Zhongjun Qu : Citation Profile


Are you Zhongjun Qu?

Boston University

13

H index

14

i10 index

782

Citations

RESEARCH PRODUCTION:

18

Articles

18

Papers

RESEARCH ACTIVITY:

   13 years (2005 - 2018). See details.
   Cites by year: 60
   Journals where Zhongjun Qu has often published
   Relations with other researchers
   Recent citing documents: 197.    Total self citations: 16 (2.01 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pqu46
   Updated: 2020-06-20    RAS profile: 2020-02-03    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Zhongjun Qu.

Is cited by:

Perron, Pierre (91)

Rodríguez, Gabriel (29)

Sibbertsen, Philipp (23)

Leschinski, Christian (18)

Leybourne, Stephen (17)

Taylor, Robert (17)

Yamamoto, Yohei (16)

GUPTA, RANGAN (14)

Harvey, David (13)

Boldea, Otilia (13)

Oka, Tatsushi (13)

Cites to:

Perron, Pierre (22)

Bai, Jushan (19)

Granger, Clive (13)

Chernozhukov, Victor (12)

Schorfheide, Frank (10)

Andrews, Donald (9)

Diebold, Francis (8)

Engle, Robert (8)

Phillips, Peter (8)

Hansen, Lars (7)

Ploberger, Werner (7)

Main data


Where Zhongjun Qu has published?


Journals with more than one article published# docs
Journal of Econometrics4
Journal of Business & Economic Statistics2
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
Boston University - Department of Economics - Working Papers Series / Boston University - Department of Economics18

Recent works citing Zhongjun Qu (2019 and 2018)


YearTitle of citing document
2017Does the ARFIMA really shift?. (2017). Santucci de Magistris, Paolo ; Grassi, Stefano ; Delle Monache, Davide. In: CREATES Research Papers. RePEc:aah:create:2017-16.

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2018Consistent Inference for Predictive Regressions in Persistent VAR Economies. (2018). Andersen, Torben ; Varneskov, Rasmus T. In: CREATES Research Papers. RePEc:aah:create:2018-09.

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2017“Unbiased estimation of autoregressive models forbounded stochastic processes. (2017). Montañés, Antonio ; Gadea, María ; Carrion-i-Silvestre, Josep ; Montaes, Antonio. In: AQR Working Papers. RePEc:aqr:wpaper:201710.

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2018Conditional Quantile Processes based on Series or Many Regressors. (2018). Chernozhukov, Victor ; Fern, Iv'An ; Chetverikov, Denis ; Belloni, Alexandre. In: Papers. RePEc:arx:papers:1105.6154.

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2018Testing for Common Breaks in a Multiple Equations System. (2018). Perron, Pierre ; Oka, Tatsushi. In: Papers. RePEc:arx:papers:1606.00092.

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2018Generic Inference on Quantile and Quantile Effect Functions for Discrete Outcomes. (2018). Melly, Blaise ; Chernozhukov, Victor ; Wuthrich, Kaspar ; Fern, Iv'An. In: Papers. RePEc:arx:papers:1608.05142.

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2018Nonparametric Regression with Multiple Thresholds: Estimation and Inference. (2018). Chen, Jau-Er ; Chiou, Yan-Yu. In: Papers. RePEc:arx:papers:1705.09418.

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2017Comparing distributions by multiple testing across quantiles or CDF values. (2017). Kaplan, David ; Goldman, Matt. In: Papers. RePEc:arx:papers:1708.04658.

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2018Structural Breaks in Time Series. (2018). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:1805.03807.

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2018Inference Related to Common Breaks in a Multivariate System with Joined Segmented Trends with Applications to Global and Hemispheric Temperatures. (2018). Perron, Pierre ; Oka, Tatsushi ; Kim, Dukpa ; Estrada, Francisco. In: Papers. RePEc:arx:papers:1805.09937.

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2018Change Point Estimation in Panel Data with Time-Varying Individual Effects. (2018). Gan, Zhuojiong ; Boldea, Otilia ; Drepper, Bettina. In: Papers. RePEc:arx:papers:1808.03109.

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2018Change-Point Testing and Estimation for Risk Measures in Time Series. (2018). Pelger, Markus ; Glynn, Peter W ; Fan, Lin. In: Papers. RePEc:arx:papers:1809.02303.

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2020Testing for Sample Selection. (2019). Gutknecht, Daniel ; Corradi, Valentina. In: Papers. RePEc:arx:papers:1907.07412.

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2020Theory of Weak Identification in Semiparametric Models. (2019). Kaji, Tetsuya. In: Papers. RePEc:arx:papers:1908.10478.

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2019Nonparametric Quantile Regressions for Panel Data Models with Large T. (2019). Chen, Liang. In: Papers. RePEc:arx:papers:1911.01824.

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2019Structural stability of infinite-order regression. (2019). SEO, MYUNG HWAN ; Gupta, Abhimanyu. In: Papers. RePEc:arx:papers:1911.08637.

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2020Oracle Efficient Estimation of Structural Breaks in Cointegrating Regressions. (2020). Schweikert, Karsten. In: Papers. RePEc:arx:papers:2001.07949.

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2020The Dimension of the Set of Causal Solutions of Linear Multivariate Rational Expectations Models. (2020). Funovits, Bernd. In: Papers. RePEc:arx:papers:2002.04369.

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2020Unit-root test within a threshold ARMA framework. (2020). Tong, Howell ; Goracci, Greta ; Giannerini, Simone ; Chan, Kung-Sik. In: Papers. RePEc:arx:papers:2002.09968.

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2020Where do we stand in cryptocurrencies economic research? A survey based on hybrid analysis. (2020). Fernandez Bariviera, Aurelio ; Merediz-Sola, Ignasi. In: Papers. RePEc:arx:papers:2003.09723.

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2020The Effectiveness of Chinas Monetary Policy: Based on the Mixed-Frequency Data. (2020). Pan, Shengjie ; Zhang, Hongyan ; Song, Yinqiu ; Wang, Deqing. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2020:p:325-339.

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2019Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects. (2019). Tuzcuoglu, Kerem. In: Staff Working Papers. RePEc:bca:bocawp:19-16.

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2017Exchange rate regime and external adjustment: an empirical investigation for the U.S.. (2017). Fuertes, Alberto. In: Working Papers. RePEc:bde:wpaper:1717.

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2019External adjustment with a common currency: the case of the euro area. (2019). Fuertes, Alberto. In: Working Papers. RePEc:bde:wpaper:1936.

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2019The Identification Problem for Linear Rational Expectations Models. (2019). Al-Sadoon, Majid ; Zwiernik, Piotr. In: Working Papers. RePEc:bge:wpaper:1114.

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2020What drives inflation in advanced and emerging market economies?. (2020). Morley, James ; Mohanty, Madhusudan ; Kamber, Gnes. In: BIS Papers chapters. RePEc:bis:bisbpc:111-03.

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2018How is the Taylor Rule Distributed under Endogenous Monetary Regimes?. (2018). Liu, Xiaochun. In: International Review of Finance. RePEc:bla:irvfin:v:18:y:2018:i:2:p:305-316.

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2017Unit Root Tests and Heavy-Tailed Innovations. (2017). Taylor, Robert ; Rodrigues, Paulo ; Robert, A M ; Georgiev, Iliyan ; Zorita, Eduardo ; Perron, Pierre. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:5:p:733-768.

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2018Confidence Sets for the Date of a Structural Change at the End of a Sample. (2018). Kurozumi, Eiji. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:850-862.

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2017Uncertainty across volatility regimes. (2017). Fanelli, Luca ; Caggiano, Giovanni ; Bacchiocchi, Emanuele ; Angelini, Giovanni. In: Research Discussion Papers. RePEc:bof:bofrdp:2017_035.

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2017Inference Related to Common Breaks in a Multivariate System with Joined Segmented Trends with Applications to Global and Hemispheric Temperatures. (2017). . In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2017-003.

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2017Forecasting in the presence of in and out of sample breaks. (2017). Xu, Jiawen. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2017-004.

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2018Forecasting in the presence of in and out of sample breaks. (2018). Perron, Pierre ; Xu, Jiawen. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2018-014.

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2018Inference Related to Common Breaks in a Multivariate System with Joined Segmented Trends with Applications to Global and Hemispheric Temperatures. (2018). Perron, Pierre ; Oka, Tatsushi ; Kim, Dukpa ; Estrada, Francisco. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2018-015.

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2019Structural Breaks in Time Series. (2018). Perron, Pierre ; Casini, Alessandro. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2019-002.

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2019Testing for Changes in Forecasting Performance. (2018). Yamamoto, Yohei ; Perron, Pierre. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2019-003.

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2017Testing for a Change in Mean under Fractional Integration. (2017). Leybourne, Stephen ; Iacone, Fabrizio ; Fabrizio, Iacone ; Taylor, Robert ; Stephen, Leybourne . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:9:y:2017:i:1:p:8:n:2.

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2019Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach. (2019). GUPTA, RANGAN ; Caporin, Massimiliano ; Ravazzolo, Francesco. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps61.

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2018Testing DSGE Models by indirect inference: a survey of recent findings. (2018). Xu, Yongdeng ; Wickens, Michael ; Minford, A. Patrick ; Meenagh, David. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2018/14.

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2017Uncertainty Across Volatility Regimes. (2017). Fanelli, Luca ; Caggiano, Giovanni ; Bacchiocchi, Emanuele ; Angelini, Giovanni. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6799.

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2018The Asymptotic Properties of GMM and Indirect Inference under Second-order Identification. (2018). Hall, Alastair ; Dovonon, Prosper. In: CIRANO Working Papers. RePEc:cir:cirwor:2018s-37.

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2019The effect of observables, functional specifications, model features and shocks on identification in linearized DSGE models. (2019). Mutschler, Willi ; Ivashchenko, Sergey. In: CQE Working Papers. RePEc:cqe:wpaper:8319.

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2018Identification- and Singularity-Robust Inference for Moment Condition. (2018). Guggenberger, Patrik. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1978r.

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2019Identification- and Singularity-Robust Inference for Moment Condition. (2019). Guggenberger, Patrik. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1978r2.

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2017Re-examining Exchange Rate Regimes and Inflation Nexus: An ARDL Analysis for Nigerian Case. (2017). BOKANA, KOYE ; Soluade, Adebowale ; Oke, David Mautin. In: Acta Universitatis Danubius. OEconomica. RePEc:dug:actaec:y:2017:i:6:p:253-266.

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2019DSGE model with financial frictions over subsets of business cycle frequencies. (2019). Palestrini, Antonio ; Giri, Federico ; Gallegati, Marco. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:152-163.

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2019What to expect when youre calibrating: Measuring the effect of calibration on the estimation of macroeconomic models. (2019). Iskrev, Nikolay. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:99:y:2019:i:c:p:54-81.

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2018Risk aversion connectedness in five European countries. (2018). cipollini, andrea ; Muzzioli, Silvia ; lo Cascio, Iolanda. In: Economic Modelling. RePEc:eee:ecmode:v:71:y:2018:i:c:p:68-79.

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2018Chinas increasing global influence: Changes in international growth linkages. (2018). Bataa, Erdenebat ; Sensier, Marianne ; Osborn, Denise R. In: Economic Modelling. RePEc:eee:ecmode:v:74:y:2018:i:c:p:194-206.

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2020The effect of observables, functional specifications, model features and shocks on identification in linearized DSGE models. (2020). Mutschler, Willi ; Ivashchenko, Sergey. In: Economic Modelling. RePEc:eee:ecmode:v:88:y:2020:i:c:p:280-292.

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2017Unconventional monetary policy and the stock market’s reaction to Federal Reserve policy actions. (2017). Tas, Bedri ; Eksi, Ozan ; Onur, Bedri Kamil. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:136-147.

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2017Modeling Latin-American stock and Forex markets volatility: Empirical application of a model with random level shifts and genuine long memory. (2017). Rodríguez, Gabriel ; Rodriguez, Gabriel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:393-420.

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2019Nonlinear dependence in cryptocurrency markets. (2019). Laurini, Márcio ; Chaim, Pedro. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:32-47.

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2018On bootstrap implementation of likelihood ratio test for a unit root. (2018). Skrobotov, Anton. In: Economics Letters. RePEc:eee:ecolet:v:171:y:2018:i:c:p:154-158.

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2018Volatility and return jumps in bitcoin. (2018). Laurini, Márcio ; Chaim, Pedro. In: Economics Letters. RePEc:eee:ecolet:v:173:y:2018:i:c:p:158-163.

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2017Forecasting cointegrated nonstationary time series with time-varying variance. (2017). Yi, Yanping ; Tu, Yundong . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:83-98.

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2017Inference and testing breaks in large dynamic panels with strong cross sectional dependence. (2017). Hidalgo, Javier ; Schafgans, Marcia . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:259-274.

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2017Fractional order statistic approximation for nonparametric conditional quantile inference. (2017). Kaplan, David ; Goldman, Matt. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:331-346.

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2017Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination. (2017). Christensen, Bent Jesper ; Varneskov, Rasmus Tangsgaard . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:218-244.

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2017Learning can generate long memory. (2017). Mavroeidis, Sophocles ; Chevillon, Guillaume. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:1-9.

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2017Nonparametric conditional quantile estimation: A locally weighted quantile kernel approach. (2017). Racine, Jeffrey ; Li, Kevin. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:1:p:72-94.

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2018A multivariate test against spurious long memory. (2018). Sibbertsen, Philipp ; Leschinski, Christian ; Busch, Marie. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:1:p:33-49.

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2018Threshold regression with endogeneity. (2018). Phillips, Peter ; PEter, ; Yu, Ping . In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:1:p:50-68.

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2018Generating univariate fractional integration within a large VAR(1). (2018). Hecq, Alain ; Chevillon, Guillaume ; Laurent, Sebastien. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:1:p:54-65.

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2018Testing for common breaks in a multiple equations system. (2018). Perron, Pierre ; Oka, Tatsushi. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:1:p:66-85.

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2018Efficient estimation with time-varying information and the New Keynesian Phillips Curve. (2018). Boldea, Otilia ; Antoine, Bertille. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:268-300.

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2018The asymptotic properties of GMM and indirect inference under second-order identification. (2018). Dovonon, Prosper ; Hall, Alastair R. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:76-111.

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2018Comparing distributions by multiple testing across quantiles or CDF values. (2018). Kaplan, David ; Goldman, Matt. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:1:p:143-166.

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2018A quantile correlated random coefficients panel data model. (2018). Hahn, Jinyong ; Graham, Bryan ; Powell, James L ; Poirier, Alexandre. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:2:p:305-335.

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2018Nonparametric regression with multiple thresholds: Estimation and inference. (2018). Chen, Jau-er ; Chiou, Yan-Yu. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:2:p:472-514.

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2019Testing for structural breaks in factor copula models. (2019). Wied, Dominik ; Stark, Florian ; Manner, Hans. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:324-345.

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2019Causal inference by quantile regression kink designs. (2019). Sasaki, Yuya ; Chiang, Harold D. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:2:p:405-433.

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2019A model-free consistent test for structural change in regression possibly with endogeneity. (2019). Hong, Yongmiao ; Fu, Zhonghao. In: Journal of Econometrics. RePEc:eee:econom:v:211:y:2019:i:1:p:206-242.

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2019Robust uniform inference for quantile treatment effects in regression discontinuity designs. (2019). Hsu, Yu-Chin ; Chiang, Harold D ; Sasaki, Yuya. In: Journal of Econometrics. RePEc:eee:econom:v:211:y:2019:i:2:p:589-618.

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2019Variable selection in panel models with breaks. (2019). Zhu, Yinchu ; Timmermann, Allan ; Smith, Simon C. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:323-344.

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2019Conditional quantile processes based on series or many regressors. (2019). Fernandez-Val, Ivan ; Chetverikov, Denis ; Chernozhukov, Victor ; Belloni, Alexandre. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:1:p:4-29.

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2019Quantile-regression-based clustering for panel data. (2019). Zhu, Zhongyi ; Wang, Huixia Judy ; Zhang, Yingying. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:1:p:54-67.

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2019Bootstrapping structural change tests. (2019). Hall, Alastair R ; Cornea-Madeira, Adriana ; Boldea, Otilia. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:2:p:359-397.

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2020Inference related to common breaks in a multivariate system with joined segmented trends with applications to global and hemispheric temperatures. (2020). Perron, Pierre ; Kim, Dukpa ; Estrada, Francisco ; Oka, Tatsushi. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:1:p:130-152.

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2019Local Whittle estimation of long memory: Standard versus bias-reducing techniques. (2019). García Enríquez, Javier ; Hualde, Javier ; Garcia-Enriquez, Javier. In: Econometrics and Statistics. RePEc:eee:ecosta:v:12:y:2019:i:c:p:66-77.

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2017Singular Spectrum Analysis for signal extraction in Stochastic Volatility models. (2017). Arteche, Josu ; Garcia-Enriquez, Javier . In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:85-98.

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2018Higher-order statistics for DSGE models. (2018). Mutschler, Willi. In: Econometrics and Statistics. RePEc:eee:ecosta:v:6:y:2018:i:c:p:44-56.

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2019Commonality in liquidity among Middle East and North Africa emerging stock markets: Does it really matter?. (2019). Ftiti, Zied ; Hadhri, Sinda. In: Economic Systems. RePEc:eee:ecosys:v:43:y:2019:i:3:s0939362518302358.

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2018Multivariate models with long memory dependence in conditional correlation and volatility. (2018). Dark, Jonathan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:162-180.

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2017Is the recent low oil price attributable to the shale revolution?. (2017). Park, Cheolbeom ; Bataa, Erdenebat. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:72-82.

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2019Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures. (2019). Gatfaoui, Hayette. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:132-152.

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2019What drives volatility in natural gas prices?. (2019). Smyth, Russell ; Hailemariam, Abebe. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:731-742.

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2017Crude oil price behaviour before and after military conflicts and geopolitical events. (2017). Pérez de Gracia, Fernando ; Monge, Manuel ; Gil-Alana, Luis. In: Energy. RePEc:eee:energy:v:120:y:2017:i:c:p:79-91.

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2018Time-varying effects of oil supply and demand shocks on Chinas macro-economy. (2018). Lin, Boqiang ; Gong, XU. In: Energy. RePEc:eee:energy:v:149:y:2018:i:c:p:424-437.

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2019A structural break approach to analysing the impact of the QE portfolio balance channel on the US stock market. (2019). Shah, Imran Hussain ; Hatfield, Richard ; Malki, Issam ; Schmidt-Fischer, Francesca. In: International Review of Financial Analysis. RePEc:eee:finana:v:64:y:2019:i:c:p:204-220.

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2019Out-of-sample equity premium prediction in the presence of structural breaks. (2019). Yin, Anwen. In: International Review of Financial Analysis. RePEc:eee:finana:v:65:y:2019:i:c:s1057521918304745.

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2019Are shocks on the returns and volatility of cryptocurrencies really persistent?. (2019). Maouchi, Youcef ; Charfeddine, Lanouar. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:423-430.

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2020The memory of stock return volatility: Asset pricing implications. (2020). Sibbertsen, Philipp ; Prokopczuk, Marcel ; Benno, Duc Binh. In: Journal of Financial Markets. RePEc:eee:finmar:v:47:y:2020:i:c:s138641811830140x.

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2017Uncertainty, systemic shocks and the global banking sector: Has the crisis modified their relationship?. (2017). Uribe, Jorge ; Chuliá, Helena ; Guillen, Montserrat ; Chulia, Helena. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:50:y:2017:i:c:p:52-68.

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2019Can structural changes in the persistence of the forward premium explain the forward premium anomaly?. (2019). Cho, Dooyeon ; Chun, Sungju. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:225-235.

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2019Quasi ex-ante inflation forecast uncertainty. (2019). Díaz, Carlos ; Charemza, Wojciech ; Makarova, Svetlana ; Diaz, Carlos. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:3:p:994-1007.

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2019Decomposing and backtesting a flexible specification for CoVaR. (2019). Paterlini, Sandra ; Caporin, Massimiliano ; Bonaccolto, Giovanni. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:108:y:2019:i:c:s0378426619302341.

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2018Downside risk and stock returns in the G7 countries: An empirical analysis of their long-run and short-run dynamics. (2018). Chen, Cathy Yi-Hsuan ; Hardle, Wolfgang Karl ; Chiang, Thomas C. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:93:y:2018:i:c:p:21-32.

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2017Fines versus prison for the issuance of bad checks: Evidence from a policy shift in Turkey. (2017). Orman, Cuneyt ; Gurdal, Mehmet ; Eksi, Ozan. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:143:y:2017:i:c:p:9-27.

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2018The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk. (2018). GUPTA, RANGAN ; Caporin, Massimiliano ; Bonaccolto, G. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:507:y:2018:i:c:p:446-469.

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More than 100 citations found, this list is not complete...

Works by Zhongjun Qu:


YearTitleTypeCited
2010Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices In: Journal of Business & Economic Statistics.
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article101
2008Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices.(2008) In: Boston University - Department of Economics - Working Papers Series.
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This paper has another version. Agregated cites: 101
paper
2011A Test Against Spurious Long Memory In: Journal of Business & Economic Statistics.
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article75
2010A Test Against Spurious Long Memory.(2010) In: Boston University - Department of Economics - Working Papers Series.
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This paper has another version. Agregated cites: 75
paper
2011A Test Against Spurious Long Memory.(2011) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 75
article
2005Estimating and testing structural changes in multivariate regressions In: Boston University - Department of Economics - Working Papers Series.
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paper193
2007Estimating and Testing Structural Changes in Multivariate Regressions.(2007) In: Econometrica.
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This paper has another version. Agregated cites: 193
article
2006A Simple Modification to Improve the Finite Sample Properties of Ng and Perron’s Unit Root Tests In: Boston University - Department of Economics - Working Papers Series.
[Citation analysis]
paper103
2007A simple modification to improve the finite sample properties of Ng and Perrons unit root tests.(2007) In: Economics Letters.
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This paper has another version. Agregated cites: 103
article
2006A Modified Information Criterion for Cointegration Tests based on a VAR Approximation In: Boston University - Department of Economics - Working Papers Series.
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paper13
2007A MODIFIED INFORMATION CRITERION FOR COINTEGRATION TESTS BASED ON A VAR APPROXIMATION.(2007) In: Econometric Theory.
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This paper has another version. Agregated cites: 13
article
2006An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts and its Implications for Stock Returns Volatility* In: Boston University - Department of Economics - Working Papers Series.
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paper5
2007An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts In: Boston University - Department of Economics - Working Papers Series.
[Citation analysis]
paper36
2008A Stochastic Volatility Model with Random Level Shifts: Theory and Applications to S&P 500 and NASDAQ Return Indices In: Boston University - Department of Economics - Working Papers Series.
[Citation analysis]
paper0
2010M Tests with a New Normalization Matrix In: Boston University - Department of Economics - Working Papers Series.
[Citation analysis]
paper1
2015M Tests with a New Normalization Matrix.(2015) In: Econometric Reviews.
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This paper has another version. Agregated cites: 1
article
2010Estimating structural changes in regression quantiles In: Boston University - Department of Economics - Working Papers Series.
[Citation analysis]
paper35
2011Estimating structural changes in regression quantiles.(2011) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 35
article
2010Identification and Frequency Domain QML Estimation of Linearized DSGE Models In: Boston University - Department of Economics - Working Papers Series.
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paper4
2011Inference and Speci?cation Testing in DSGE Models with Possible Weak Identification In: Boston University - Department of Economics - Working Papers Series.
[Citation analysis]
paper2
2011Nonparametric Estimation and Inference on Conditional Quantile Processes In: Boston University - Department of Economics - Working Papers Series.
[Citation analysis]
paper21
2015Nonparametric estimation and inference on conditional quantile processes.(2015) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 21
article
2011Frequency Domain Analysis of Medium Scale DSGE Models with Application to Smets and Wouters (2007) In: Boston University - Department of Economics - Working Papers Series.
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paper8
2015Global Identification in DSGE Models Allowing for Indeterminacy In: Boston University - Department of Economics - Working Papers Series.
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paper6
2017Global Identification in DSGE Models Allowing for Indeterminacy.(2017) In: Review of Economic Studies.
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This paper has another version. Agregated cites: 6
article
2015A Composite Likelihood Framework for Analyzing Singular DSGE Models In: Boston University - Department of Economics - Working Papers Series.
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paper3
2018A Composite Likelihood Framework for Analyzing Singular DSGE Models.(2018) In: The Review of Economics and Statistics.
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This paper has another version. Agregated cites: 3
article
2015Likelihood Ratio Based Tests for Markov Regime Switching In: Boston University - Department of Economics - Working Papers Series.
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paper0
2015Uniform Inference on Quantile Effects under Sharp Regression Discontinuity Designs In: Boston University - Department of Economics - Working Papers Series.
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paper1
2019Uniform Inference on Quantile Effects under Sharp Regression Discontinuity Designs.(2019) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 1
article
2012Identification and frequency domain quasi‐maximum likelihood estimation of linearized dynamic stochastic general equilibrium models In: Quantitative Economics.
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article29
2007Searching for cointegration in a dynamic system In: Econometrics Journal.
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article12
2006Estimating restricted structural change models In: Journal of Econometrics.
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article57
2008Testing for structural change in regression quantiles In: Journal of Econometrics.
[Full Text][Citation analysis]
article43
2013A stochastic volatility model with random level shifts and its applications to S&P 500 and NASDAQ return indices In: Econometrics Journal.
[Full Text][Citation analysis]
article20
2014Inference in dynamic stochastic general equilibrium models with possible weak identification In: Quantitative Economics.
[Full Text][Citation analysis]
article14

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