Jun Yu : Citation Profile


Are you Jun Yu?

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

17

H index

25

i10 index

1305

Citations

RESEARCH PRODUCTION:

49

Articles

114

Papers

1

Chapters

RESEARCH ACTIVITY:

   19 years (1999 - 2018). See details.
   Cites by year: 68
   Journals where Jun Yu has often published
   Relations with other researchers
   Recent citing documents: 172.    Total self citations: 81 (5.84 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pyu5
   Updated: 2018-11-17    RAS profile: 2018-11-08    
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Relations with other researchers


Works with:

Phillips, Peter (14)

Shi, Shuping (5)

Li, Yong (4)

Bao, Yong (2)

Tao, Yubo (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 (52)

Phillips, Peter (44)

Asai, Manabu (39)

GUPTA, RANGAN (37)

Omori, Yasuhiro (25)

Ruiz, Esther (24)

Veiga, Helena (22)

Gomez-Gonzalez, Jose (20)

Shi, Shuping (19)

King, Maxwell (19)

Zhang, Xibin (19)

Cites to:

Phillips, Peter (124)

Shephard, Neil (56)

Ait-Sahalia, Yacine (40)

Andersen, Torben (32)

Bollerslev, Tim (31)

Shiller, Robert (25)

Barndorff-Nielsen, Ole (24)

Campbell, John (23)

Rossi, Peter (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
Review of Financial Studies3
Economics Letters3
Annals of Economics and Finance2
Econometrics Journal2
Journal of Business & Economic Statistics2
International Economic Review2
Computational Statistics & Data Analysis2

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 Economics12
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
Development Economics Working Papers / East Asian Bureau of Economic Research2
Econometric Society 2004 Far Eastern Meetings / Econometric Society2
Working Papers / Hong Kong Institute for Monetary 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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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.

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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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2017Portfolio optimization using dynamic factor and stochastic volatility: evidence on Fat-tailed errors and leverage. (2017). Omori, Yasuhiro ; Ishihara, Tsunehiro . 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). Joyeux, Roselyne ; girardin, eric ; Deng, Yongheng ; Shi, Shuping. 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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2018When the market drives you crazy: Stock market returns and fatal car accidents. (2018). Tonin, Mirco ; Giulietti, Corrado ; Vlassopoulos, Michael. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps52.

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

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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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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). 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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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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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). Joyeux, Roselyne ; Deng, Yongheng ; 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). faff, robert ; Benson, Karen ; Mi, Lin. In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:438-446.

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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.

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

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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.

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

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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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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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2018The maple bubble: A history of migration among Canadian provinces. (2018). Gomez-Gonzalez, Jose ; Sanin-Restrepo, Sebastian. In: Journal of Housing Economics. RePEc:eee:jhouse:v:41:y:2018:i:c:p:57-71.

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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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2018An empirical application of a stochastic volatility model with GH skew Students t-distribution to the volatility of Latin-American stock returns. (2018). Rodríguez, Gabriel ; Rodriguez, Gabriel ; Lafosse, Patricia Lengua. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:69:y:2018:i:c:p:155-173.

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2018Using Market BuVaR as countercyclical Value at Risk approach to account for the risks of stock market crashes. (2018). Riedle, Thorsten. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:69:y:2018:i:c:p:308-321.

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2018The impact of the cost of car ownership on the house price gradient in Singapore. (2018). Ross, Amanda ; Li, Jing ; Huang, Naqun. 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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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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2018Detecting Periods of Exuberance: A Look at the Role of Aggregation with an Application to House Prices. (2018). Pavlidis, Efthymios ; Martínez García, Enrique ; Grossman, Valerie ; Martinez-Garcia, Enrique. In: Globalization and Monetary Policy Institute Working Paper. RePEc:fip:feddgw:325.

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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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paper39
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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paper32
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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paper42
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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paper27
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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article52
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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article15
2014Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour In: Oxford Bulletin of Economics and Statistics.
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article35
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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2009Information Loss in Volatility Measurement with Flat Price Trading.(2009) In: Global COE Hi-Stat Discussion Paper Series.
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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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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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paper6
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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2009Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? In: Cowles Foundation Discussion Papers.
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paper208
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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This paper has another version. Agregated cites: 208
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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paper163
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: 163
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: 163
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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paper32
2011Testing for Multiple Bubbles.(2011) In: Working Papers.
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paper
2012Testing for Multiple Bubbles.(2012) In: Working Papers.
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This paper has another version. Agregated cites: 32
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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paper91
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: 91
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: 91
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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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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paper13
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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paper75
2009Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models In: Microeconomics Working Papers.
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2012Bias in the estimation of the mean reversion parameter in continuous time models.(2012) In: Journal of Econometrics.
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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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paper135
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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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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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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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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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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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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2016Model Selection for Explosive Models In: Economics and Statistics Working Papers.
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paper0
2016Asymptotic Theory for Estimating the Persistent Parameter in the Fractional Vasicek Model In: Economics and Statistics Working Papers.
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2016Shrinkage Estimation of Covariance Matrix for Portfolio Choice with High Frequency Data In: Economics and Statistics Working Papers.
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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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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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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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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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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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2015Limit Theory for Continuous Time Systems with Mildly Explosive Regressors In: Working Papers.
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2005Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan In: Working Papers.
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2011Simulated Maximum Likelihood Estimation for Latent Diffusion Models In: Working Papers.
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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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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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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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