Zhongjun Qu : Citation Profile


Are you Zhongjun Qu?

Boston University

11

H index

11

i10 index

503

Citations

RESEARCH PRODUCTION:

15

Articles

18

Papers

RESEARCH ACTIVITY:

   10 years (2005 - 2015). See details.
   Cites by year: 50
   Journals where Zhongjun Qu has often published
   Relations with other researchers
   Recent citing documents: 82.    Total self citations: 15 (2.9 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pqu46
   Updated: 2017-08-19    RAS profile: 2017-08-06    
   Missing citations? Add them    Incorrect content? Let us know

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 (59)

Rodríguez, Gabriel (21)

Taylor, Robert (13)

Yamamoto, Yohei (12)

Minford, A. Patrick (10)

Boldea, Otilia (10)

Kruse, Robinson (9)

Wolters, Maik (9)

Kejriwal, Mohitosh (8)

Leschinski, Christian (8)

Hall, Alastair (7)

Cites to:

Perron, Pierre (22)

Bai, Jushan (19)

Granger, Clive (13)

Chernozhukov, Victor (12)

Schorfheide, Frank (10)

Andrews, Donald (9)

Diebold, Francis (8)

Phillips, Peter (8)

Hansen, Lars (7)

Ploberger, Werner (7)

Engle, Robert (7)

Main data


Where Zhongjun Qu has published?


Journals with more than one article published# docs
Journal of Econometrics4
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 (2017 and 2016)


YearTitle of citing document
2016Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting. (2016). Leschinski, Christian ; Kruse, Robinson ; Will, Michael . In: CREATES Research Papers. RePEc:aah:create:2016-17.

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

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2017Nonparametric Regressions with Thresholds: Identification and Estimations. (2017). Chiou, Yan-Yu ; Chen, Jau-Er . In: Papers. RePEc:arx:papers:1705.09418.

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

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2016Testing cointegration in quantile regressions with an application to the term structure of interest rates. (2016). Nina, Kuriyama . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:20:y:2016:i:2:p:107-121:n:2.

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2016A New Approach to Volatility Modeling : The High-Dimensional Markov Model. (2016). Bauwens, Luc ; Augustyniak, Maciej ; Dufays, Arnaud . In: CORE Discussion Papers. RePEc:cor:louvco:2016042.

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2016Spectral approach to parameter-free unit root testing. (2016). Bailey, Natalia ; Giraitis, Liudas . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:4-16.

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2017DSGE pileups. (2017). Morris, Stephen D. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:74:y:2017:i:c:p:56-86.

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2017A Monte Carlo procedure for checking identification in DSGE models. (2017). Minford, A. Patrick ; Phuong, VO ; Wickens, Michael ; Meenagh, David . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:76:y:2017:i:c:p:202-210.

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2016On the risk comovements between the crude oil market and U.S. dollar exchange rates. (2016). Keddad, Benjamin ; DE TRUCHIS, Gilles. In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pa:p:206-215.

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2016Economic growth, volatility, and cross-country spillovers: New evidence for the G7 countries. (2016). Badinger, Harald ; Antonakakis, Nikolaos. In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:352-365.

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2016The New Keynesian Phillips Curve in multiple quantiles and the asymmetry of monetary policy. (2016). Lee, Dong Jin ; Yoon, Jai Hyung . In: Economic Modelling. RePEc:eee:ecmode:v:55:y:2016:i:c:p:102-114.

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2016A high-frequency analysis of the interactions between REIT return and volatility. (2016). Zhou, Jian. In: Economic Modelling. RePEc:eee:ecmode:v:56:y:2016:i:c:p:102-108.

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2016Fractional integration in daily stock market indices at Jordans Amman stock exchange. (2016). Al-Shboul, Mohammad ; Anwar, Sajid . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:37:y:2016:i:c:p:16-37.

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2017Unconventional monetary policy and the stock market’s reaction to Federal Reserve policy actions. (2017). 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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2016VARMA representation of DSGE models. (2016). Morris, Stephen D. In: Economics Letters. RePEc:eee:ecolet:v:138:y:2016:i:c:p:30-33.

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2016Improving the length of confidence sets for the date of a break in level and trend when the order of integration is unknown. (2016). Harvey, David I ; Leybourne, Stephen J. In: Economics Letters. RePEc:eee:ecolet:v:145:y:2016:i:c:p:239-245.

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2017An analytical approach to new Keynesian models under the fiscal theory. (2017). Tan, Fei . In: Economics Letters. RePEc:eee:ecolet:v:156:y:2017:i:c:p:133-137.

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2016Estimation of heterogeneous panels with structural breaks. (2016). Feng, Qu ; Baltagi, Badi ; Kao, Chihwa . In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:176-195.

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2016Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso. (2016). Su, Liangjun ; Qian, Junhui . In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:86-109.

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2016Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point. (2016). Taylor, Robert ; Robert, A M ; Leybourne, Stephen J ; Harris, David . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:2:p:451-467.

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2016The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series. (2016). Whang, Yoon-Jae ; Oka, Tatsushi ; LINTON, OLIVER. In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:1:p:251-270.

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2017Impulse response matching estimators for DSGE models. (2017). Kilian, Lutz ; Guerron, Pablo ; Inoue, Atsushi ; Guerron-Quintana, Pablo . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:144-155.

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

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2017Singular Spectrum Analysis for signal extraction in Stochastic Volatility models. (2017). García Enríquez, Javier ; 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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2016On time-varying predictability of emerging stock market returns. (2016). Auer, Benjamin R. In: Emerging Markets Review. RePEc:eee:ememar:v:27:y:2016:i:c:p:1-13.

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2016Smooth volatility shifts and spillovers in U.S. crude oil and corn futures markets. (2016). Enders, Walter ; Brooks, Robert ; Teterin, Pavel . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:22-36.

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2016Linking the gas and oil markets with the stock market: Investigating the U.S. relationship. (2016). Gatfaoui, Hayette. In: Energy Economics. RePEc:eee:eneeco:v:53:y:2016:i:c:p:5-16.

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2016Changes in the global oil market. (2016). Osborn, Denise ; Bataa, Erdenebat ; Izzeldin, Marwan . In: Energy Economics. RePEc:eee:eneeco:v:56:y:2016:i:c:p:161-176.

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2016How does coal price drive up inflation? Reexamining the relationship between coal price and general price level in China. (2016). Zheng, Xinye ; Chen, Zhan-Ming ; Guo, Jin . In: Energy Economics. RePEc:eee:eneeco:v:57:y:2016:i:c:p:265-276.

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2016Co-movement of major energy, agricultural, and food commodity price returns: A time-series assessment. (2016). Hernandez, Manuel ; De Pace, Pierangelo ; DePace, Pierangelo ; de Nicola, Francesca . In: Energy Economics. RePEc:eee:eneeco:v:57:y:2016:i:c:p:28-41.

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2016How did the US economy react to shale gas production revolution? An advanced time series approach. (2016). koçak, emrah ; Bilgili, Faik ; Koak, Emrah ; Sualp, Nedim M ; Bulut, Umit . In: Energy. RePEc:eee:energy:v:116:y:2016:i:p1:p:963-977.

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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 A. In: Energy. RePEc:eee:energy:v:120:y:2017:i:c:p:79-91.

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2016Volatility spillovers between oil prices and the stock market under structural breaks. (2016). Ewing, Bradley ; Malik, Farooq . In: Global Finance Journal. RePEc:eee:glofin:v:29:y:2016:i:c:p:12-23.

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2016Multistep forecasting in the presence of location shifts. (2016). Chevillon, Guillaume. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:1:p:121-137.

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2016The time-varying leading properties of the high yield spread in the United States. (2016). De Pace, Pierangelo ; DePace, Pierangelo ; Weber, Kyle D. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:1:p:203-230.

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2016The informative role of trading volume in an expanding spot and futures market. (2016). Bhaumik, Sumon ; Karanasos, M ; Kartsaklas, A. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:35:y:2016:i:c:p:24-40.

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2016Are international securitized property markets converging or diverging?. (2016). Kwan, KA ; Chen, Jia . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:446:y:2016:i:c:p:1-10.

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2016Financial crises and estimation bias in international bond markets. (2016). Juneja, Januj A. In: Research in International Business and Finance. RePEc:eee:riibaf:v:38:y:2016:i:c:p:593-607.

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2016On Trend Breaks and Initial Condition in Unit Root Testing. (2016). Skrobotov, Anton. In: Working Papers. RePEc:gai:wpaper:0097.

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2016Unit Root Tests: The Role of the Univariate Models Implied by Multivariate Time Series. (2016). Lubian, Diego ; Cappuccio, Nunzio . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:2:p:21-:d:67747.

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2016Unit Root Tests: The Role of the Univariate Models Implied by Multivariate Time Series. (2016). Cappuccio, Nunzio . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:2:p:21:d:67747.

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2016Oil Price and Economic Growth: A Long Story?. (2016). Montañés, Antonio ; Gómez-Loscos, Ana ; Gadea, María ; Montaes, Antonio ; Gomez-Loscos, Ana . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:4:p:41-:d:81585.

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2017Testing for a Structural Break in a Spatial Panel Model. (2017). Sengupta, Aparna . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:12-:d:92290.

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2017Fractional Unit Root Tests Allowing for a Structural Change in Trend under Both the Null and Alternative Hypotheses. (2017). Perron, Pierre ; Chang, Seong Yeon . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:5-:d:87211.

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2016Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting. (2016). Leschinski, Christian ; Kruse, Robinson ; Will, Michael . In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-571.

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2017Long Memory, Breaks, and Trends: On the Sources of Persistence in Inflation Rates. (2017). Leschinski, Christian ; Rinke, Saskia ; Busch, Marie . In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-584.

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2017Origins of Spurious Long Memory. (2017). Leschinski, Christian ; Sibbertsen, Philipp . In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-595.

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2016Impulse Response Matching Estimators for DSGE Models. (2016). Kilian, Lutz ; Guerron, Pablo ; Guerron-Quintana, Pablo ; Inoue, Atsushi . In: Discussion paper series. RePEc:hit:hiasdp:hias-e-27.

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2016Asymptotic Inference for Common Factor Models in the Presence of Jumps. (2016). Yamamoto, Yohei. In: Discussion paper series. RePEc:hit:hiasdp:hias-e-4.

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2016Policy Rule Legislation in Practice. (2016). Papell, David H. In: Book Chapters. RePEc:hoo:bookch:11-2.

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2016Downside risk and stock returns: An empirical analysis of the long-run and short-run dynamics from the G-7 Countries. (2016). Härdle, Wolfgang ; Chen, Cathy Yi-Hsuan ; Hardle, Wolfgang Karl ; Chiang, Thomas C. In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2016-001.

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2016Volatility of stock market and exchange rate returns in Peru: Long memory or short memory with level shifts?. (2016). Arambur, Andrs Herrera ; Rodrguez, Gabriel . In: International Journal of Monetary Economics and Finance. RePEc:ids:ijmefi:v:9:y:2016:i:1:p:45-66.

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2016Conditional quantile processes based on series or many regressors. (2016). Fernandez-Val, Ivan ; Chernozhukov, Victor ; Chetverikov, Denis ; Belloni, Alexandre . In: CeMMAP working papers. RePEc:ifs:cemmap:46/16.

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2016Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems and the Co-persistence Analysis of Stock Market Realized Volatilities. (2016). DE TRUCHIS, Gilles ; ALOY, Marcel. In: Computational Economics. RePEc:kap:compec:v:48:y:2016:i:1:d:10.1007_s10614-015-9531-6.

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2016Stationarity and Long Range Dependence of Carbon Dioxide Emissions: Evidence for Disaggregated Data. (2016). Pérez de Gracia, Fernando ; Gil-Alana, Luis ; Barros, Carlos Pestana . In: Environmental & Resource Economics. RePEc:kap:enreec:v:63:y:2016:i:1:d:10.1007_s10640-014-9835-3.

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2017Resilience, Weather and Dynamic Adjustments in Agroecosystems: The Case of Wheat Yield in England. (2017). Chavas, Jean-Paul ; Falco, Salvatore. In: Environmental & Resource Economics. RePEc:kap:enreec:v:67:y:2017:i:2:d:10.1007_s10640-015-9987-9.

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2016Testing the Persistence of the Forward Premium: Structural Changes or Misspecification?. (2016). Ho, Tsung-Wu ; Mo, Wan-Shin . In: Open Economies Review. RePEc:kap:openec:v:27:y:2016:i:1:d:10.1007_s11079-015-9365-9.

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2016Long-Run Comovements in East Asian Stock Market Volatility. (2016). Keddad, Benjamin ; DE TRUCHIS, Gilles. In: Open Economies Review. RePEc:kap:openec:v:27:y:2016:i:5:d:10.1007_s11079-016-9401-4.

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2016A new approach to volatility modeling: the High-Dimensional Markov model. (2016). Bauwens, Luc ; Dufays, Arnaud ; Augustyniak, Maciej . In: Cahiers de recherche. RePEc:lvl:crrecr:1609.

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2016Chinas Increasing Global Influence: Changes in International Growth Spillovers. (2016). Bataa, Erdenebat ; Sensier, Marianne ; Osborn, Denise R. In: Centre for Growth and Business Cycle Research Discussion Paper Series. RePEc:man:cgbcrp:221.

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2016Solution and Estimation Methods for DSGE Models. (2016). Schorfheide, Frank ; Rubio-Ramirez, Juan F ; Fernandez-Villaverde, Jesus. In: NBER Working Papers. RePEc:nbr:nberwo:21862.

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2016Stock Market Contagion in Central and Eastern Europe: Unexpected Volatility and Extreme Co-exceedance. (2016). Lyócsa, Štefan ; Horvath, Roman ; Baumohl, Eduard. In: Working Papers. RePEc:ost:wpaper:357.

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2016 Modelling the Volatility of Commodities Prices using a Stochastic Volatility Model with Random Level Shifts [Modelando la volatilidad de los precios de los commodities utilizando un modelo de volatil. (2016). Rodríguez, Gabriel ; Alvaro, Dennis ; Guillen, Angel . In: Documentos de Trabajo / Working Papers. RePEc:pcp:pucwps:wp00414.

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2016 An Empirical Application of a Random Level Shifts Model with Time-Varying Probability and Mean Reversion to the Volatility of Latin-American Forex Markets Returns [Una aplicación empírica de un mod. (2016). Rodríguez, Gabriel ; Gonzales, Jose Carlos . In: Documentos de Trabajo / Working Papers. RePEc:pcp:pucwps:wp00415.

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2016 Modeling Latin-American Stock and Forex Markets Volatility: Empirical Application of a Model with Random Level Shifts and Genuine Long Memory [Modelando la volatilidad de los mercados bursátiles y c. (2016). Rodríguez, Gabriel. In: Documentos de Trabajo / Working Papers. RePEc:pcp:pucwps:wp00416.

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2016Wage Led Aggregate Demand in the United Kingdom. (2016). Mendieta-Muñoz, Ivan ; Calvert Jump, Robert ; Mendieta-Muoz, Ivan . In: MPRA Paper. RePEc:pra:mprapa:69630.

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2016Wage led aggregate demand in the United Kingdom. (2016). Mendieta-Muñoz, Ivan ; Calvert Jump, Robert ; Mendieta-Muoz, Ivan . In: Economics Discussion Papers. RePEc:ris:kngedp:2016_004.

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2016Efficient Inference with Time-Varying Information and the New Keynesian Phillips Curve. (2016). Boldea, Otilia ; Antoine, Bertille. In: Discussion Papers. RePEc:sfu:sfudps:dp15-04.

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2017Composite change point estimation for bent line quantile regression. (2017). Zhang, Liwen ; Zhu, Zhongyi ; Wang, Huixia Judy . In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:69:y:2017:i:1:d:10.1007_s10463-015-0538-5.

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2017Modelling the volatility of commodities prices using a stochastic volatility model with random level shifts. (2017). Rodríguez, Gabriel ; Guillen, Angel ; Alvaro, Dennis . In: Review of World Economics (Weltwirtschaftliches Archiv). RePEc:spr:weltar:v:153:y:2017:i:1:d:10.1007_s10290-016-0271-z.

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2016Structural Break Tests Robust to Regression Misspecification. (2016). Boldea, Otilia ; Morshed, Alaa Abi ; Andreou, E. In: Discussion Paper. RePEc:tiu:tiucen:3b21f21c-2cef-49d7-bb9b-ad81f5ee71f2.

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2016The Efficiency of Monetary Policy when Guiding Inflation Expectations. (2016). Bauer, Christian ; Weber, Sebastian . In: Research Papers in Economics. RePEc:trr:wpaper:201614.

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2016Comparing distributions by multiple testing across quantiles. (2016). Kaplan, David ; Goldman, Matt . In: Working Papers. RePEc:umc:wpaper:1619.

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2016Nonparametric inference on conditional quantile differences and linear combinations, using L-statistics. (2016). Kaplan, David ; Goldman, Matt . In: Working Papers. RePEc:umc:wpaper:1620.

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2016The Finance Growth Link: Comparative Analysis of Two Eastern African Countries. (2016). Makina, Daniel ; Beyene, Fanta Ashenafi . In: Comparative Economic Research. RePEc:vrs:coecre:v:19:y:2016:i:3:p:147-167:n:8.

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2016A panel cointegration rank test with structural breaks and cross-sectional dependence. (2016). Karaman Örsal, Deniz ; Deniz Dilan Karaman , ; Arsova, Antonia . In: Annual Conference 2016 (Augsburg): Demographic Change. RePEc:zbw:vfsc16:145822.

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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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article78
2008Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices.(2008) In: Boston University - Department of Economics - Working Papers Series.
[Citation analysis]
This paper has another version. Agregated cites: 78
paper
2011A Test Against Spurious Long Memory In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article49
2010A Test Against Spurious Long Memory.(2010) In: Boston University - Department of Economics - Working Papers Series.
[Citation analysis]
This paper has another version. Agregated cites: 49
paper
2011A Test Against Spurious Long Memory.(2011) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 49
article
2005Estimating and testing structural changes in multivariate regressions In: Boston University - Department of Economics - Working Papers Series.
[Citation analysis]
paper124
2007Estimating and Testing Structural Changes in Multivariate Regressions.(2007) In: Econometrica.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 124
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]
paper69
2007A simple modification to improve the finite sample properties of Ng and Perrons unit root tests.(2007) In: Economics Letters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 69
article
2006A Modified Information Criterion for Cointegration Tests based on a VAR Approximation In: Boston University - Department of Economics - Working Papers Series.
[Citation analysis]
paper11
2007A MODIFIED INFORMATION CRITERION FOR COINTEGRATION TESTS BASED ON A VAR APPROXIMATION.(2007) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11
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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.
[Citation analysis]
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]
paper25
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.
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2010M Tests with a New Normalization Matrix In: Boston University - Department of Economics - Working Papers Series.
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paper1
2015M Tests with a New Normalization Matrix.(2015) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
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