Jun Yu : Citation Profile

Are you Jun Yu?

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

19

H index

29

i10 index

1847

Citations

RESEARCH PRODUCTION:

56

Articles

122

Papers

1

Chapters

RESEARCH ACTIVITY:

   20 years (1999 - 2019). See details.
   Cites by year: 92
   Journals where Jun Yu has often published
   Relations with other researchers
   Recent citing documents: 267.    Total self citations: 88 (4.55 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pyu5
   Updated: 2020-05-23    RAS profile: 2020-05-26    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Phillips, Peter (12)

Tao, Yubo (4)

Li, Yong (4)

Zhou, Qiankun (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 (130)

Asai, Manabu (96)

Phillips, Peter (54)

Omori, Yasuhiro (47)

Caporin, Massimiliano (41)

GUPTA, RANGAN (38)

Shi, Shuping (35)

Medeiros, Marcelo (29)

Veiga, Helena (27)

Ruiz, Esther (26)

Caspi, Itamar (21)

Cites to:

Phillips, Peter (138)

Shephard, Neil (79)

Ait-Sahalia, Yacine (41)

Andersen, Torben (35)

Bollerslev, Tim (32)

Shiller, Robert (25)

Barndorff-Nielsen, Ole (24)

Campbell, John (23)

Rossi, Peter (21)

Richard, Jean-Francois (19)

merton, robert (18)

Main data

Where Jun Yu has published?

Journals with more than one article published# docs
Journal of Econometrics15
Economics Letters4
Econometric Theory4
Annals of Economics and Finance3
Review of Financial Studies3
Econometric Reviews3
Econometrics Journal2
International Economic Review2
Journal of Business & Economic Statistics2
Computational Statistics & Data Analysis2

Working Papers Series with more than one paper published# docs
Working Papers / Singapore Management University, School of Economics48
Economics and Statistics Working Papers / Singapore Management University, School of Economics20
Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University16
Working Papers / Department of Economics, The University of Auckland14
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 (2020 and 2019)

YearTitle of citing document
2019Comparing Tests for Identification of Bubbles. (2019). Bertelsen, Kristoffer Pons. In: CREATES Research Papers. RePEc:aah:create:2019-16.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2018A Model-Free Bubble Detection Method: Application to the World Market for Superstar Wines. (2018). Tolhurst, Tor. In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:274387.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2018Measuring Investor Sentiment. (2018). Zhou, Guofu. In: Annual Review of Financial Economics. RePEc:anr:refeco:v:10:y:2018:p:239-259.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2018A Bayesian GED-Gamma stochastic volatility model for return data: a marginal likelihood approach. (2018). Santos, T R. In: Papers. RePEc:arx:papers:1809.01489.

Full description at Econpapers || Download paper

2018Multivariate stable distributions and their applications for modelling cryptocurrency-returns. (2018). Zempl, Andr'As ; Majoros, Szabolcs. In: Papers. RePEc:arx:papers:1810.09521.

Full description at Econpapers || Download paper

2019Estimation of Structural Break Point in Linear Regression Models. (2019). Baek, Yaein. In: Papers. RePEc:arx:papers:1811.03720.

Full description at Econpapers || Download paper

2019Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals. (2019). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1811.10045.

Full description at Econpapers || Download paper

2018A supreme test for periodic explosive GARCH. (2018). Wu, Wei Biao ; Wang, Weining ; Richter, Stefan . In: Papers. RePEc:arx:papers:1812.03475.

Full description at Econpapers || Download paper

2019Factor Investing: Hierarchical Ensemble Learning. (2019). Feng, Guanhao ; He, Jingyu. In: Papers. RePEc:arx:papers:1902.01015.

Full description at Econpapers || Download paper

2019The Changing Geopolitics in the Arab World: Implications of the 2017 Gulf Crisis for Business. (2019). bouoiyour, jamal ; Selmi, Refk. In: Papers. RePEc:arx:papers:1903.08076.

Full description at Econpapers || Download paper

2019Horizon-unbiased Investment with Ambiguity. (2019). Zhou, Chao ; Sun, Xianming ; Lin, Qian. In: Papers. RePEc:arx:papers:1904.09379.

Full description at Econpapers || Download paper

2020Allowance prices in the EU ETS -- fundamental price drivers and the recent upward trend. (2019). Pahle, Michael ; Friedrich, Marina. In: Papers. RePEc:arx:papers:1906.10572.

Full description at Econpapers || Download paper

2019Stochastic leverage effect in high-frequency data: a Fourier based analysis. (2019). Sanfelici, Simona ; Curato, Imma Valentina. In: Papers. RePEc:arx:papers:1910.06660.

Full description at Econpapers || Download paper

2019Predicting bubble bursts in oil prices using mixed causal-noncausal models. (2019). Hecq, Alain ; Voisin, Elisa. In: Papers. RePEc:arx:papers:1911.10916.

Full description at Econpapers || Download paper

2019The Microstructure of Stochastic Volatility Models with Self-Exciting Jump Dynamics. (2019). Xu, Wei ; Horst, Ulrich. In: Papers. RePEc:arx:papers:1911.12969.

Full description at Econpapers || Download paper

2020An empirical study of neural networks for trend detection in time series. (2019). Drigout, Gilles ; Miot, Alexandre. In: Papers. RePEc:arx:papers:1912.04009.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2020Cryptocurrency Trading: A Comprehensive Survey. (2020). Wu, Fan ; Martinez-Regoband, David ; Li, Lingbo ; Kanthan, Leslie ; Kong, Hoiliong ; Basios, Michail ; Ventre, Carmine ; Fang, Fan. In: Papers. RePEc:arx:papers:2003.11352.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019Bitcoin: The Road to Hell Is Paved With Good Promises. (2019). Alexiou, Constantinos ; Vogiazas, Sofoklis. In: Economic Notes. RePEc:bla:ecnote:v:48:y:2019:i:1:n:12119.

Full description at Econpapers || Download paper

2018Interest Rates, Local Housing Markets and House Price Over†reactions. (2018). Tsiaplias, Sarantis ; Lim, Guay. In: The Economic Record. RePEc:bla:ecorec:v:94:y:2018:i:s1:p:33-48.

Full description at Econpapers || Download paper

2018CRYPTO‐CURRENCIES – AN INTRODUCTION TO NOT‐SO‐FUNNY MONEYS. (2018). Smith, Christie ; Kumar, Aaron. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:5:p:1531-1559.

Full description at Econpapers || Download paper

2018Real‐Time Monitoring for Explosive Financial Bubbles. (2018). Taylor, Robert ; Harvey, David ; Robert, A M ; Sollis, Robert ; Leybourne, Stephen J ; Astill, Sam. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:863-891.

Full description at Econpapers || Download paper

2018Mildly Explosive Autoregression Under Stationary Conditional Heteroskedasticity. (2018). Arvanitis, Stelios ; Magdalinos, Tassos. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:892-908.

Full description at Econpapers || Download paper

2018Change Detection and the Causal Impact of the Yield Curve. (2018). Shi, Shuping ; Phillips, Peter ; Hurn, Stan ; PEter, . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:966-987.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2018Dynamic Stochastic General EQUILIBRIUM ‐ BASED Assessment of Nonlinear Macroprudential Policies: Evidence from Hong Kong. (2018). Funke, Michael ; Paetz, Michael . In: Pacific Economic Review. RePEc:bla:pacecr:v:23:y:2018:i:4:p:632-657.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2018Not all cities are alike : House price heterogeneity and the design of macro-prudential policies in China. (2018). Tsang, Andrew ; Funke, Michael ; Zhu, Linxu. In: BOFIT Discussion Papers. RePEc:bof:bofitp:2018_018.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2018When the market drives you crazy: Stock market returns and fatal car accidents. (2018). Vlassopoulos, Michael ; Tonin, Mirco ; Giulietti, Corrado. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps52.

Full description at Econpapers || Download paper

2018Testing for Moderate Explosiveness in the Presence of Drift. (2018). Sun, Yixiao ; Wang, Shaoping ; Guo, Gangzheng. In: University of California at San Diego, Economics Working Paper Series. RePEc:cdl:ucsdec:qt2k26h10n.

Full description at Econpapers || Download paper

2018When the Market Drives you Crazy: Stock Market Returns and Fatal Car Accidents. (2018). Vlassopoulos, Michael ; Tonin, Mirco ; Giulietti, Corrado. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7182.

Full description at Econpapers || Download paper

2019Business Cycle Narratives. (2019). Thorsrud, Leif ; Larsen, Vegard. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7468.

Full description at Econpapers || Download paper

2019Another Look at Cryptocurrency Bubbles. (2019). Gronwald, Marc. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7743.

Full description at Econpapers || Download paper

2019Contagion Testing in Embryonic Markets under Alternative Stressful US Market Scenarios. (2019). Mahadeo, Scott ; Legrenzi, Gabriella ; Heinlein, Reinhold. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8029.

Full description at Econpapers || Download paper

2019Zeitreihenanalyse zu den Target-Forderungen der Deutschen Bundesbank und mögliche Zusammenhänge mit der expansiven Geldpolitik der EZB. (2019). Kordsmeyer, Tobias ; Storp, Nicole. In: ifo Schnelldienst. RePEc:ces:ifosdt:v:72:y:2019:i:06:p:26-28.

Full description at Econpapers || Download paper

2020Mildly Explosive Dynamics in U.S. Fixed Income Markets. (2019). Guidolin, Massimo ; De Pace, Pierangelo ; Contessi, Silvio ; DePace, Pierangelo. In: Economics Department, Working Paper Series. RePEc:clm:pomwps:1001.

Full description at Econpapers || Download paper

2020Comovement and Instability in Cryptocurrency Markets. (2020). De Pace, Pierangelo ; Rao, Jayant ; DePace, Pierangelo. In: Economics Department, Working Paper Series. RePEc:clm:pomwps:1012.

Full description at Econpapers || Download paper

2019Data cloning estimation for asymmetric stochastic volatility models. (2019). Veiga, Helena ; de Zea, Patricia ; Marin, Juan Miguel ; Lopes, Maria Helena. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:28214.

Full description at Econpapers || Download paper

2019Exploring option pricing and hedging via volatility asymmetry. (2019). Veiga, Helena ; Casas, Isabel ; Lopes, Maria Helena. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:28234.

Full description at Econpapers || Download paper

2019Comparing Forecasts of Extremely Large Conditional Covariance Matrices. (2019). Ruiz, Esther ; Moura, Guilherme. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:29291.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2018Understanding Temporal Aggregation Effects on Kurtosis in Financial Indices. (2018). Phillips, Peter ; PEter, ; Lieberman, Offer. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2151.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019Quantitative easing and exuberance in stock markets: Evidence from the euro area. (2019). Hudepohl, Thomas ; de Vette, Nander ; van Lamoen, Ryan . In: DNB Working Papers. RePEc:dnb:dnbwpp:660.

Full description at Econpapers || Download paper

2018When the market drives you crazy: Stock market returns and fatal car accidents. (2018). Vlassopoulos, Michael ; Tonin, Mirco ; Giulietti, Corrado. In: Working Papers. RePEc:don:donwpa:124.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019Was there a bubble in the ICO market?. (2019). Stolbov, Mikhail. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00673.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019Maximum likelihood estimation of first-passage structural credit risk models correcting for the survivorship bias. (2019). McLeish, Don L ; Boudreault, Mathieu ; Amaya, Diego. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:297-313.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2018Bias-corrected estimation for speculative bubbles in stock prices. (2018). Kruse, Robinson ; Wegener, Christoph ; Kaufmann, Hendrik. In: Economic Modelling. RePEc:eee:ecmode:v:73:y:2018:i:c:p:354-364.

Full description at Econpapers || Download paper

2019Modeling and forecasting return jumps using realized variation measures. (2019). Liu, YI ; Zhang, Lei. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:63-80.

Full description at Econpapers || Download paper

2019Hedge fund returns and uncertainty. (2019). Krause, Timothy A. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:597-601.

Full description at Econpapers || Download paper

2019Dynamic price–volume causality in the American housing market: A signal of market conditions. (2019). Tsai, I-Chun ; I-Chun Tsai, . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:385-400.

Full description at Econpapers || Download paper

2019Driving factors of equity bubbles. (2019). Chen, Langnan ; Wang, Shengquan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:49:y:2019:i:c:p:304-317.

Full description at Econpapers || Download paper

2019Asymmetric adjustment, non-linearity and housing price bubbles: New international evidence. (2019). Wu, An-Chi ; Chen, Shyh-Wei ; Xie, Zixiong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818305849.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019Bayesian estimation of dynamic asset pricing models with informative observations. (2019). Li, Junye ; Fulop, Andras. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:1:p:114-138.

Full description at Econpapers || Download paper

2019Nearly weighted risk minimal unbiased estimation. (2019). Wang, Yulong ; Muller, Ulrich K. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:1:p:18-34.

Full description at Econpapers || Download paper

2019Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book. (2019). Winkelmann, Lars ; Neely, Christopher ; Bibinger, Markus. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:158-184.

Full description at Econpapers || Download paper

2019Weak σ-convergence: Theory and applications. (2019). Sul, Donggyu ; Kong, Jianning. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:185-207.

Full description at Econpapers || Download paper

2019Testing for randomness in a random coefficient autoregression model. (2019). Horvath, Lajos ; Trapani, Lorenzo. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:338-352.

Full description at Econpapers || Download paper

2019Sparse Bayesian time-varying covariance estimation in many dimensions. (2019). Kastner, Gregor. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:98-115.

Full description at Econpapers || Download paper

2019Combining p-values to test for multiple structural breaks in cointegrated regressions. (2019). Urga, Giovanni ; Bergamelli, Michele ; Khalaf, Lynda ; Bianchi, Annamaria. In: Journal of Econometrics. RePEc:eee:econom:v:211:y:2019:i:2:p:461-482.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2020Sequential monitoring for changes from stationarity to mild non-stationarity. (2020). Wang, Shixuan ; Horvath, Lajos ; Rice, Gregory ; Liu, Zhenya. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:1:p:209-238.

Full description at Econpapers || Download paper

2020Hybrid stochastic local unit roots. (2020). Phillips, Peter ; Lieberman, Offer. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:1:p:257-285.

Full description at Econpapers || Download paper

2019The factor analytical method for interactive effects dynamic panel models with moving average errors. (2019). Westerlund, Joakim ; Norkut, Milda. In: Econometrics and Statistics. RePEc:eee:ecosta:v:11:y:2019:i:c:p:83-104.

Full description at Econpapers || Download paper

2018Dynamics of the Turkish paintings market: A comprehensive empirical study. (2018). Gözgör, Giray ; Demir, Ender ; Sari, Emre. In: Emerging Markets Review. RePEc:eee:ememar:v:36:y:2018:i:c:p:180-194.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Bond and option prices with permanent shocks. (2019). Al-Zoubi, Haitham A. In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:272-290.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2018Is hub-based pricing a better choice than oil indexation for natural gas? Evidence from a multiple bubble test. (2018). Zhang, Dayong ; Liu, Jia ; Shi, Xunpeng ; Wang, Tiantian . In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:495-503.

Full description at Econpapers || Download paper

2019Forecasting volatility and correlation between oil and gold prices using a novel multivariate GAS model. (2019). Xu, Jianjun ; Chen, Rongda. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:379-391.

Full description at Econpapers || Download paper

2019Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications. (2019). Baum, Christopher ; Zerilli, Paola ; Chen, Liyuan. In: Energy Economics. RePEc:eee:eneeco:v:79:y:2019:i:c:p:111-129.

Full description at Econpapers || Download paper

2019Stop-loss and leverage in optimal statistical arbitrage with an application to energy market. (2019). Baldi, Tommaso Santagostino ; Baviera, Roberto. In: Energy Economics. RePEc:eee:eneeco:v:79:y:2019:i:c:p:130-143.

Full description at Econpapers || Download paper

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.
[Full Text][Citation analysis]		paper0
2002MCMC Methods for Estimating Stochastic Volatility Models with Liverage Effects: Comments on Jacquier, Polson and Rossi (2002) In: Working Papers.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		paper0
1999Estimation of a Self-Exciting Poisson Jump Diffusion Model by the Empirical Characteristic Function Method In: Working Papers.
[Full Text][Citation analysis]		paper0
1999Forecasting Volatility in the New Zealand Stock Market In: Working Papers.
[Full Text][Citation analysis]		paper46
2002Forecasting volatility in the New Zealand stock market.(2002) In: Applied Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 46		article
2002Deviance Information Criterion as a Model Comparison Criterion for Stochastic Volatility Models In: Working Papers.
[Full Text][Citation analysis]		paper0
2002Estimation of Hyperbolic Diffusion using MCMC Method In: Working Papers.
[Full Text][Citation analysis]		paper11
2002Estimation of Hyperbolic Diffusion Using MCMC Method.(2002) In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		paper
2002Jacknifing Bond Option Prices In: Working Papers.
[Full Text][Citation analysis]		paper35
2003Jackknifing Bond Option Prices.(2003) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 35		paper
2004Jackknifing Bond Option Prices.(2004) In: Econometric Society 2004 North American Winter Meetings.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 35		paper
2005Jackknifing Bond Option Prices.(2005) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 35		article
1999A Test Statistic and Its Application in Modelling Daily Stock Returns In: Working Papers.
[Full Text][Citation analysis]		paper0
2002A Class of Nonlinear Stochastic Volatility Models In: Working Papers.
[Full Text][Citation analysis]		paper2
1999Efficient Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method In: Working Papers.
[Full Text][Citation analysis]		paper0
2000BUGS for a Bayesian Analysis of Stochastic Volatility Models In: Working Papers.
[Full Text][Citation analysis]		paper48
2000BUGS for a Bayesian analysis of stochastic volatility models.(2000) In: Econometrics Journal.
[Citation analysis]
This paper has another version. Agregated cites: 48		article
2001Forecasting Volatility:Evidence from the German Stock Market In: Working Papers.
[Full Text][Citation analysis]		paper2
1999Empirical Characteristic Function in Time Series Estimation In: Working Papers.
[Full Text][Citation analysis]		paper29
2002EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION.(2002) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29		article
1999Do Topics Diffuse from Core to Periphery Journals? In: Working Papers.
[Full Text][Citation analysis]		paper0
2004Deviance Information Criterion for Comparing Stochastic Volatility Models. In: Journal of Business & Economic Statistics.
[Citation analysis]		article58
2006Comment In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article0
2002Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method In: Australian & New Zealand Journal of Statistics.
[Full Text][Citation analysis]		article15
2014Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article46
2012Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior.(2012) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 46		paper
2011Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 46		paper
2012Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 46		paper
2007Information Loss in Volatility Measurement with Flat Price Trading In: Levine's Bibliography.
[Full Text][Citation analysis]		paper1
2007Information Loss in Volatility Measurement with Flat Price Trading.(2007) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2009Information Loss in Volatility Measurement with Flat Price Trading.(2009) In: Global COE Hi-Stat Discussion Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2001Do Stock Returns Follow a Finite Variance Distribution? In: Annals of Economics and Finance.
[Full Text][Citation analysis]		article3
2007Realized Daily Variance of S&P 500 Cash Index: A Revaluation of Stylized Facts In: Annals of Economics and Finance.
[Full Text][Citation analysis]		article1
2019An Improved Bayesian Unit Root Test in Stochastic Volatility Models In: Annals of Economics and Finance.
[Full Text][Citation analysis]		article0
2014SPECIAL ISSUE OF ECONOMETRIC THEORY ON SETA 2010: EDITORS’ INTRODUCTION In: Econometric Theory.
[Full Text][Citation analysis]		article0
2014ECONOMETRIC ANALYSIS OF CONTINUOUS TIME MODELS: A SURVEY OF PETER PHILLIPS’S WORK AND SOME NEW RESULTS In: Econometric Theory.
[Full Text][Citation analysis]		article1
2019ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL In: Econometric Theory.
[Full Text][Citation analysis]		article0
2017Asymptotic Theory for Estimating Drift Parameters in the Fractional Vasicek Model.(2017) In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2001Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper4
2005A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper5
2006Indirect Inference for Dynamic Panel Models In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper44
2006Indirect Inference for Dynamic Panel Models.(2006) In: Development Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 44		paper
2010Indirect inference for dynamic panel models.(2010) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 44		article
2007Simulation-based Estimation of Contingent-claims Prices In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper8
2008Simulation-based Estimation of Contingent-claims Prices.(2008) In: Finance Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		paper
2009Simulation-Based Estimation of Contingent-Claims Prices.(2009) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		article
2007Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
2006Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance.(2006) In: Development Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2009Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper283
2009Explosive Behavior in the 1990s Nasdaq : When Did Exuberance Escalate Asset Values?.(2009) In: Finance Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 283		paper
2007Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 283		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: 283		article
2009Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?.(2009) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 283		paper
2010Dating the Timeline of Financial Bubbles during the Subprime Crisis In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper194
2009Dating the Timeline of Financial Bubbles During the Subprime Crisis.(2009) In: Finance Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 194		paper
2011Dating the timeline of financial bubbles during the subprime crisis.(2011) In: Quantitative Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 194		article
2009Dating the Timeline of Financial Bubbles During the Subprime Crisis.(2009) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 194		paper
2011Bias in Estimating Multivariate and Univariate Diffusions In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper7
2011Bias in estimating multivariate and univariate diffusions.(2011) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		article
2012Testing for Multiple Bubbles In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper34
2011Testing for Multiple Bubbles.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 34		paper
2012Testing for Multiple Bubbles.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 34		paper
2013Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500 In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper139
2013Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 139		paper
2015TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500.(2015) In: International Economic Review.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 139		article
2013Testing for Multiple Bubbles: Limit Theory of Real Time Detectors In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper57
2013Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 57		paper
2015TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL‐TIME DETECTORS.(2015) In: International Economic Review.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 57		article
2014A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
2014A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market.(2014) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2017Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper4
2019Random coefficient continuous systems: Testing for extreme sample path behavior.(2019) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		article
2017Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour.(2017) In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		paper
2005Comments on “A selective overview of nonparametric methods in financial econometrics†In: Finance Working Papers.
[Full Text][Citation analysis]		paper2
2005Comment on “Realized Variance and Market Microstructure Noise†by Peter R. Hansen and Asger Lunde In: Finance Working Papers.
[Full Text][Citation analysis]		paper0
2009Forecasting Realized Volatility Using A Nonnegative Semiparametric Model In: Finance Working Papers.
[Full Text][Citation analysis]		paper2
2019Forecasting Realized Volatility Using a Nonnegative Semiparametric Model.(2019) In: Journal of Risk and Financial Management.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		article
2009Forecasting Realized Volatility Using A Nonnegative Semiparametric Model.(2009) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2009Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises In: Finance Working Papers.
[Full Text][Citation analysis]		paper14
2010Bayesian analysis of structural credit risk models with microstructure noises.(2010) In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14		article
2006A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete In: Macroeconomics Working Papers.
[Full Text][Citation analysis]		paper0
2006Multivariate Stochastic Volatility In: Microeconomics Working Papers.
[Full Text][Citation analysis]		paper79
2009Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models In: Microeconomics Working Papers.
[Full Text][Citation analysis]		paper11
2012Bias in the estimation of the mean reversion parameter in continuous time models.(2012) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		article
2009Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models.(2009) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		paper
2009Econometric Analysis of Continuous Time Models : A Survey of Peter Phillips’ Work and Some New Results In: Microeconomics Working Papers.
[Full Text][Citation analysis]		paper0
2004On leverage in a stochastic volatility model In: Econometric Society 2004 Far Eastern Meetings.
[Citation analysis]		paper150
2004On Leverage in a Stochastic Volatility Model.(2004) In: Econometric Society 2004 Far Eastern Meetings.
[Citation analysis]
This paper has another version. Agregated cites: 150		paper
2005On leverage in a stochastic volatility model.(2005) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 150		article
2004On Leverage in a Stochastic Volatility Model.(2004) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 150		paper
2001A Gaussian approach for continuous time models of the short-term interest rate In: Econometrics Journal.
[Citation analysis]		article16
2013Detecting bubbles in Hong Kong residential property market In: Journal of Asian Economics.
[Full Text][Citation analysis]		article52
2012Detecting Bubbles in Hong Kong Residential Property Market.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 52		paper
2006A class of nonlinear stochastic volatility models and its implications for pricing currency options In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article23
2002A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options.(2002) In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23		paper
2014A flexible and automated likelihood based framework for inference in stochastic volatility models In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article1
2015Limit theory for an explosive autoregressive process In: Economics Letters.
[Full Text][Citation analysis]		article10
2013Limit Theory for an Explosive Autoregressive Process.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10		paper
2015Asymptotic theory for linear diffusions under alternative sampling schemes In: Economics Letters.
[Full Text][Citation analysis]		article2
2015Bias in the estimation of mean reversion in continuous-time Lévy processes In: Economics Letters.
[Full Text][Citation analysis]		article0
2019Asymptotic theory for rough fractional Vasicek models In: Economics Letters.
[Full Text][Citation analysis]		article0
2018Asymptotic Theory for Rough Fractional Vasicek Models.(2018) In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2009A two-stage realized volatility approach to estimation of diffusion processes with discrete data In: Journal of Econometrics.
[Full Text][Citation analysis]		article7
2012Bayesian hypothesis testing in latent variable models In: Journal of Econometrics.
[Full Text][Citation analysis]		article14
2011Bayesian Hypothesis Testing in Latent Variable Models.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14		paper
2012A semiparametric stochastic volatility model In: Journal of Econometrics.
[Full Text][Citation analysis]		article19
2014A new approach to Bayesian hypothesis testing In: Journal of Econometrics.
[Full Text][Citation analysis]		article6
2014Maximum likelihood estimation of partially observed diffusion models In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
2015A Bayesian chi-squared test for hypothesis testing In: Journal of Econometrics.
[Full Text][Citation analysis]		article5
2014A Bayesian Chi-Squared Test for Hypothesis Testing.(2014) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		paper
2016Double asymptotics for explosive continuous time models In: Journal of Econometrics.
[Full Text][Citation analysis]		article3
2011Double Asymptotics for an Explosive Continuous Time Model.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
2012Double Asymptotics for Explosive Continuous Time Models.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
2017Inference in continuous systems with mildly explosive regressors In: Journal of Econometrics.
[Full Text][Citation analysis]		article3
2018New distribution theory for the estimation of structural break point in mean In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
2018Specification tests based on MCMC output In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
2017A Specification Test based on the MCMC Output.(2017) In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2007Temporal aggregation and risk-return relation In: Finance Research Letters.
[Full Text][Citation analysis]		article0
2006Temporal Aggregation and Risk-Return Relation.(2006) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2015New methodology for constructing real estate price indices applied to the Singapore residential market In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article9
2015Optimal jackknife for unit root models In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article3
2014Deviance Information Criterion for Comparing VAR Models In: Advances in Econometrics.
[Full Text][Citation analysis]		chapter0
2014Deviance Information Criterion for Comparing VAR Models.(2014) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2017Bayesian Analysis of Bubbles in Asset Prices In: Econometrics.
[Full Text][Citation analysis]		article2
2014Bayesian Analysis of Bubbles in Asset Prices.(2014) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2011Specification Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles In: Working Papers.
[Full Text][Citation analysis]		paper3
2011Speci fication Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
2012Investigating Impacts of Self-Exciting Jumps in Returns and Volatility: A Bayesian Learning Approach In: Global COE Hi-Stat Discussion Paper Series.
[Full Text][Citation analysis]		paper0
2015Self-Exciting Jumps, Learning, and Asset Pricing Implications In: Review of Financial Studies.
[Full Text][Citation analysis]		article9
2016Model Selection for Explosive Models In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]		paper0
2016Asymptotic Theory for Estimating the Persistent Parameter in the Fractional Vasicek Model In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]		paper0
2016Shrinkage Estimation of Covariance Matrix for Portfolio Choice with High Frequency Data In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]		paper0
2017Deviance Information Criterion for Bayesian Model Selection: Justification and Variation In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]		paper0
2017In-fill Asymptotic Theory for Structural Break Point in Autoregression: A Unified Theory In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]		paper1
2017Bubble Testing under Deterministic Trends In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]		paper0
2018Integrated Deviance Information Criterion for Latent Variable Models In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]		paper0
2018A Posterior-Based Wald-Type Statistic for Hypothesis Testing In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]		paper0
2018The Grid Bootstrap for Continuous Time Models In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]		paper0
2018Mild-explosive and Local-to-mild-explosive Autoregressions with Serially Correlated Errors In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]		paper0
2019Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]		paper0
2019Maximum Likelihood Estimation for the Fractional Vasicek Model In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]		paper0
2019Housing Equity and Household Consumption in Retirement: Evidence from the Singapore Life Panel In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]		paper0
2019A Quantile-based Asset Pricing Model In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]		paper0
2019Improved Marginal Likelihood Estimation via Power Posteriors and Importance Sampling In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]		paper0
2020Local Powers of Least-Squares-Based Test for Panel Fractional Ornstein-Uhlenbeck Process In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]		paper0
2016New Distribution Theory for the Estimation of Structural Break Point in Mean In: Working Papers.
[Full Text][Citation analysis]		paper2
2013Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Lévy Processes In: Working Papers.
[Full Text][Citation analysis]		paper1
2012Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility In: Working Papers.
[Full Text][Citation analysis]		paper2
2015Limit Theory for Continuous Time Systems with Mildly Explosive Regressors In: Working Papers.
[Full Text][Citation analysis]		paper0
2005Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan In: Working Papers.
[Full Text][Citation analysis]		paper2
2011Simulated Maximum Likelihood Estimation for Latent Diffusion Models In: Working Papers.
[Full Text][Citation analysis]		paper0
2012Simulated Maximum Likelihood Estimation for Latent Diffusion Models.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2012Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes In: Working Papers.
[Full Text][Citation analysis]		paper2
2010Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2011Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models In: Working Papers.
[Full Text][Citation analysis]		paper1
2012Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2005Comment on “Realized Variance and Market Microstructure Noise” by Peter R. Hansen and Asger Lunde In: Working Papers.
[Full Text][Citation analysis]		paper0
2010Estimating the GARCH Diffusion: Simulated Maximum Likelihood in Continuous Time In: Working Papers.
[Full Text][Citation analysis]		paper1
2012A New Bayesian Unit Root Test in Stochastic Volatility Models In: Working Papers.
[Full Text][Citation analysis]		paper2
2010A New Bayesian Unit Root Test in Stochastic Volatility Models.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2009Automated Likelihood Based Inference for Stochastic Volatility Models In: Working Papers.
[Full Text][Citation analysis]		paper1
2010A Conversation with Eric Ghysels Co-President of the Society for Financial Econometrics In: Working Papers.
[Full Text][Citation analysis]		paper0
2010Measurement and High Finance In: Working Papers.
[Full Text][Citation analysis]		paper0
2010Corrigendum to “A Gaussian Approach for Continuous Time Models of the Short Term Interest Rate In: Working Papers.
[Full Text][Citation analysis]		paper0
2010Simulation-based Estimation Methods for Financial Time Series Models In: Working Papers.
[Full Text][Citation analysis]		paper0
2009Stimulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models In: Working Papers.
[Full Text][Citation analysis]		paper0
2009Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips Work and Some New Results In: Working Papers.
[Full Text][Citation analysis]		paper0
2014On Bias in the Estimation of Structural Break Points In: Working Papers.
[Full Text][Citation analysis]		paper0
2004Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison In: Working Papers.
[Full Text][Citation analysis]		paper52
2006Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison.(2006) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 52		article
2004Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility In: Working Papers.
[Full Text][Citation analysis]		paper3
2012Robust Deviance Information Criterion for Latent Variable Models In: Working Papers.
[Full Text][Citation analysis]		paper10
2004Empirical Characteristic Function Estimation and Its Applications In: Econometric Reviews.
[Full Text][Citation analysis]		article38
2006Multivariate Stochastic Volatility: A Review In: Econometric Reviews.
[Full Text][Citation analysis]		article186
1999Testing the expectations theory of the term structure for New Zealand In: New Zealand Economic Papers.
[Full Text][Citation analysis]		article6
2004Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method In: Quantitative Finance.
[Full Text][Citation analysis]		article14
2015Editorial In: Spatial Economic Analysis.
[Full Text][Citation analysis]		article0
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.
[Full Text][Citation analysis]		article0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated May, 3 2020. Contact: CitEc Team