Test for Conditional Density Functions with Time-Dependent Data," Staff Working Papers 01-21, Bank of Canada.
  16. John Knight & Fuchun Li & Mingwei Yuan, 1999. "Pricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure Model," Staff Working Papers 99-19, Bank of Canada.

Articles

  1. Christensen, Ian & Li, Fuchun, 2014. "Predicting financial stress events: A signal extraction approach," Journal of Financial Stability, Elsevier, vol. 14(C), pages 54-65.
  2. Li, Fuchun & Zhu, Hui, 2014. "Testing for financial contagion based on a nonparametric measure of the cross-market correlation," Review of Financial Economics, Elsevier, vol. 23(3), pages 141-147.
  3. Fuchun Li & Greg Tkacz, 2011. "A Consistent Test for Multivariate Conditional Distributions," Econometric Reviews, Taylor & Francis Journals, vol. 30(3), pages 251-273.
  4. Fuchun Li & Pierre St-Amant, 2010. "Financial Stress, Monetary Policy, and Economic Activity," Bank of Canada Review, Bank of Canada, vol. 2010(Autumn), pages 9-18.
  5. Li, Fuchun, 2007. "Testing The Parametric Specification Of The Diffusion Function In A Diffusion Process," Econometric Theory, Cambridge University Press, vol. 23(2), pages 221-250, April.
  6. Li, Fuchun & Tkacz, Greg, 2006. "A consistent bootstrap test for conditional density functions with time-series data," Journal of Econometrics, Elsevier, vol. 133(2), pages 863-886, August.
  7. John Knight & Fuchun Li & Mingwei Yuan, 2006. "A Semiparametric Two-Factor Term Structure Model," Journal of Financial Econometrics, Oxford University Press, vol. 4(2), pages 204-237.
  8. Li Fuchun & Tkacz Greg, 2004. "Combining Forecasts with Nonparametric Kernel Regressions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(4), pages 1-18, December.

Chapters

  1. Céline Gauthier & Fuchun Li, 2005. "Linking real activity and financial markets: the first steps towards a small estimated model for Canada," BIS Papers chapters, in: Bank for International Settlements (ed.), Investigating the relationship between the financial and real economy, volume 22, pages 253-72, Bank for International Settlements.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 14 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-BAN: Banking (5) 2009-05-30 2011-10-15 2013-05-24 2016-04-30 2022-01-17. Author is listed
  2. NEP-CBA: Central Banking (5) 2006-12-04 2010-06-18 2011-10-15 2013-05-24 2016-04-30. Author is listed
  3. NEP-ECM: Econometrics (5) 2001-12-26 2001-12-26 2005-11-19 2010-01-10 2015-06-13. Author is listed
  4. NEP-MAC: Macroeconomics (5) 2006-12-04 2010-06-18 2014-12-08 2015-06-13 2022-01-17. Author is listed
  5. NEP-RMG: Risk Management (4) 2011-10-15 2014-12-08 2016-04-30 2016-04-30
  6. NEP-ETS: Econometric Time Series (3) 2001-12-26 2001-12-26 2005-11-19
  7. NEP-FOR: Forecasting (3) 2013-05-24 2014-12-08 2016-04-30
  8. NEP-MON: Monetary Economics (3) 2006-12-04 2009-05-30 2010-06-18
  9. NEP-CMP: Computational Economics (2) 2001-12-26 2001-12-26
  10. NEP-SEA: South East Asia (2) 2009-05-30 2011-10-15
  11. NEP-CFN: Corporate Finance (1) 2006-12-04
  12. NEP-FDG: Financial Development and Growth (1) 2009-05-30
  13. NEP-FMK: Financial Markets (1) 2013-05-24
  14. NEP-ORE: Operations Research (1) 2015-06-13
  15. NEP-PAY: Payment Systems and Financial Technology (1) 2022-01-17
  16. NEP-REG: Regulation (1) 2022-01-17

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