Yangru Wu : Citation Profile


Are you Yangru Wu?

Rutgers University-Newark

17

H index

25

i10 index

1190

Citations

RESEARCH PRODUCTION:

43

Articles

21

Papers

RESEARCH ACTIVITY:

   24 years (1991 - 2015). See details.
   Cites by year: 49
   Journals where Yangru Wu has often published
   Relations with other researchers
   Recent citing documents: 120.    Total self citations: 22 (1.82 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pwu24
   Updated: 2018-06-16    RAS profile: 2016-02-18    
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Relations with other researchers


Works with:

Tsai, Hui-Ju (3)

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

Is cited by:

Phillips, Peter (26)

Gil-Alana, Luis (23)

GUPTA, RANGAN (21)

Yu, Jun (20)

Narayan, Paresh (17)

Shi, Shuping (14)

Österholm, Pär (12)

Mark, Nelson (12)

Kim, Hyeongwoo (12)

Smyth, Russell (11)

Chang, Tsangyao (10)

Cites to:

Campbell, John (23)

Perron, Pierre (18)

Summers, Lawrence (17)

Hansen, Gary (16)

French, Kenneth (15)

Frankel, Jeffrey (14)

Harvey, Campbell (13)

Fama, Eugene (13)

Rose, Andrew (12)

Cooley, Thomas (12)

Balvers, Ronald (11)

Main data


Where Yangru Wu has published?


Journals with more than one article published# docs
Journal of Empirical Finance4
Journal of Banking & Finance4
Journal of Money, Credit and Banking3
Journal of International Money and Finance3
Review of Quantitative Finance and Accounting3
Review of World Economics (Weltwirtschaftliches Archiv)2
Economic Inquiry2

Working Papers Series with more than one paper published# docs
Working Papers / Hong Kong Institute for Monetary Research4

Recent works citing Yangru Wu (2018 and 2017)


YearTitle of citing document
2017London Calling: Nonlinear Mean Reversion across National Stock Markets. (2017). Kim, Hyeongwoo. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2017-05.

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2018London Calling: Nonlinear Mean Reversion across National Stock Markets. (2018). Kim, Hyeongwoo. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2018-01.

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2018BUBBLES IN THE PRICES OF HOUSING? EVIDENCE TO BRAZIL?S ECONOMY. (2018). Silva, Marcelo ; da Nobrega, Cassio ; Paes, Nelson Leito . In: Anais do XLIV Encontro Nacional de Economia [Proceedings of the 44th Brazilian Economics Meeting]. RePEc:anp:en2016:118.

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2017Wax and wane of the cross-sectional momentum and contrarian effects: Evidence from the Chinese stock markets. (2017). , . In: Papers. RePEc:arx:papers:1707.05552.

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2017Ether: Bitcoins competitor or ally?. (2017). Selmi, Refk ; bouoiyour, jamal. In: Papers. RePEc:arx:papers:1707.07977.

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2018Housing prices and mortgage credit in Luxembourg. (2018). Filipe, Sara Ferreira. In: BCL working papers. RePEc:bcl:bclwop:bclwp117.

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2017The Maple Bubble: A History of Migration among Canadian Provinces. (2017). Sanin Restrepo, Sebastian ; Gomez-Gonzalez, Jose ; Sanin-Restrepo, Sebastian . In: Borradores de Economia. RePEc:bdr:borrec:992.

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2017EXPLOITING CLOSED-END FUND DISCOUNTS: A SYSTEMATIC EXAMINATION OF ALPHAS. (2017). Patro, Dilip ; Wu, Yangru ; Piccotti, Louis R. In: Journal of Financial Research. RePEc:bla:jfnres:v:40:y:2017:i:2:p:223-248.

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2017Local explosion modelling by non-causal process. (2017). Zakoian, Jean-Michel ; Gourieroux, Christian. In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:79:y:2017:i:3:p:737-756.

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2017Consistent Monitoring of Cointegrating Relationships: The US Housing Market and the Subprime Crisis. (2017). Wied, Dominik ; Wagner, Martin. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:6:p:960-980.

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2017Did bubbles migrate from the stock to the housing market in China between 2005 and 2010?. (2017). girardin, eric ; Deng, Yongheng ; Shi, Shuping ; Joyeux, Roselyne. In: Pacific Economic Review. RePEc:bla:pacecr:v:22:y:2017:i:3:p:276-292.

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2017Asset Price Bubbles: Existence, Persistence and Migration. (2017). Ojeda-Joya, Jair ; Gomez-Gonzalez, Jose ; Torres, Jhon E ; Franco, Juan P. In: South African Journal of Economics. RePEc:bla:sajeco:v:85:y:2017:i:1:p:52-67.

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2017Markups and fiscal policy: analytical framework and an empirical investigation. (2017). Christou, Georgios ; Chronis, Panagiotis . In: Working Papers. RePEc:bog:wpaper:221.

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2017The winner-loser effect in the Tunisian stock market: A multidimensional risk-based explanation. (2017). Boussaidi, Ramzi . In: Borsa Istanbul Review. RePEc:bor:bistre:v:17:y:2017:i:3:p:178-189.

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2017Fool’s Gold: Currency Devaluations and Stock Prices of Multinational Companies Operating in Venezuela. (2017). Santos, Miguel ; Molina Manzano, Carlos ; Bahar, Dany. In: CID Working Papers. RePEc:cid:wpfacu:83a.

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2017Weak s- Convergence: Theory and Applications. (2017). Sul, Donggyu ; Phillips, Peter ; PEter, ; Kong, Jianning . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2072.

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2018Monetary Policy and Asset Price Bubbles. (2018). Labondance, Fabien ; Hubert, Paul ; Blot, Christophe. In: EconomiX Working Papers. RePEc:drm:wpaper:2018-5.

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2017Currency evaluation using a big mac index for Thailand – lessons for Vietnam. (2017). Vo, Duc. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00201.

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2017Oil and stock markets before and after financial crises : a local Gaussian correlation approach. (2017). Panagiotidis, Theodore ; Bampinas, Georgios. In: Bank of Estonia Working Papers. RePEc:eea:boewps:wp2016-11.

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2018Fundamentals and the volatility of real estate prices in China: A sequential modelling strategy. (2018). Deng, Yongheng ; Joyeux, Roselyne ; Girardin, Eric. In: China Economic Review. RePEc:eee:chieco:v:48:y:2018:i:c:p:205-222.

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2017Are there bubbles in exchange rates? Some new evidence from G10 and emerging market economies. (2017). Oxley, Les ; Hu, Yang. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:419-442.

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2017Speculative bubbles or market fundamentals? An investigation of US regional housing markets. (2017). Shi, Shuping. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:101-111.

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2017Do bubbles have an explosive signature in markov switching models?. (2017). Fraser, Iain ; Balcombe, Kelvin. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:81-100.

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2018Testing for bubbles in the art markets: An empirical investigation. (2018). Assaf, Ata. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:340-355.

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2018Explosiveness in G11 currencies. (2018). Steenkamp, Daan. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:388-408.

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2018Does investor attention matter? The attention-return relationships in FX markets. (2018). Han, Liyan ; Yin, Libo ; Xu, Yang. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:644-660.

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2018Profitability of reversal strategies: A modified version of the Carhart model in China. (2018). Zhang, Wei ; Lei, Xuan ; Xiong, Xiong ; Wang, Xingchun. In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:26-37.

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2018On the persistence of the forward premium in the joint presence of nonlinearity, asymmetry, and structural changes. (2018). Cho, Dooyeon. In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:310-319.

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2017A Bayesian approach to excess volatility, short-term underreaction and long-term overreaction during financial crises. (2017). Wong, Wing-Keung ; McAleer, Michael ; Zhu, Lixing ; Guo, XU. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:346-358.

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2018Size matters everywhere: Decomposing the small country and small industry premia. (2018). Umutlu, Mehmet ; Zaremba, Adam. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:43:y:2018:i:c:p:1-18.

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2018London calling: Nonlinear mean reversion across national stock markets. (2018). Kim, Hyeongwoo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:265-277.

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2018Limit theory for mildly integrated process with intercept. (2018). Fei, Yijie. In: Economics Letters. RePEc:eee:ecolet:v:163:y:2018:i:c:p:98-101.

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2017Inference in continuous systems with mildly explosive regressors. (2017). Yu, Jun ; Phillips, Peter ; Chen, YE ; PEter, ; JunYu, . In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:400-416.

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2017Identifying bubbles in Latin American equity markets: Phillips-Perron-based tests and linkages. (2017). Escobari, Diego ; Mellado, Cristhian ; Garcia, Sergio . In: Emerging Markets Review. RePEc:eee:ememar:v:33:y:2017:i:c:p:90-101.

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2017Improving the accuracy of asset price bubble start and end date estimators. (2017). Sollis, Robert ; Harvey, David I ; Leybourne, Stephen J. In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:121-138.

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2017Foreign exchange predictability and the carry trade: A decomposition approach. (2017). Liu, Xiaochun ; Gospodinov, Nikolay ; Anatolyev, Stanislav ; Jamali, Ibrahim . In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:199-211.

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2017Estimating the speed of adjustment to target levels: The case of energy prices. (2017). Narayan, Seema. In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:419-427.

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2018Identifying price bubble periods in the energy sector. (2018). Escobari, Diego ; Sharma, Shahil. In: Energy Economics. RePEc:eee:eneeco:v:69:y:2018:i:c:p:418-429.

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2018Date stamping historical periods of oil price explosivity: 1876–2014. (2018). GUPTA, RANGAN ; Katzke, Nico ; Caspi, Itamar . In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:582-587.

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2017When Will Occur the Crude Oil Bubbles?. (2017). Su, Chi-Wei ; Lobon, Oana-Ramona ; Chang, Hsu-Ling ; Li, Zheng-Zheng . In: Energy Policy. RePEc:eee:enepol:v:102:y:2017:i:c:p:1-6.

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2017Multiple bubbles in the European Union Emission Trading Scheme. (2017). Creti, Anna ; Joets, Marc. In: Energy Policy. RePEc:eee:enepol:v:107:y:2017:i:c:p:119-130.

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2018Will the energy price bubble burst?. (2018). Lee, Chien-Chiang ; Liu, Tie-Ying. In: Energy. RePEc:eee:energy:v:150:y:2018:i:c:p:276-288.

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2017Are investors consistent in their trading strategies? An examination of individual investor-level data. (2017). Duxbury, Darren ; Yao, Songyao . In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:77-87.

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2018Paper profits or real money? Trading costs and stock market anomalies in country ETFs. (2018). Zaremba, Adam ; Andreu, Laura. In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:181-192.

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2018Bank dividends, agency costs and shareholder and creditor rights. (2018). Strobel, Frank ; Wardhana, L ; Meslier, C ; Lepetit, L. In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:93-111.

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2017Performance persistence of government bond factor premia. (2017). Zaremba, Adam. In: Finance Research Letters. RePEc:eee:finlet:v:22:y:2017:i:c:p:182-189.

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2017Dark side of investment in employee education in privately-held companies. (2017). Li, Changhong ; Wu, Zhenyu. In: Finance Research Letters. RePEc:eee:finlet:v:22:y:2017:i:c:p:190-196.

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2017Do cointegrated commodities bubble together? the case of hog, corn, and soybean. (2017). Bagnarosa, Guillaume ; Dowling, Michael ; Alexakis, Christos . In: Finance Research Letters. RePEc:eee:finlet:v:23:y:2017:i:c:p:96-102.

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2017Time varying contagion in EMU government bond spreads. (2017). Leschinski, Christian ; Bertram, Philip . In: Journal of Financial Stability. RePEc:eee:finsta:v:29:y:2017:i:c:p:72-91.

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2017Emerging markets: Is the trend still your friend?. (2017). Conover, Mitchell C ; Szakmary, Andrew C ; Johnson, Robert R ; Jensen, Gerald R. In: Global Finance Journal. RePEc:eee:glofin:v:32:y:2017:i:c:p:128-148.

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2017Can monetary policy cause the uncovered interest parity puzzle?. (2017). Park, Cheolbeom. In: Japan and the World Economy. RePEc:eee:japwor:v:41:y:2017:i:c:p:34-44.

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2018Expected Shortfall, spectral risk measures, and the aggravating effect of background risk, or: risk vulnerability and the problem of subadditivity. (2018). Brandtner, Mario. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:89:y:2018:i:c:p:138-149.

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2018Government affiliation, real earnings management, and firm performance: The case of privately held firms. (2018). Ding, Rong ; Wu, Zhenyu ; Li, Jialong . In: Journal of Business Research. RePEc:eee:jbrese:v:83:y:2018:i:c:p:138-150.

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2017.

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2018Conditioning carry trades: Less risk, more return. (2018). Mulder, Arjen ; Tims, Ben . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:85:y:2018:i:c:p:1-19.

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2017Bubbles in the Australian housing market. (2017). Baur, Dirk G ; Heaney, Richard. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:44:y:2017:i:c:p:113-126.

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2017Momentum, idiosyncratic volatility and market dynamics: Evidence from China. (2017). Nartea, Gilbert ; Cheema, Muhammad. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:46:y:2017:i:pa:p:109-123.

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2017Exchange rate dynamics and stock prices in small open economies: Evidence from Asia-Pacific countries. (2017). Yang, Sheng-Ping . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:46:y:2017:i:pb:p:337-354.

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2017Wax and wane of the cross-sectional momentum and contrarian effects: Evidence from the Chinese stock markets. (2017). Shi, Huai-Long ; Zhou, Wei-Xing. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:486:y:2017:i:c:p:397-407.

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2017What is new about covered interest parity condition in the European Union? Evidence from fractal cross-correlation regressions. (2017). Krištoufek, Ladislav ; Ferreira, Paulo ; Kristoufek, Ladislav . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:486:y:2017:i:c:p:554-566.

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2017Explosive rents: The real estate market dynamics in exuberance. (2017). Xiao, Keli ; Fabozzi, Frank J. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:66:y:2017:i:c:p:100-107.

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2017The effect of shareholder activism on bondholders and stockholders. (2017). Ngo, Thanh ; Susnjara, Jurica ; Jory, Surendranath. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:66:y:2017:i:c:p:328-344.

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2017The effect of urbanization, energy consumption, and foreign direct investment on the carbon dioxide emission in the SSEA (South and Southeast Asian) region. (2017). Behera, Smruti Ranjan ; Dash, Devi Prasad. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:70:y:2017:i:c:p:96-106.

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2017Time-varying return predictability in South Asian equity markets. (2017). Lee, Doo Won ; Lutfur, MD ; Shamsuddin, Abul. In: International Review of Economics & Finance. RePEc:eee:reveco:v:48:y:2017:i:c:p:179-200.

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2017Measuring uncertainty in the stock market. (2017). Uribe, Jorge ; Chuliá, Helena ; Chulia, Helena ; Guillen, Montserrat. In: International Review of Economics & Finance. RePEc:eee:reveco:v:48:y:2017:i:c:p:18-33.

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2017Conditional asset pricing in international equity markets. (2017). Huynh, Thanh D. In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:168-189.

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2017Momentum returns, market states, and market dynamics: Is China different?. (2017). Nartea, Gilbert ; Cheema, Muhammad. In: International Review of Economics & Finance. RePEc:eee:reveco:v:50:y:2017:i:c:p:85-97.

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2017Long memory or structural breaks: Some evidence for African stock markets. (2017). Ngene, Geoffrey ; Darrat, Ali F ; Tah, Kenneth A. In: Review of Financial Economics. RePEc:eee:revfin:v:34:y:2017:i:c:p:61-73.

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2017New evidence on stock market reaction to dividend announcements in India. (2017). Kumar, Satish. In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pa:p:327-337.

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2017Bayesian Analysis of Bubbles in Asset Prices. (2017). Yu, Jun ; JunYu, ; Fulop, Andras. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:4:p:47-:d:115992.

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2017Ether: Bitcoins competitor or ally?. (2017). Selmi, Refk ; bouoiyour, jamal. In: Working Papers. RePEc:hal:wpaper:hal-01567277.

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2018Brexit and CDS spillovers across UK and Europe. (2018). Selmi, Refk ; bouoiyour, jamal. In: Working Papers. RePEc:hal:wpaper:hal-01736525.

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2017Strong and Weak Price Momentum Components: Evidence from 10 Arabic Market Indices. (2017). Gharaibeh, Omar . In: International Journal of Academic Research in Accounting, Finance and Management Sciences. RePEc:hur:ijaraf:v:7:y:2017:i:1:p:151-161.

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2017Long Memory in Turkish Unemployment Rates. (2017). tansel, aysıt ; Gil-Alana, Luis ; Ozdemir, Zeynel Abidin. In: IZA Discussion Papers. RePEc:iza:izadps:dp11053.

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2017Determinants of Housing Prices and Bubble Detection: Evidence from Seven Advanced Economies. (2017). Vogiazas, Sofoklis ; Alexiou, Constantinos. In: Atlantic Economic Journal. RePEc:kap:atlecj:v:45:y:2017:i:1:d:10.1007_s11293-017-9531-0.

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2018Artificial Momentum, Native Contrarian, and Transparency in China. (2018). Lin, Hung-Wen ; Huang, Jing-Bo ; Hung, Mao-Wei. In: Computational Economics. RePEc:kap:compec:v:51:y:2018:i:2:d:10.1007_s10614-017-9699-z.

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2017Has momentum lost its momentum?. (2017). Bhattacharya, Debarati ; Sonaer, Gokhan ; Li, Wei-Hsien . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:48:y:2017:i:1:d:10.1007_s11156-015-0547-8.

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2017Background risk in consumption and the equity risk premium. (2017). Semenov, Andrei . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:48:y:2017:i:2:d:10.1007_s11156-016-0556-2.

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2017Surprises, sentiments, and the expectations hypothesis of the term structure of interest rates. (2017). Chen, Cathy Yi-Hsuan ; Chiang, Thomas C. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:49:y:2017:i:1:d:10.1007_s11156-016-0584-y.

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2018Consumption-based capital asset pricing models: issues and controversies. (2018). Choi, Wonnho . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:50:y:2018:i:1:d:10.1007_s11156-017-0627-z.

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2018The pricing of common exchange rate factors in the U.S. equity market. (2018). Du, Ding. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:50:y:2018:i:3:d:10.1007_s11156-017-0646-9.

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2017Globalization, Endogenous Oil Price Shocks and Chinese Economic Activity. (2017). Khan, Gulzar ; Ahmed, Ather Maqsood ; Kiani, Adiqa . In: Lahore Journal of Economics. RePEc:lje:journl:v:22:y:2017:i:2:p:39-64.

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2017Long Memory in Turkish Unemployment Rates. (2017). tansel, aysıt ; Gil-Alana, Luis ; Ozdemir, Zeynel Abidin. In: ERC Working Papers. RePEc:met:wpaper:1709.

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2018Is there hysteresis in South African unemployment? Evidence form the post-recessionary period. (2018). Phiri, Andrew ; Pikoko, Vuyo. In: Working Papers. RePEc:mnd:wpaper:1803.

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2018The New Fama Puzzle. (2018). Heipertz, Jonas ; Ferrara, Laurent ; Chinn, Menzie ; Bussiere, Matthieu. In: NBER Working Papers. RePEc:nbr:nberwo:24342.

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2017Explosiveness in G11 currencies. (2017). Steenkamp, Daan. In: Reserve Bank of New Zealand Discussion Paper Series. RePEc:nzb:nzbdps:2017/2.

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2017How bubbly is the New Zealand dollar?. (2017). Steenkamp, Daan. In: Reserve Bank of New Zealand Discussion Paper Series. RePEc:nzb:nzbdps:2017/3.

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2017Role of the Exchange Rates in the Stock Price Development of Companies in Chemical Industry. (2017). Imkov, Jana ; Ruskov, Nikola . In: Working Papers. RePEc:opa:wpaper:0042.

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2017Recovery with Unbounded Diffusion Processes. (2017). Walden, Johan. In: Review of Finance. RePEc:oup:revfin:v:21:y:2017:i:4:p:1403-1444..

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2018Credit Growth, Rational Bubbles and Economic Efficiency. (2018). Freixas, Xavier. In: Comparative Economic Studies. RePEc:pal:compes:v:60:y:2018:i:1:d:10.1057_s41294-018-0054-8.

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2017Welfare Cost of Inflation: The Role of Price Markups and Increasing Returns to Production Specialization. (2017). Lai, Ching-chong ; Chang, Juin-jen ; Liao, Chih-Hsing . In: MPRA Paper. RePEc:pra:mprapa:77753.

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2017Structural change in non-stationary AR(1) models. (2017). CHONG, Terence Tai Leung ; Liang, Yanling ; Zhang, Danna ; Pang, Tianxiao . In: MPRA Paper. RePEc:pra:mprapa:80510.

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2017Formal and informal household savings: how does trust in financial institutions influence the choice of saving instruments?. (2017). Mare, Davide Salvatore ; Beckmann, Elisabeth. In: MPRA Paper. RePEc:pra:mprapa:81141.

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2017Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles. (2017). Zakoian, Jean-Michel ; Fries, Sebastien. In: MPRA Paper. RePEc:pra:mprapa:81345.

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2017Identifying Bubbles in Latin American Equity Markets: Phillips-Perron-based Tests and Linkages. (2017). Escobari, Diego ; Mellado, Cristhian ; Garcia, Sergio . In: MPRA Paper. RePEc:pra:mprapa:81453.

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2017Long memory in Turkish Unemployment Rates. (2017). tansel, aysıt ; Gil-Alana, Luis ; Ozdemir, Zeynel Abidin. In: MPRA Paper. RePEc:pra:mprapa:81571.

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2017Testing for Bubbles in Stock Markets with Irregular Dividend Distribution. (2017). Caspi, Itamar ; Graham, Meital. In: MPRA Paper. RePEc:pra:mprapa:82261.

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2017Identifying Price Bubble Periods in the Energy Sector. (2017). Escobari, Diego ; Sharma, Shahil. In: MPRA Paper. RePEc:pra:mprapa:83355.

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2018Is there hysteresis in South African unemployment? Evidence from the post-recessionary period. (2018). Phiri, Andrew ; Pikoko, Vuyokazi. In: MPRA Paper. RePEc:pra:mprapa:83962.

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2017On the Predictability of Stock Market Bubbles: Evidence from LPPLS ConfidenceTM Multi-scale Indicators. (2017). GUPTA, RANGAN ; Demirer, Riza ; Demos, Guilherme ; Sornette, Didier. In: Working Papers. RePEc:pre:wpaper:201752.

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2017Everything you always wanted to know about bitcoin modelling but were afraid to ask. Part 2. (2017). Fantazzini, Dean ; Ivliev, Sergey ; Sukhanovskaya, Vera ; Nigmatullin, Erik . In: Applied Econometrics. RePEc:ris:apltrx:0308.

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

Works by Yangru Wu:


YearTitleTypeCited
2002The Impact of Macroeconomic and Financial Variables on Market Risk: Evidence from International Equity Returns In: European Financial Management.
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2000Mean Reversion across National Stock Markets and Parametric Contrarian Investment Strategies In: Journal of Finance.
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article108
1993Are There Rational Bubbles in Foreign Exchange Markets? -- Some Direct Tests In: Departmental Working Papers.
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1995On the Finite-Sample Distribution of Montis Portmanteau Test for the Adequacy of an ARMA (p,q) Model In: Departmental Working Papers.
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1996On the Finite-Sample Distribution of Separate Tests for Univarite Time Series Models In: Departmental Working Papers.
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1996Further results on the finite-sample distribution of Montis portmanteau test for the adequacy of an ARMA (p,q) model In: Departmental Working Papers.
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2000Further Results on the Finite-Sample Distribution of Modified Portmanteau Tests for Randomness In: Departmental Working Papers.
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2000On the Empirical Size of Normalized Autocorrelation Coefficients In: Departmental Working Papers.
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2002On the empirical size and power of normalized autocorrelation coefficients: A Monte Carlo investigation In: Departmental Working Papers.
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paper0
2002On the size and power of portmanteau tests for randomness of a time series In: Departmental Working Papers.
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paper0
2002On the use of the sample partial autocorrelation for order determination in a pure autoregressive process: A Monte Carlo study and empirical example In: Departmental Working Papers.
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paper1
2005On the use of the sample partial autocorrelation for order determination in a pure autoregressive process: a Monte Carlo study and empirical example.(2005) In: Applied Economics Letters.
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article
2003A Re-examination of the Finite-Sample Properties of Pena and Rodriguezs Portmanteau Test of Lack of Fit for Time Series In: Departmental Working Papers.
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paper0
2003Uniqueness and Stability of Equilibria in a Model with Endogenous Markups and Labor Supply In: Annals of Economics and Finance.
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article1
2009Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? In: Cowles Foundation Discussion Papers.
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paper213
2009Explosive Behavior in the 1990s Nasdaq : When Did Exuberance Escalate Asset Values?.(2009) In: Finance Working Papers.
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2007Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?.(2007) In: Working Papers.
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This paper has another version. Agregated cites: 213
paper
2011EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?.(2011) In: International Economic Review.
[Citation analysis]
This paper has another version. Agregated cites: 213
article
2009Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?.(2009) In: Working Papers.
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This paper has another version. Agregated cites: 213
paper
1998Rethinking Deviations from Uncovered Interest Parity: The Role of Covariance Risk and Noise. In: Economic Journal.
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article85
1998Rethinking Deviations from Uncovered Interest Parity: The Role of Covariance Risk and Noise.(1998) In: Working Papers.
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This paper has another version. Agregated cites: 85
paper
1998An empirical investigation on the time-series behavior of the U.S.-China trade deficit In: Journal of Asian Economics.
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article0
2005A comparative study of the finite-sample performance of some portmanteau tests for randomness of a time series In: Computational Statistics & Data Analysis.
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article2
1998Endogenous growth and the welfare costs of inflation: a reconsideration In: Journal of Economic Dynamics and Control.
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article23
1996Asymmetry in forward exchange rate bias: A puzzling result In: Economics Letters.
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article17
2003Nonlinear prediction of exchange rates with monetary fundamentals In: Journal of Empirical Finance.
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article28
2004Predictability of short-horizon returns in international equity markets In: Journal of Empirical Finance.
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article14
2006Momentum and mean reversion across national equity markets In: Journal of Empirical Finance.
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article39
2015Bond and stock market response to unexpected dividend changes In: Journal of Empirical Finance.
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article5
2014Optimal portfolio choice for investors with industry-specific labor income risks In: Finance Research Letters.
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article2
2010Optimal transaction filters under transitory trading opportunities: Theory and empirical illustration In: Journal of Financial Markets.
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article2
2005Optimal Transaction Filters Under Transitory Trading Opportunities: Theory and Empirical Illustration.(2005) In: Working Papers.
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This paper has another version. Agregated cites: 2
paper
2002Explaining exchange rate risk in world stock markets: A panel approach In: Journal of Banking & Finance.
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article15
2003Random walk versus breaking trend in stock prices: Evidence from emerging markets In: Journal of Banking & Finance.
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article82
2008Effective fair pricing of international mutual funds In: Journal of Banking & Finance.
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article2
2011Risk adjustment and momentum sources In: Journal of Banking & Finance.
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article11
1995Are there rational bubbles in foreign exchange markets? Evidence from an alternative test In: Journal of International Money and Finance.
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article25
1997Forward premiums as unbiased predictors of future currency depreciation: a non-parametric analysis In: Journal of International Money and Finance.
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article12
2014Currency devaluation and stock market response: An empirical analysis In: Journal of International Money and Finance.
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article5
2000Monopolistic competition, increasing returns to scale, and the welfare costs of inflation In: Journal of Monetary Economics.
[Full Text][Citation analysis]
article9
2000Endogenous markups and the effects of income taxation:: Theory and evidence from OECD countries In: Journal of Public Economics.
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article20
1998Hysteresis in unemployment: Evidence from OECD countries In: The Quarterly Review of Economics and Finance.
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article49
In: .
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paper0
2002Stock Market Integration, Return Forecastability and Implications for Market Efficiency: A Panel Study In: Working Papers.
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paper0
2004Momentum Trading, Mean Reveral and Overration in Chinese Stock Market. In: Working Papers.
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1997Understanding Spot and Forward Exchange Rate Regressions. In: Journal of Applied Econometrics.
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article68
1999Fixed Investment and Economic Growth in China. In: Economic Change and Restructuring.
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article11
2011Momentum trading, mean reversal and overreaction in Chinese stock market In: Review of Quantitative Finance and Accounting.
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article17
2015Optimal portfolio choice with asset return predictability and nontradable labor income In: Review of Quantitative Finance and Accounting.
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article3
1997Do Interest Rates Follow Unit-Root Processes? Evidence from Cross-Maturity Treasury Bill Yields. In: Review of Quantitative Finance and Accounting.
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article15
1996Are Real Exchange Rates Nonstationary? Evidence from a Panel-Data Test. In: Journal of Money, Credit and Banking.
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article144
1996Mean Reversion in Interest Rates: New Evidence from a Panel of OECD Countries. In: Journal of Money, Credit and Banking.
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article37
2001The Effects of Inflation on the Number of Firms and Firm Size. In: Journal of Money, Credit and Banking.
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article5
1997Hysteresis in Unemployment: Evidence from 48 U.S. States. In: Economic Inquiry.
[Citation analysis]
article41
1997Rational Bubbles in the Stock Market: Accounting for the U.S. Stock-Price Volatility. In: Economic Inquiry.
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article32
1998Are the U.S. Exports to and Imports from Japan Cointegrated? In: Journal of Economic Integration.
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article1
1997Capital controls and covered interest parity in the EU: Evidence from a panel-data unit root test In: Review of World Economics (Weltwirtschaftliches Archiv).
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article14
1997The trend behavior of real exchange rates: Evidence from OECD countries In: Review of World Economics (Weltwirtschaftliches Archiv).
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article8
2005On the size and power of normalized autocorrelation coefficients In: Applied Financial Economics.
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1998An exogeneity analysis of financial deepening and economic growth: evidence from Hong Kong, South Korea and Taiwan In: The Journal of International Trade & Economic Development.
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article3
1997Risk, Policy Rules, and Noise: Rethinking Deviations from Uncovered Interest Parity In: Tinbergen Institute Discussion Papers.
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paper1
1991The Opportunity Cost of Coastal Land-Use Controls: An Empirical Analysis In: Land Economics.
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article11
2014Heterogeneous Background Risks and Portfolio Choice: Evidence from Micro‐level Data In: Journal of Money, Credit and Banking.
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article9
In: .
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CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated June, 2th 2018. Contact: CitEc Team