Fuchun Li is a Senior Economist in the Model Development and Research Division of the Financial Stability Department at the Bank of Canada. His research interests are in econometric methods in finance, economics, and risk management. His current work mainly focuses on developing financial tools or financial stability assessment framework for the risk analysis of banking industry or Financial System. He received his PhD in economics from the University of Western Ontario.
Staff working papers
Testing for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest RatesThe author proposes a test for the parametric specification of each component in the diffusion matrix of a d-dimensional diffusion process. Overall, d (d-1)/2 test statistics are constructed for the off-diagonal components, while d test statistics are constructed for the main diagonal components.
Bank of Canada Review articles
Publications with external referees
- Testing for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest rates, Journal of Financial Econometrics (Forthcoming, 2019).
- Measuring System Risk across Financial Market Infrastructures,
(with Hector Perez Saiz), Journal of Financial Stability, Volume 34, 2018, p.1-11.
- Predicting Financial Stress Events: A Signal Extraction Approach,
(with Ian Christensen), Journal of Financial Stability, Vol. 14, October 2014, p. 54-65.
- Testing for Financial Contagion Based on a Nonparametric measure of cross-market linkage,
(with H. Zhu), Review of Financial Economics, 2014, Vol. 23, p. 141-147.
- Identifying Asymmetric Comovements of International Stock Market Returns,
Journal of Financial Econometrics, 2014, Vol. 12, No. 3, p. 507-554.
- Measuring Systemic Importance of Financial Institutions : An Extreme Value Theory Approach
(with Toni Gravelle), Journal of Banking and Finance, 2013, 37 (7), p. 2196-2209.
- A Consistent Test for Multivariate Conditional Distributions,
(with Greg Tkacz), Econometric Reviews, 30 (3), p. 251-273, 2011.
- Testing the Parametric Specification of a Diffusion Function in a Diffusion Process
Econometric Theory, 2007, 23, 221-250.
- A Semiparametric Two-Factor Term Structure Model
(with John Knight, Minwei Yuan), Journal of Financial Econometrics, 2006, 4 (2): 204-237.
- Combining Forecasts with Nonparametric Kernel Regressions
(with Greg Tkacz), Studies in Nonlinear Dynamics & Econometrics, 2004, 8 (4), article 2.
- An Empirical Implementation of a Non-parametric Estimation Approach for a Two-Factor Term Structure Model
(with Mingwei Yuan), Canadian Journal of Administrative Sciences, 2000, 17 (2), 182-198.
- A Consistent Bootstrap Test for Conditional Density Functions with Time-Series Data,
(with Greg Tkacz), Journal of Econometrics, 2006, Vol. 133, 863-886.