Jun Yu : Citation Profile


Are you Jun Yu?

Singapore Management University (99% share)
Singapore Management University (1% share)

19

H index

27

i10 index

1465

Citations

RESEARCH PRODUCTION:

51

Articles

112

Papers

1

Chapters

RESEARCH ACTIVITY:

   19 years (1999 - 2018). See details.
   Cites by year: 77
   Journals where Jun Yu has often published
   Relations with other researchers
   Recent citing documents: 173.    Total self citations: 80 (5.18 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pyu5
   Updated: 2018-08-18    RAS profile: 2018-06-30    
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Relations with other researchers


Works with:

Phillips, Peter (13)

Shi, Shuping (5)

Li, Yong (4)

Bao, Yong (2)

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

Is cited by:

McAleer, Michael (123)

Asai, Manabu (92)

Phillips, Peter (45)

Omori, Yasuhiro (43)

Caporin, Massimiliano (40)

GUPTA, RANGAN (37)

Medeiros, Marcelo (29)

Ruiz, Esther (24)

Veiga, Helena (22)

Caspi, Itamar (19)

King, Maxwell (19)

Cites to:

Phillips, Peter (125)

Shephard, Neil (55)

Ait-Sahalia, Yacine (40)

Andersen, Torben (32)

Bollerslev, Tim (31)

Barndorff-Nielsen, Ole (24)

Shiller, Robert (23)

Rossi, Peter (21)

Campbell, John (21)

Richard, Jean-Francois (19)

Diebold, Francis (17)

Main data


Where Jun Yu has published?


Journals with more than one article published# docs
Journal of Econometrics13
Econometric Theory4
Econometric Reviews3
Economics Letters3
Review of Financial Studies3
Computational Statistics & Data Analysis2
International Economic Review2
Econometrics Journal2
Annals of Economics and Finance2
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
Working Papers / Singapore Management University, School of Economics48
Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University15
Working Papers / Department of Economics, The University of Auckland14
Economics and Statistics Working Papers / Singapore Management University, School of Economics10
Finance Working Papers / East Asian Bureau of Economic Research7
Microeconomics Working Papers / East Asian Bureau of Economic Research3
Monash Econometrics and Business Statistics Working Papers / Monash University, Department of Econometrics and Business Statistics2
Working Papers / Hong Kong Institute for Monetary Research2
Econometric Society 2004 Far Eastern Meetings / Econometric Society2
Development Economics Working Papers / East Asian Bureau of Economic Research2

Recent works citing Jun Yu (2018 and 2017)


YearTitle of citing document
2017Modeling of stock indices with HMM-SV models. (2017). Nkemnole, E B ; Wulu, J T. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxiv:y:2017:i:2(611):p:45-60.

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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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2017The ABC of Simulation Estimation with Auxiliary Statistics. (2017). Ng, Serena ; Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1501.01265.

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2018Explicit Heston Solutions and Stochastic Approximation for Path-dependent Option Pricing. (2018). Kouritzin, Michael A. In: Papers. RePEc:arx:papers:1608.02028.

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2017A New Class of Discrete-time Stochastic Volatility Model with Correlated Errors. (2017). Mukhoti, Sujay ; Ranjan, Pritam . In: Papers. RePEc:arx:papers:1703.06603.

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2017Stop-loss and Leverage in optimal Statistical Arbitrage with an application to Energy market. (2017). Baviera, Roberto ; Baldi, Tommaso Santagostino . In: Papers. RePEc:arx:papers:1706.07021.

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2017Parameter estimation for stable distributions with application to commodity futures log returns. (2017). Kateregga, Michael ; Taylor, David ; Mataramvura, Sure . In: Papers. RePEc:arx:papers:1706.09756.

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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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2017Semiparametric GARCH via Bayesian model averaging. (2017). Ye, Wilson ; Gerlach, Richard H. In: Papers. RePEc:arx:papers:1708.07587.

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2017Value-at-Risk and Expected Shortfall for the major digital currencies. (2017). Stavroyiannis, Stavros. In: Papers. RePEc:arx:papers:1708.09343.

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2018An Economic Bubble Model and Its First Passage Time. (2018). Dassios, Angelos ; Li, Luting. In: Papers. RePEc:arx:papers:1803.08160.

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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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2018Bitcoin price and its marginal cost of production: support for a fundamental value. (2018). Hayes, Adam. In: Papers. RePEc:arx:papers:1805.07610.

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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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2017I know what you did during the last bubble: Determinants of housing bubbles duration in OECD countries. (2017). Sanin Restrepo, Sebastian ; Gomez-Gonzalez, Jose ; Amador Torres, Juan ; Sanin-Restrepo, Sebastian ; Amador-Torres, Sebastian J. In: Borradores de Economia. RePEc:bdr:borrec:1005.

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2017Uncovering the time-varying nature of causality between oil prices and stock market returns: A multi-country study. (2017). Hirs-Garzon, Jorge ; Gomez-Gonzalez, Jose. In: Borradores de Economia. RePEc:bdr:borrec:1009.

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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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2017Hong Kong’s property market and macroprudential measures. (2017). Monetary, Hong Kong. In: BIS Papers chapters. RePEc:bis:bisbpc:94-12.

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2017A Multivariate Stochastic Volatility Model Applied to a Panel of S&P500 Stocks in Different Industries. (2017). Stengos, Thanasis ; Ozturk, Serda S. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:3:p:479-490.

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2017Portfolio optimization using dynamic factor and stochastic volatility: evidence on Fat-tailed errors and leverage. (2017). Ishihara, Tsunehiro ; Omori, Yasuhiro. In: The Japanese Economic Review. RePEc:bla:jecrev:v:68:y:2017:i:1:p:63-94.

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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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2018Business cycle narratives. (2018). Thorsrud, Leif ; Larsen, Vegard. In: Working Papers. RePEc:bny:wpaper:0064.

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2018Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications. (2018). Zerilli, Paola ; Chen, Liyuan ; Baum, Christopher. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:953.

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2017A new stock-price bubble with stochastically deflating trajectories. (2017). Wilfling, Bernd ; Rotermann, Benedikt . In: CQE Working Papers. RePEc:cqe:wpaper:5817.

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2017Bayesian semiparametric multivariate stochastic volatility with an application to international stock-market co-movements. (2017). Wilfling, Bernd ; Trede, Mark ; Zaharieva, Martina Danielova . In: CQE Working Papers. RePEc:cqe:wpaper:6217.

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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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2017Detecting Financial Collapse and Ballooning Sovereign Risk. (2017). PEter, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2110.

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2017Hybrid Stochastic Local Unit Roots. (2017). Lieberman, Offer ; PEter, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2113.

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2017Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour. (2017). Tao, Yubo ; Yu, Jun ; JunYu, ; PEter, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2114.

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2017Detecting Financial Collapse and Ballooning Sovereign Risk. (2017). Phillips, Peter ; PEter, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:3010.

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2017Latent Variable Nonparametric Cointegrating Regression. (2017). Lieberman, Offer ; PEter, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:3013.

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2017Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour. (2017). Tao, Yubo. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:3014.

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2017Quantitative easing and exuberance in government bond markets: Evidence from the ECBs expanded asset purchase program. (2017). Dröes, Martijn ; Droes, Martijn ; Mattheussens, Simona ; van Lamoen, Ryan . In: DNB Working Papers. RePEc:dnb:dnbwpp:548.

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2018Macro Aspects of Housing. (2018). Ng, Joe Cho Yiu ; Leung, Charles ; Yiu, Joe Cho. In: ISER Discussion Paper. RePEc:dpr:wpaper:1030.

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2018Multivariate Periodic Stochastic Volatility Models: Applications to Algerian dinar exchange rates and oil prices modeling. (2018). Souam, Saïd ; Hamdi, Faycal ; Boussaha, Nadia. In: EconomiX Working Papers. RePEc:drm:wpaper:2018-14.

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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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2017Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models. (2017). Soccorsi, Stefano ; Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/248676.

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2017Order Flow and Exchange Rate Dynamics in Continuous Time: New Evidence from Martingale Regression. (2017). Guo, Zi-Yi. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-02-66.

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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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2017Investigating the risk-return trade-off for crude oil futures using high-frequency data. (2017). Xia, Xiao-Hua ; Pan, Bin ; Huang, Jianbai ; Wen, Fenghua ; Gong, XU. In: Applied Energy. RePEc:eee:appene:v:196:y:2017:i:c:p:152-161.

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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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2018Estimation of agent-based models using sequential Monte Carlo methods. (2018). Lux, Thomas. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:391-408.

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2017Parameter instability, stochastic volatility and estimation based on simulated likelihood: Evidence from the crude oil market. (2017). Nonejad, Nima. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:388-408.

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2017On estimating long-run effects in models with lagged dependent variables. (2017). Reed, W. ; Zhu, Min . In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:302-311.

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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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2018A specialised volatility index for the new GICS sector - Real estate. (2018). Mi, Lin ; Faff, Robert ; Benson, Karen. In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:438-446.

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2018Do 18th century ‘bubbles’ survive the scrutiny of 21st century time series econometrics?. (2018). Oxley, Les ; Hu, Yang. In: Economics Letters. RePEc:eee:ecolet:v:162:y:2018:i:c:p:131-134.

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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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2017A new approach to model regime switching. (2017). Chang, Yoosoon ; Park, Joon Y ; Choi, Yongok . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:127-143.

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2017A multivariate stochastic unit root model with an application to derivative pricing. (2017). Phillips, Peter ; PEter, ; Lieberman, Offer. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:99-110.

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2017Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models. (2017). Yang, Yaxing ; Ling, Shiqing. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:368-381.

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2017Realized stochastic volatility with general asymmetry and long memory. (2017). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:2:p:202-212.

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2017Generalized dynamic factor models and volatilities: estimation and forecasting. (2017). Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:307-321.

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2018The ABC of simulation estimation with auxiliary statistics. (2018). Forneron, Jean-Jacques ; Ng, Serena. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:112-139.

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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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2017Bayesian online variable selection and scalable multivariate volatility forecasting in simultaneous graphical dynamic linear models. (2017). Gruber, Lutz F ; West, Mike . In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:3-22.

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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). Leybourne, Stephen ; Sollis, Robert ; Harvey, David I. In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:121-138.

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2017Consistent nonparametric specification tests for stochastic volatility models based on the return distribution. (2017). Zu, Yang ; Boswijk, Peter H. In: Journal of Empirical Finance. RePEc:eee:empfin:v:41:y:2017:i:c:p:53-75.

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2018Forecasting global stock market implied volatility indices. (2018). Filis, George ; Degiannakis, Stavros ; Hassani, Hossein. In: Journal of Empirical Finance. RePEc:eee:empfin:v:46:y:2018:i:c:p:111-129.

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2017Common cycles and common trends in the stock and oil markets: Evidence from more than 150years of data. (2017). Wohar, Mark ; GUPTA, RANGAN ; Balcilar, Mehmet. In: Energy Economics. RePEc:eee:eneeco:v:61:y:2017:i:c:p:72-86.

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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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2017Turbulent times: Uncovering the origins of US natural gas price fluctuations since deregulation. (2017). Etienne, Xiaoli ; Wiggins, Seth . In: Energy Economics. RePEc:eee:eneeco:v:64:y:2017:i:c:p:196-205.

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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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2018Markov switching GARCH models for Bayesian hedging on energy futures markets. (2018). Billio, Monica ; Osuntuyi, Anthony ; Casarin, Roberto. In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:545-562.

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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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2018The prediction of oil price turning points with log-periodic power law and multi-population genetic algorithm. (2018). Cheng, Fangzheng ; Li, Shanling ; Fan, Dandan. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:341-355.

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2018Mapping algorithms, agricultural futures, and the relationship between commodity investment flows and crude oil futures prices. (2018). Yan, Lei ; Sanders, Dwight R ; Irwin, Scott H. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:486-504.

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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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2017The financial economics of white precious metals — A survey. (2017). Vigne, Samuel A ; Yarovaya, Larisa ; Oconnor, Fergal A ; Lucey, Brian M. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:292-308.

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2017Bayesian testing for short term interest rate models. (2017). Chen, Zhongtian ; Li, Yong ; Zhang, Yonghui. In: Finance Research Letters. RePEc:eee:finlet:v:20:y:2017:i:c:p:146-152.

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2017Firm-specific credit risk estimation in the presence of regimes and noisy prices. (2017). Gauthier, Genevieve ; Begin, Jean-Franois ; Boudreault, Mathieu . In: Finance Research Letters. RePEc:eee:finlet:v:23:y:2017:i:c:p:306-313.

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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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2018Can bubble theory foresee banking crises?. (2018). Virtanen, Timo ; Taipalus, Katja ; Viren, Matti ; Tolo, Eero. In: Journal of Financial Stability. RePEc:eee:finsta:v:36:y:2018:i:c:p:66-81.

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2017Threshold stochastic volatility: Properties and forecasting. (2017). Veiga, Helena ; Ruiz, Esther ; Mao, Xiuping. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:1105-1123.

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2018Improving forecasting performance using covariate-dependent copula models. (2018). Li, Feng ; Kang, Yanfei . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:3:p:456-476.

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2018Testing for multiple bubbles in bitcoin markets: A generalized sup ADF test. (2018). Su, Chi-Wei ; Si, Deng-Kui ; Tao, Ran ; Li, Zheng-Zheng . In: Japan and the World Economy. RePEc:eee:japwor:v:46:y:2018:i:c:p:56-63.

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2017The stability of short-term interest rates pass-through in the euro area during the financial market and sovereign debt crises. (2017). SEVESTRE, Patrick ; Horny, Guillaume ; Avouyi-Dovi, Sanvi. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:79:y:2017:i:c:p:74-94.

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2017Equity index variance: Evidence from flexible parametric jump–diffusion models. (2017). Kaeck, Andreas ; Seeger, Norman J ; Rodrigues, Paulo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:83:y:2017:i:c:p:85-103.

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2018Detecting money market bubbles. (2018). Platen, Eckhard ; Ignatieva, Katja ; Baldeaux, Jan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:87:y:2018:i:c:p:369-379.

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2017Do iron ore price bubbles occur?. (2017). Dumitrescupeculea, Adelina ; Su, Chi-Wei ; Chang, Hsu-Ling ; Wang, Kai-Hua. In: Resources Policy. RePEc:eee:jrpoli:v:53:y:2017:i:c:p:340-346.

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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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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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2018The impact of the cost of car ownership on the house price gradient in Singapore. (2018). Huang, Naqun ; Ross, Amanda ; Li, Jing. In: Regional Science and Urban Economics. RePEc:eee:regeco:v:68:y:2018:i:c:p:160-171.

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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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2017Asymmetric adjustment and smooth breaks in dividend yields: Evidence from international stock markets. (2017). Chen, Shyh-Wei ; Xie, Zixiong . In: International Review of Economics & Finance. RePEc:eee:reveco:v:48:y:2017:i:c:p:339-354.

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2018Prevention and landing of bubble. (2018). Wan, Junmin . In: International Review of Economics & Finance. RePEc:eee:reveco:v:56:y:2018:i:c:p:190-204.

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2018Objective Bayesian inference for the intraclass correlation coefficient in linear models. (2018). Zhang, Duo ; Wang, Min. In: Statistics & Probability Letters. RePEc:eee:stapro:v:137:y:2018:i:c:p:292-296.

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2017Realized Stochastic Volatility with General Asymmetry and Long Memory. (2017). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Econometric Institute Research Papers. RePEc:ems:eureir:100161.

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2017Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models. (2017). McAleer, Michael ; Kobayashi, M ; Chen, J. In: Econometric Institute Research Papers. RePEc:ems:eureir:99788.

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2017Continuous Time Modelling Based on an Exact Discrete Time Representation. (2017). Chambers, Marcus ; Thornton, MA ; McCrorie, JR. In: Economics Discussion Papers. RePEc:esx:essedp:20497.

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

Works by Jun Yu:


YearTitleTypeCited
2018A New Wald Test for Hypothesis Testing Based on MCMC outputs In: Papers.
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paper0
2002MCMC Methods for Estimating Stochastic Volatility Models with Liverage Effects: Comments on Jacquier, Polson and Rossi (2002) In: Working Papers.
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paper1
2000Exact Gaussian Estimation of Continuous Time Models of The Term Structure of Interest Rates Rankings of Economics Departments in New Zealand In: Working Papers.
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paper0
1999Estimation of a Self-Exciting Poisson Jump Diffusion Model by the Empirical Characteristic Function Method In: Working Papers.
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paper0
1999Forecasting Volatility in the New Zealand Stock Market In: Working Papers.
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paper38
2002Forecasting volatility in the New Zealand stock market.(2002) In: Applied Financial Economics.
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article
2002Deviance Information Criterion as a Model Comparison Criterion for Stochastic Volatility Models In: Working Papers.
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paper0
2002Estimation of Hyperbolic Diffusion using MCMC Method In: Working Papers.
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paper11
2002Estimation of Hyperbolic Diffusion Using MCMC Method.(2002) In: Monash Econometrics and Business Statistics Working Papers.
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paper
2002Jacknifing Bond Option Prices In: Working Papers.
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paper31
2003Jackknifing Bond Option Prices.(2003) In: Cowles Foundation Discussion Papers.
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paper
2004Jackknifing Bond Option Prices.(2004) In: Econometric Society 2004 North American Winter Meetings.
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paper
2005Jackknifing Bond Option Prices.(2005) In: Review of Financial Studies.
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article
1999A Test Statistic and Its Application in Modelling Daily Stock Returns In: Working Papers.
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paper0
2002A Class of Nonlinear Stochastic Volatility Models In: Working Papers.
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paper1
1999Efficient Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method In: Working Papers.
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paper0
2000BUGS for a Bayesian Analysis of Stochastic Volatility Models In: Working Papers.
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paper39
2000BUGS for a Bayesian analysis of stochastic volatility models.(2000) In: Econometrics Journal.
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article
2001Forecasting Volatility:Evidence from the German Stock Market In: Working Papers.
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paper2
1999Empirical Characteristic Function in Time Series Estimation In: Working Papers.
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paper25
2002EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION.(2002) In: Econometric Theory.
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article
1999Do Topics Diffuse from Core to Periphery Journals? In: Working Papers.
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paper0
2004Deviance Information Criterion for Comparing Stochastic Volatility Models. In: Journal of Business & Economic Statistics.
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article51
2006Comment In: Journal of Business & Economic Statistics.
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article0
2002Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method In: Australian & New Zealand Journal of Statistics.
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article14
2014Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour In: Oxford Bulletin of Economics and Statistics.
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article32
2012Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior.(2012) In: Cowles Foundation Discussion Papers.
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2011Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior.(2011) In: Working Papers.
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paper
2012Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior.(2012) In: Working Papers.
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paper
2007Information Loss in Volatility Measurement with Flat Price Trading In: Levine's Bibliography.
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paper1
2007Information Loss in Volatility Measurement with Flat Price Trading.(2007) In: Cowles Foundation Discussion Papers.
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paper
2009Information Loss in Volatility Measurement with Flat Price Trading.(2009) In: Global COE Hi-Stat Discussion Paper Series.
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paper
2001Do Stock Returns Follow a Finite Variance Distribution? In: Annals of Economics and Finance.
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article2
2007Realized Daily Variance of S&P 500 Cash Index: A Revaluation of Stylized Facts In: Annals of Economics and Finance.
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article1
2012THE ET INTERVIEW: A CONVERSATION WITH ERIC GHYSELS In: Econometric Theory.
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2014SPECIAL ISSUE OF ECONOMETRIC THEORY ON SETA 2010: EDITORS’ INTRODUCTION In: Econometric Theory.
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2014ECONOMETRIC ANALYSIS OF CONTINUOUS TIME MODELS: A SURVEY OF PETER PHILLIPS’S WORK AND SOME NEW RESULTS In: Econometric Theory.
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2009Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips Work and Some New Results.(2009) In: Working Papers.
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paper
2001Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate In: Cowles Foundation Discussion Papers.
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paper4
2005A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations In: Cowles Foundation Discussion Papers.
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paper5
2006Indirect Inference for Dynamic Panel Models In: Cowles Foundation Discussion Papers.
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paper35
2006Indirect Inference for Dynamic Panel Models.(2006) In: Development Economics Working Papers.
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paper
2010Indirect inference for dynamic panel models.(2010) In: Journal of Econometrics.
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article
2007Simulation-based Estimation of Contingent-claims Prices In: Cowles Foundation Discussion Papers.
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paper5
2008Simulation-based Estimation of Contingent-claims Prices.(2008) In: Finance Working Papers.
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paper
2009Simulation-Based Estimation of Contingent-Claims Prices.(2009) In: Review of Financial Studies.
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article
2007Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance In: Cowles Foundation Discussion Papers.
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paper0
2006Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance.(2006) In: Development Economics Working Papers.
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paper
2009Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? In: Cowles Foundation Discussion Papers.
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paper197
2009Explosive Behavior in the 1990s Nasdaq : When Did Exuberance Escalate Asset Values?.(2009) In: Finance Working Papers.
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paper
2007Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?.(2007) In: Working Papers.
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paper
2011EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?.(2011) In: International Economic Review.
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article
2009Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?.(2009) In: Working Papers.
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paper
2010Dating the Timeline of Financial Bubbles during the Subprime Crisis In: Cowles Foundation Discussion Papers.
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paper156
2009Dating the Timeline of Financial Bubbles During the Subprime Crisis.(2009) In: Finance Working Papers.
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This paper has another version. Agregated cites: 156
paper
2011Dating the timeline of financial bubbles during the subprime crisis.(2011) In: Quantitative Economics.
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article
2009Dating the Timeline of Financial Bubbles During the Subprime Crisis.(2009) In: Working Papers.
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This paper has another version. Agregated cites: 156
paper
2011Bias in Estimating Multivariate and Univariate Diffusions In: Cowles Foundation Discussion Papers.
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paper6
2011Bias in estimating multivariate and univariate diffusions.(2011) In: Journal of Econometrics.
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article
2012Testing for Multiple Bubbles In: Cowles Foundation Discussion Papers.
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paper31
2012Testing for Multiple Bubbles.(2012) In: Working Papers.
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paper
2011Testing for Multiple Bubbles.(2011) In: Working Papers.
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This paper has another version. Agregated cites: 31
paper
2013Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500 In: Cowles Foundation Discussion Papers.
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paper86
2013Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500.(2013) In: Working Papers.
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This paper has another version. Agregated cites: 86
paper
2015TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500.(2015) In: International Economic Review.
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This paper has another version. Agregated cites: 86
article
2013Testing for Multiple Bubbles: Limit Theory of Real Time Detectors In: Cowles Foundation Discussion Papers.
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paper34
2013Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors.(2013) In: Working Papers.
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paper
2015TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL‐TIME DETECTORS.(2015) In: International Economic Review.
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article
2014A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market In: Cowles Foundation Discussion Papers.
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paper0
2014A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market.(2014) In: Working Papers.
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paper
2005Comments on “A selective overview of nonparametric methods in financial econometrics†In: Finance Working Papers.
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paper2
2005Comment on “Realized Variance and Market Microstructure Noise†by Peter R. Hansen and Asger Lunde In: Finance Working Papers.
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paper0
2009Forecasting Realized Volatility Using A Nonnegative Semiparametric Model In: Finance Working Papers.
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paper1
2009Forecasting Realized Volatility Using A Nonnegative Semiparametric Model.(2009) In: Working Papers.
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2009Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises In: Finance Working Papers.
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paper12
2010Bayesian analysis of structural credit risk models with microstructure noises.(2010) In: Journal of Economic Dynamics and Control.
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2006A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete In: Macroeconomics Working Papers.
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2006Multivariate Stochastic Volatility In: Microeconomics Working Papers.
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paper74
2009Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models In: Microeconomics Working Papers.
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paper8
2012Bias in the estimation of the mean reversion parameter in continuous time models.(2012) In: Journal of Econometrics.
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article
2009Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models.(2009) In: Working Papers.
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paper
2009Econometric Analysis of Continuous Time Models : A Survey of Peter Phillips’ Work and Some New Results In: Microeconomics Working Papers.
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paper0
2004On leverage in a stochastic volatility model In: Econometric Society 2004 Far Eastern Meetings.
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paper126
2004On Leverage in a Stochastic Volatility Model.(2004) In: Econometric Society 2004 Far Eastern Meetings.
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paper
2005On leverage in a stochastic volatility model.(2005) In: Journal of Econometrics.
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article
2004On Leverage in a Stochastic Volatility Model.(2004) In: Working Papers.
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2001A Gaussian approach for continuous time models of the short-term interest rate In: Econometrics Journal.
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article15
2013Detecting bubbles in Hong Kong residential property market In: Journal of Asian Economics.
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article41
2012Detecting Bubbles in Hong Kong Residential Property Market.(2012) In: Working Papers.
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2006A class of nonlinear stochastic volatility models and its implications for pricing currency options In: Computational Statistics & Data Analysis.
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article20
2002A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options.(2002) In: Monash Econometrics and Business Statistics Working Papers.
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2014A flexible and automated likelihood based framework for inference in stochastic volatility models In: Computational Statistics & Data Analysis.
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2015Limit theory for an explosive autoregressive process In: Economics Letters.
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2013Limit Theory for an Explosive Autoregressive Process.(2013) In: Working Papers.
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2015Asymptotic theory for linear diffusions under alternative sampling schemes In: Economics Letters.
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article1
2015Bias in the estimation of mean reversion in continuous-time Lévy processes In: Economics Letters.
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2009A two-stage realized volatility approach to estimation of diffusion processes with discrete data In: Journal of Econometrics.
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article8
2012Bayesian hypothesis testing in latent variable models In: Journal of Econometrics.
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2011Bayesian Hypothesis Testing in Latent Variable Models.(2011) In: Working Papers.
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2012A semiparametric stochastic volatility model In: Journal of Econometrics.
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article15
2014A new approach to Bayesian hypothesis testing In: Journal of Econometrics.
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2014Maximum likelihood estimation of partially observed diffusion models In: Journal of Econometrics.
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2015A Bayesian chi-squared test for hypothesis testing In: Journal of Econometrics.
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2014A Bayesian Chi-Squared Test for Hypothesis Testing.(2014) In: Working Papers.
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2016Double asymptotics for explosive continuous time models In: Journal of Econometrics.
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2012Double Asymptotics for Explosive Continuous Time Models.(2012) In: Working Papers.
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2017Inference in continuous systems with mildly explosive regressors In: Journal of Econometrics.
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2018New distribution theory for the estimation of structural break point in mean In: Journal of Econometrics.
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2007Temporal aggregation and risk-return relation In: Finance Research Letters.
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2006Temporal Aggregation and Risk-Return Relation.(2006) In: Working Papers.
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2006Temporal Aggregation and Risk-Return Relation.(2006) In: Working Papers.
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2015New methodology for constructing real estate price indices applied to the Singapore residential market In: Journal of Banking & Finance.
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2015Optimal jackknife for unit root models In: Statistics & Probability Letters.
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2014Deviance Information Criterion for Comparing VAR Models In: Advances in Econometrics.
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2014Deviance Information Criterion for Comparing VAR Models.(2014) In: Working Papers.
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2017Bayesian Analysis of Bubbles in Asset Prices In: Econometrics.
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2014Bayesian Analysis of Bubbles in Asset Prices.(2014) In: Working Papers.
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2011Specification Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles In: Working Papers.
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paper2
2011Speci fication Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles.(2011) In: Working Papers.
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paper
2012Investigating Impacts of Self-Exciting Jumps in Returns and Volatility: A Bayesian Learning Approach In: Global COE Hi-Stat Discussion Paper Series.
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2015Self-Exciting Jumps, Learning, and Asset Pricing Implications In: Review of Financial Studies.
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article2
2016Asymptotic Theory for Estimating the Persistent Parameter in the Fractional Vasicek Model In: Economics and Statistics Working Papers.
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paper0
2017Deviance Information Criterion for Bayesian Model Selection: Justification and Variation In: Economics and Statistics Working Papers.
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2017Asymptotic Theory for Estimating Drift Parameters in the Fractional Vasicek Model In: Economics and Statistics Working Papers.
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paper0
2017A Specification Test based on the MCMC Output In: Economics and Statistics Working Papers.
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2017In-fill Asymptotic Theory for Structural Break Point in Autoregression: A Unified Theory In: Economics and Statistics Working Papers.
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paper0
2017Bubble Testing under Deterministic Trends In: Economics and Statistics Working Papers.
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2017Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour In: Economics and Statistics Working Papers.
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paper2
2018Integrated Deviance Information Criterion for Latent Variable Models In: Economics and Statistics Working Papers.
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2018Asymptotic Theory for Rough Fractional Vasicek Models In: Economics and Statistics Working Papers.
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2018A Posterior-Based Wald-Type Statistic for Hypothesis Testing In: Economics and Statistics Working Papers.
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2016New Distribution Theory for the Estimation of Structural Break Point in Mean In: Working Papers.
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paper1
2013Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Lévy Processes In: Working Papers.
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2012Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility In: Working Papers.
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paper2
2015Limit Theory for Continuous Time Systems with Mildly Explosive Regressors In: Working Papers.
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paper0
2005Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan In: Working Papers.
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paper2
2011Simulated Maximum Likelihood Estimation for Latent Diffusion Models In: Working Papers.
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paper0
2012Simulated Maximum Likelihood Estimation for Latent Diffusion Models.(2012) In: Working Papers.
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2012Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes In: Working Papers.
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2010Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes.(2010) In: Working Papers.
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2011Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models In: Working Papers.
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2012Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models.(2012) In: Working Papers.
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2005Comment on “Realized Variance and Market Microstructure Noise” by Peter R. Hansen and Asger Lunde In: Working Papers.
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2010Estimating the GARCH Diffusion: Simulated Maximum Likelihood in Continuous Time In: Working Papers.
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2012A New Bayesian Unit Root Test in Stochastic Volatility Models In: Working Papers.
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2010A New Bayesian Unit Root Test in Stochastic Volatility Models.(2010) In: Working Papers.
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2009Automated Likelihood Based Inference for Stochastic Volatility Models In: Working Papers.
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2010A Conversation with Eric Ghysels Co-President of the Society for Financial Econometrics In: Working Papers.
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2011Double Asymptotics for an Explosive Continuous Time Model In: Working Papers.
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2010Measurement and High Finance In: Working Papers.
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2010Corrigendum to “A Gaussian Approach for Continuous Time Models of the Short Term Interest Rate In: Working Papers.
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2010Simulation-based Estimation Methods for Financial Time Series Models In: Working Papers.
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2009Stimulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models In: Working Papers.
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2014On Bias in the Estimation of Structural Break Points In: Working Papers.
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2004Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison In: Working Papers.
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2006Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison.(2006) In: Econometric Reviews.
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2004Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility In: Working Papers.
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2012Robust Deviance Information Criterion for Latent Variable Models In: Working Papers.
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2004Empirical Characteristic Function Estimation and Its Applications In: Econometric Reviews.
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2006Multivariate Stochastic Volatility: A Review In: Econometric Reviews.
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1999Testing the expectations theory of the term structure for New Zealand In: New Zealand Economic Papers.
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2004Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method In: Quantitative Finance.
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2015Editorial In: Spatial Economic Analysis.
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2011Corrigendum to ‘A Gaussian approach for continuous time models of short‐term interest rates’ (Yu, J. and P. C. B. Phillips, Econometrics Journal, 4, 210–24) In: Econometrics Journal.
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