Jun Yu : Citation Profile

Are you Jun Yu?

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

20

H index

31

i10 index

2066

Citations

RESEARCH PRODUCTION:

58

Articles

127

Papers

2

Chapters

RESEARCH ACTIVITY:

   21 years (1999 - 2020). See details.
   Cites by year: 98
   Journals where Jun Yu has often published
   Relations with other researchers
   Recent citing documents: 120.    Total self citations: 90 (4.17 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pyu5
   Updated: 2021-01-23    RAS profile: 2021-01-20    
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Relations with other researchers

Works with:

Tao, Yubo (4)

Phillips, Peter (4)

Qiu, Yue (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 (135)

Asai, Manabu (103)

Phillips, Peter (63)

Omori, Yasuhiro (53)

Shi, Shuping (44)

Caporin, Massimiliano (43)

GUPTA, RANGAN (38)

Veiga, Helena (31)

Ruiz, Esther (30)

Medeiros, Marcelo (29)

Caspi, Itamar (24)

Cites to:

Phillips, Peter (131)

Shephard, Neil (80)

Ait-Sahalia, Yacine (40)

Andersen, Torben (34)

Bollerslev, Tim (31)

Shiller, Robert (25)

Campbell, John (23)

Barndorff-Nielsen, Ole (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 Econometrics16
Economics Letters4
Econometric Theory4
Review of Financial Studies3
Annals of Economics and Finance3
Econometric Reviews3
Computational Statistics & Data Analysis2
Journal of Business & Economic Statistics2
Econometrics2
Econometrics Journal2
International Economic Review2

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 Economics25
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
Econometric Society 2004 Far Eastern Meetings / Econometric Society2
Development Economics Working Papers / East Asian Bureau of Economic Research2
Working Papers / Hong Kong Institute for Monetary Research2

Recent works citing Jun Yu (2021 and 2020)

YearTitle of citing document
2020Estimation of Structural Break Point in Linear Regression Models. (2019). Baek, Yaein. In: Papers. RePEc:arx:papers:1811.03720.

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2020Factor Investing: Hierarchical Ensemble Learning. (2019). Feng, Guanhao ; He, Jingyu. In: Papers. RePEc:arx:papers:1902.01015.

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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.

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2020Stochastic leverage effect in high-frequency data: a Fourier based analysis. (2019). Sanfelici, Simona ; Curato, Imma Valentina. In: Papers. RePEc:arx:papers:1910.06660.

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

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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.

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2021Cryptocurrency 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.

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2020Pricing Energy Contracts under Regime Switching Time-Changed models. (2020). Olivares, Pablo ; Ferrando, Sebastian ; Gajewski, Konrad. In: Papers. RePEc:arx:papers:2005.14361.

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2020Testing Finite Moment Conditions for the Consistency and the Root-N Asymptotic Normality of the GMM and M Estimators. (2020). Wang, Yulong ; Sasaki, Yuya. In: Papers. RePEc:arx:papers:2006.02541.

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2020Measures of Model Risk in Continuous-time Finance Models. (2020). Qi, Shuyuan ; Lazar, Emese ; Tunaru, Radu. In: Papers. RePEc:arx:papers:2010.08113.

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2020Dynamic factor, leverage and realized covariances in multivariate stochastic volatility. (2020). Omori, Yasuhiro ; Yamauchi, Yuta. In: Papers. RePEc:arx:papers:2011.06909.

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2020Time-Transformed Test for the Explosive Bubbles under Non-stationary Volatility. (2020). Skrobotov, Anton ; Kurozumi, Eiji ; Tsarev, Alexey. In: Papers. RePEc:arx:papers:2012.13937.

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2020TO LEAN OR NOT TO LEAN AGAINST AN ASSET PRICE BUBBLE? EMPIRICAL EVIDENCE. (2020). Malliaris, Anastasios ; Evgenidis, Anastasios. In: Economic Inquiry. RePEc:bla:ecinqu:v:58:y:2020:i:4:p:1958-1976.

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2020Robust estimation of stationary continuous‐time arma models via indirect inference. (2020). Kimmig, Sebastian ; Fasenhartmann, Vicky. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:5:p:620-651.

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2020An autoregressive model based on the generalized hyperbolic distribution. (2020). Karttunen, Henri. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:47:y:2020:i:3:p:787-816.

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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.

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

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2020The International Spread of COVID-19 Stock Market Collapses. (2020). de Pace, Pierangelo ; DePace, Pierangelo ; Contessi, Silvio. In: Economics Department, Working Paper Series. RePEc:clm:pomwps:1013.

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2020Diagnosing Housing Fever with an Econometric Thermometer. (2020). Phillips, Peter ; Shi, Shuping. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2248.

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2020Common Bubble Detection in Large Dimensional Financial Systems. (2020). Phillips, Peter ; Shi, Shuping ; Chen, YE. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2251.

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2020Date-stamping the Tadawul bubble through the SADF and GSADF econometric approaches. (2020). Cruz Rambaud, Salvador ; Cruz-Rambaud, Salvador ; Martin-Cervantes, Pedro Antonio. In: Economics Bulletin. RePEc:ebl:ecbull:eb-20-00061.

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2020Horizon-unbiased investment with ambiguity. (2020). Zhou, Chao ; Sun, Xianming ; Lin, Qian. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:114:y:2020:i:c:s0165188920300646.

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2020Volatility transmission between oil prices and banks stock prices as a new source of instability: Lessons from the United States experience. (2020). Ehouman, Yao Axel. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:198-217.

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2021Price explosiveness in nonferrous metal futures markets. (2021). Xiong, Tao ; Ma, Richie Ruchuan. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:75-90.

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2021Identifying bubbles and the contagion effect between oil and stock markets: New evidence from China. (2021). Wen, Huwei ; Zhao, Zhao ; Li, KE. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:780-788.

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2020Empirical evidence of extreme dependence and contagion risk between main cryptocurrencies. (2020). Tiwari, Aviral ; Albulescu, Claudiu ; Wohar, Mark E ; Adewuyi, Adeolu O. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818305497.

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2020Impact of volatility jumps in a mean-reverting model: Derivative pricing and empirical evidence. (2020). Chen, Ting-Fu ; Chiu, Hsin-Yu . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819300026.

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2020Leverage effect on stochastic volatility for option pricing in Hong Kong: A simulation and empirical study. (2020). Bian, Zhicun ; Hong, Hui ; Chen, Naiwei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818303565.

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2020Bubble regime identification in an attention-based model for Bitcoin and Ethereum price dynamics. (2020). Figa-Talamanca, Gianna ; Cretarola, Alessandra. In: Economics Letters. RePEc:eee:ecolet:v:191:y:2020:i:c:s0165176519304203.

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

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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.

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2020Dynamic conditional angular correlation. (2020). Chan, Kung-Sik ; Jarjour, Riad. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:137-150.

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2020Asymptotic theory for near integrated processes driven by tempered linear processes. (2020). Phillips, Peter ; Sabzikar, Farzad ; Wang, Qiying. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:192-202.

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2020Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals. (2020). Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:4-34.

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2020Volatility estimation and jump detection for drift–diffusion processes. (2020). Shi, Shuping ; Laurent, Sebastien. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:259-290.

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2020Statistical inferences for price staleness. (2020). Pirino, Davide ; Livieri, Giulia ; Kolokolov, Aleksey. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:1:p:32-81.

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2020Monte Carlo two-stage indirect inference (2SIF) for autoregressive panels. (2020). Saunders, Charles J ; Khalaf, Lynda. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:419-434.

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2020Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects. (2020). Luger, Richard ; Gungor, Sermin. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:750-770.

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2020Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root. (2020). Tu, Yundong ; Lin, Yingqian. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:1:p:52-65.

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2020Multiple-block dynamic equicorrelations with realized measures, leverage and endogeneity. (2020). Omori, Yasuhiro ; Kurose, Yuta. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:46-68.

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2020Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation. (2020). Veiga, Helena ; Ruiz, Esther ; Czellar, Veronika ; Mao, Xiuping. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:84-105.

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2020On generalized bivariate student-t Gegenbauer long memory stochastic volatility models with leverage: Bayesian forecasting of cryptocurrencies with a focus on Bitcoin. (2020). Peiris, Shelton ; Chan, Jennifer ; Phillip, Andrew. In: Econometrics and Statistics. RePEc:eee:ecosta:v:16:y:2020:i:c:p:69-90.

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2020Mildly explosive dynamics in U.S. fixed income markets. (2020). Guidolin, Massimo ; De Pace, Pierangelo ; DePace, Pierangelo ; Contessi, Silvio. In: European Journal of Operational Research. RePEc:eee:ejores:v:287:y:2020:i:2:p:712-724.

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2020Testing for explosive bubbles in the presence of autocorrelated innovations. (2020). Montes, Erik Christian ; Pedersen, Thomas Quistgaard . In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:207-225.

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2020Date-stamping multiple bubble regimes. (2020). Whitehouse, Emily ; Leybourne, Stephen J ; Harvey, David I. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:226-246.

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2020The time-varying asymmetry of exchange rate returns: A stochastic volatility – stochastic skewness model. (2020). Iseringhausen, Martin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:275-292.

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2020Time-varying persistence in real oil prices and its determinant. (2020). Wegener, Christoph ; Kruse, Robinson. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319300805.

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2020Mild explosivity in recent crude oil prices. (2020). Paraskevopoulos, Ioannis ; McCrorie, Roderick J ; Figuerola-Ferretti, Isabel. In: Energy Economics. RePEc:eee:eneeco:v:87:y:2020:i:c:s0140988319301471.

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2020Identifying price bubbles in the US, European and Asian natural gas market: Evidence from a GSADF test approach. (2020). Chevallier, Julien ; Wei, Yigang. In: Energy Economics. RePEc:eee:eneeco:v:87:y:2020:i:c:s0140988320300797.

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2020Relationship between green bonds and financial and environmental variables: A novel time-varying causality. (2020). Mokni, Khaled ; Ajmi, Ahdi Noomen ; Hammoudeh, Shawkat. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320302814.

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2020Copula stochastic volatility in oil returns: Approximate Bayesian computation with volatility prediction. (2020). Ausin, Concepcion M ; Virbickait, Audron ; Galeano, Pedro. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320303017.

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2020Chinese renewable energy industries’ boom and recession: Evidence from bubble detection procedure. (2020). Su, Chi-Wei ; Wang, Kai-Hua ; Moldovan, Nicoleta-Claudia ; Lobon, Oana-Ramona. In: Energy Policy. RePEc:eee:enepol:v:138:y:2020:i:c:s0301421519307852.

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2020Heterogeneous dependence between crude oil price volatility and China’s agriculture commodity futures: Evidence from quantile-on-quantile regression. (2020). Zhu, Huiming ; Hau, Liya ; Ma, Xiang ; Huang, Rui. In: Energy. RePEc:eee:energy:v:213:y:2020:i:c:s0360544220318880.

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2020Asymmetric mean reversion of Bitcoin price returns. (2020). Corbet, Shaen ; Katsiampa, Paraskevi. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521918306136.

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2020Measuring quantile dependence and testing directional predictability between Bitcoin, altcoins and traditional financial assets. (2020). Corbet, Shaen ; Marco, Chi Keung ; Katsiampa, Paraskevi. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920302155.

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2020What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective?. (2020). Oxley, Les ; Hu, Yang ; Hou, Yang Greg. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302131.

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2020Forecasting volatility using realized stochastic volatility model with time-varying leverage effect. (2020). Wang, Xiaona ; Wu, Xinyu. In: Finance Research Letters. RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319305021.

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2020Do FOMC and macroeconomic announcements affect Bitcoin prices?. (2020). Lee, Jae Wook ; Pyo, Sujin. In: Finance Research Letters. RePEc:eee:finlet:v:37:y:2020:i:c:s154461231930159x.

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2020Cryptocurrency reaction to FOMC Announcements: Evidence of heterogeneity based on blockchain stack position. (2020). lucey, brian ; Corbet, Shaen ; Meegan, Andrew ; Larkin, Charles ; Yarovaya, Larisa. In: Journal of Financial Stability. RePEc:eee:finsta:v:46:y:2020:i:c:s1572308919306576.

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2020Fishing for fools. (2020). Szeidl, Adam ; Malmendier, Ulrike. In: Games and Economic Behavior. RePEc:eee:gamebe:v:122:y:2020:i:c:p:105-129.

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2020Realized volatility forecast with the Bayesian random compressed multivariate HAR model. (2020). Chen, Langnan ; Luo, Jiawen. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:781-799.

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2020A Model Confidence Set approach to the combination of multivariate volatility forecasts. (2020). Amendola, Alessandra ; Storti, Giuseppe ; Candila, Vincenzo ; Braione, Manuela. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:873-891.

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2020Forecasting volatility with time-varying leverage and volatility of volatility effects. (2020). Proietti, Tommaso ; Catania, Leopoldo. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:4:p:1301-1317.

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2021Uncertainty of M&As under asymmetric estimation. (2021). Kanungo, Rama Prasad. In: Journal of Business Research. RePEc:eee:jbrese:v:122:y:2021:i:c:p:774-793.

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2020Understanding risk of bubbles in cryptocurrencies. (2020). Molnár, Peter ; Molnar, P ; Luivjanska, K ; Landsnes, Ch J ; Enoksen, F A. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:176:y:2020:i:c:p:129-144.

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2020When the market drives you crazy: Stock market returns and fatal car accidents. (2020). Vlassopoulos, Michael ; Tonin, Mirco ; Giulietti, Corrado. In: Journal of Health Economics. RePEc:eee:jhecon:v:70:y:2020:i:c:s0167629619301237.

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2020House price index based on online listing information: The case of China. (2020). Li, Keyang ; Wang, Xiaodan ; Wu, Jing. In: Journal of Housing Economics. RePEc:eee:jhouse:v:50:y:2020:i:c:s1051137720300516.

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2020Explosive dynamics in house prices? An exploration of financial market spillovers in housing markets around the world. (2020). Martínez García, Enrique ; Grossman, Valerie ; Martinez-Garcia, Enrique. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:101:y:2020:i:c:s0261560618305813.

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2020Speculative bubbles in segmented markets: Evidence from Chinese cross-listed stocks. (2020). Pavlidis, Efthymios ; Vasilopoulos, Kostas. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:109:y:2020:i:c:s0261560620301789.

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2020Bayesian sequential stock return prediction through copulas. (2020). Frey, Christoph ; Virbickait, Audron ; Macedo, Demian N. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:22:y:2020:i:c:s1703494920300207.

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2020Recurrent explosive public debts and the long-run fiscal sustainability. (2020). Bystrov, Victor ; Mackiewicz, Micha. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:42:y:2020:i:2:p:437-450.

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2020Testing for multiple bubbles in the copper price: Periodically collapsing behavior. (2020). Wang, Xiao-Qing ; Su, Chi-Wei ; Lobon, Oana-Ramona ; Moldovan, Nicoleta-Claudia ; Tao, Ran ; Zhu, Haotian. In: Resources Policy. RePEc:eee:jrpoli:v:65:y:2020:i:c:s0301420719301825.

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2020Stationarity of prices of precious and industrial metals using recent unit root methods: Implications for markets’ efficiency. (2020). Wahab, Bashir ; Adewuyi, Adeolu O ; Adeboye, Olusegun S. In: Resources Policy. RePEc:eee:jrpoli:v:65:y:2020:i:c:s0301420719305987.

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2020Is palladium price in bubble?. (2020). Koseolu, Sinem Derindere ; Khan, Khalid. In: Resources Policy. RePEc:eee:jrpoli:v:68:y:2020:i:c:s030142072030194x.

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2020Real estate bubbles in a bank-real estate loan network model integrating economic cycle and macro-prudential stress testing. (2020). Meng, YI ; Wang, Jining ; Li, Shouwei. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:542:y:2020:i:c:s0378437119314748.

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2020Disentangling bubbles in equity REITs. (2020). Soyeh, Kenneth W ; Kim, Dongshin ; Jafarinejad, Mohammad ; Huerta-Sanchez, Daniel. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:76:y:2020:i:c:p:357-367.

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2020A new mechanism for anticipating price exuberance. (2020). Moreira, Afonso M ; Martins, Luis F. In: International Review of Economics & Finance. RePEc:eee:reveco:v:65:y:2020:i:c:p:199-221.

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2020A systematic review of the bubble dynamics of cryptocurrency prices. (2020). Corbet, Shaen ; Kyriazis, Nikolaos ; Papadamou, Stephanos. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531919310037.

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2020Volatility estimation of general Gaussian Ornstein–Uhlenbeck process. (2020). Bajja, Salwa ; Yu, Qian. In: Statistics & Probability Letters. RePEc:eee:stapro:v:163:y:2020:i:c:s0167715220300997.

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2020The asymmetric effects of monetary policy on stock price bubbles. (2020). Labondance, Fabien ; Hubert, Paul ; Blot, Christophe. In: Documents de Travail de l'OFCE. RePEc:fce:doctra:2012.

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2020Simultaneous Indirect Inference, Impulse Responses and ARMA Models. (2020). Lopez, Beatriz Peraza ; Khalaf, Lynda. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:2:p:12-:d:340306.

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2020Bubbles in Crude Oil and Commodity Energy Index: New Evidence. (2020). Galyfianakis, Georgios ; Floros, Christos. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:24:p:6648-:d:463170.

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2021The Impact of Forecasting Jumps on Forecasting Electricity Prices. (2021). Kostrzewska, Jadwiga ; Kostrzewski, Maciej. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:2:p:336-:d:477466.

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2020Recent Advancements in Section “Economics and Finance”. (2020). Stengos, Thanasis. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:11:p:289-:d:448153.

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2020A Principal Component-Guided Sparse Regression Approach for the Determination of Bitcoin Returns. (2020). Stengos, Thanasis ; Panagiotidis, Theodore ; Vravosinos, Orestis. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:2:p:33-:d:319970.

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2020An Alternative Pricing System through Bayesian Estimates and Method of Moments in a Bonus-Malus Framework for the Ghanaian Auto Insurance Market. (2020). Wu, Zhao ; Jacob, Azaare. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:7:p:143-:d:380011.

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2020Stochastic Volatility and GARCH: Do Squared End-of-Day Returns Provide Similar Information?. (2020). Allen, David Edmund. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:9:p:202-:d:410152.

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2020Do We Need Stochastic Volatility and Generalised Autoregressive Conditional Heteroscedasticity? Comparing Squared End-Of-Day Returns on FTSE. (2020). McAleer, Michael ; Allen, David. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:1:p:12-:d:315296.

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2020Financial Bubbles: A Study of Co-Explosivity in the Cryptocurrency Market. (2020). Cafferata, Alessia ; Agosto, Arianna. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:2:p:34-:d:343546.

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2020Estimating Stochastic Volatility under the Assumption of Stochastic Volatility of Volatility. (2020). Gkillas, Konstantinos ; Floros, Christos ; Alghalith, Moawia. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:2:p:35-:d:344228.

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2020Effect of Variance Swap in Hedging Volatility Risk. (2020). Shen, Yang. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:3:p:70-:d:379043.

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2020A principal component-guided sparse regression approach for the determination of bitcoin returns. (2020). Stengos, Thanasis ; Panagiotidis, Theodore ; Vravosinos, Orestis. In: Working Papers. RePEc:gue:guelph:2020-01.

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2020Mildly Explosive Dynamics in U.S. Fixed Income Markets. (2020). Guidolin, Massimo ; de Pace, Pierangelo ; DePace, Pierangelo ; Contessi, Silvio. In: Working Papers. RePEc:igi:igierp:667.

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2020Monitoring Cointegrating Polynomial Regressions: Theory and Application to the Environmental Kuznets Curves for Carbon and Sulfur Dioxide Emissions. (2020). Wagner, Martin ; Knorre, Fabian ; Grupe, Maximilian. In: IHS Working Paper Series. RePEc:ihs:ihswps:27.

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2020A New Robust Inference for Asset Return Predictability Via Quantile Regression. (2020). Liao, Xiaosai ; Chen, Haiqiang ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202002.

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2020Asian options pricing in Hawkes-type jump-diffusion models. (2020). Sgarra, Carlo ; Brignone, Riccardo. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:1:d:10.1007_s10436-019-00352-1.

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2020A Testing Procedure for Constant Parameters in Stochastic Volatility Models. (2020). Hoyo, Juan ; Rivero, Carlos ; Llorente, Guillermo. In: Computational Economics. RePEc:kap:compec:v:56:y:2020:i:1:d:10.1007_s10614-019-09892-0.

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2020Public finances in the EU-27: Are they sustainable?. (2020). Cuestas, Juan ; Sauci, Laura ; Gil-Alana, Luis A. In: Empirica. RePEc:kap:empiri:v:47:y:2020:i:1:d:10.1007_s10663-018-9411-0.

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2020Health expenditure, longevity, and child mortality: dynamic panel data approach with global data. (2020). Linden, Mikael ; Ray, Devdatta . In: International Journal of Health Economics and Management. RePEc:kap:ijhcfe:v:20:y:2020:i:1:d:10.1007_s10754-019-09272-z.

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2020Detecting Bubbles in the US and UK Real Estate Markets. (2020). Tunaru, Radu S ; Panopoulou, Ekaterini ; Kynigakis, Iason ; Fabozzi, Frank J. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:60:y:2020:i:4:d:10.1007_s11146-018-9693-9.

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2020Triple Regime Stochastic Volatility Model with Threshold and Leverage Effects. (2020). Lee, Eunhee ; Han, Heejoon. In: Korean Economic Review. RePEc:kea:keappr:ker-20200701-36-2-07.

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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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2002MCMC Methods for Estimating Stochastic Volatility Models with Liverage Effects: Comments on Jacquier, Polson and Rossi (2002) In: Working Papers.
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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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1999Estimation of a Self-Exciting Poisson Jump Diffusion Model by the Empirical Characteristic Function Method In: Working Papers.
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1999Forecasting Volatility in the New Zealand Stock Market In: Working Papers.
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2002Forecasting volatility in the New Zealand stock market.(2002) In: Applied Financial Economics.
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2002Deviance Information Criterion as a Model Comparison Criterion for Stochastic Volatility Models In: Working Papers.
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2002Estimation of Hyperbolic Diffusion using MCMC Method In: Working Papers.
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2002Estimation of Hyperbolic Diffusion Using MCMC Method.(2002) In: Monash Econometrics and Business Statistics Working Papers.
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2002Jacknifing Bond Option Prices In: Working Papers.
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2003Jackknifing Bond Option Prices.(2003) In: Cowles Foundation Discussion Papers.
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2004Jackknifing Bond Option Prices.(2004) In: Econometric Society 2004 North American Winter Meetings.
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2005Jackknifing Bond Option Prices.(2005) In: Review of Financial Studies.
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1999A Test Statistic and Its Application in Modelling Daily Stock Returns In: Working Papers.
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2002A Class of Nonlinear Stochastic Volatility Models In: Working Papers.
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1999Efficient Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method In: Working Papers.
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2000BUGS for a Bayesian Analysis of Stochastic Volatility Models In: Working Papers.
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2000BUGS for a Bayesian analysis of stochastic volatility models.(2000) In: Econometrics Journal.
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2001Forecasting Volatility:Evidence from the German Stock Market In: Working Papers.
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1999Empirical Characteristic Function in Time Series Estimation In: Working Papers.
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2002EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION.(2002) In: Econometric Theory.
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1999Do Topics Diffuse from Core to Periphery Journals? In: Working Papers.
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2004Deviance Information Criterion for Comparing Stochastic Volatility Models. In: Journal of Business & Economic Statistics.
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2006Comment In: Journal of Business & Economic Statistics.
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2002Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method In: Australian & New Zealand Journal of Statistics.
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2014Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour In: Oxford Bulletin of Economics and Statistics.
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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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2012Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior.(2012) In: Working Papers.
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2007Information Loss in Volatility Measurement with Flat Price Trading In: Levine's Bibliography.
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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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2007Realized Daily Variance of S&P 500 Cash Index: A Revaluation of Stylized Facts In: Annals of Economics and Finance.
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2019An Improved Bayesian Unit Root Test in Stochastic Volatility Models In: Annals of Economics and Finance.
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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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2019ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL In: Econometric Theory.
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2017Asymptotic Theory for Estimating Drift Parameters in the Fractional Vasicek Model.(2017) In: Economics and Statistics 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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2005A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations In: Cowles Foundation Discussion Papers.
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2006Indirect Inference for Dynamic Panel Models In: Cowles Foundation Discussion Papers.
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2006Indirect Inference for Dynamic Panel Models.(2006) In: Development Economics Working Papers.
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2010Indirect inference for dynamic panel models.(2010) In: Journal of Econometrics.
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2007Simulation-based Estimation of Contingent-claims Prices In: Cowles Foundation Discussion Papers.
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2008Simulation-based Estimation of Contingent-claims Prices.(2008) In: Finance Working Papers.
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2009Simulation-Based Estimation of Contingent-Claims Prices.(2009) In: Review of Financial Studies.
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2007Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance In: Cowles Foundation Discussion Papers.
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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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2009Explosive Behavior in the 1990s Nasdaq : When Did Exuberance Escalate Asset Values?.(2009) In: Finance Working Papers.
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2007Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?.(2007) In: Working Papers.
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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: 321		article
2009Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?.(2009) In: Working Papers.
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2010Dating the Timeline of Financial Bubbles during the Subprime Crisis In: Cowles Foundation Discussion Papers.
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2009Dating the Timeline of Financial Bubbles During the Subprime Crisis.(2009) In: Finance Working Papers.
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2011Dating the timeline of financial bubbles during the subprime crisis.(2011) In: Quantitative Economics.
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2009Dating the Timeline of Financial Bubbles During the Subprime Crisis.(2009) In: Working Papers.
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2011Bias in Estimating Multivariate and Univariate Diffusions In: Cowles Foundation Discussion Papers.
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2011Bias in estimating multivariate and univariate diffusions.(2011) In: Journal of Econometrics.
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2012Testing for Multiple Bubbles In: Cowles Foundation Discussion Papers.
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2011Testing for Multiple Bubbles.(2011) In: Working Papers.
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2012Testing for Multiple Bubbles.(2012) In: Working Papers.
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2013Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500 In: Cowles Foundation Discussion Papers.
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2013Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500.(2013) In: Working Papers.
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2015TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500.(2015) In: International Economic Review.
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2013Testing for Multiple Bubbles: Limit Theory of Real Time Detectors In: Cowles Foundation Discussion Papers.
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2013Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors.(2013) In: Working Papers.
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2015TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL‐TIME DETECTORS.(2015) In: International Economic Review.
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2014A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market In: Cowles Foundation Discussion Papers.
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2014A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market.(2014) In: Working Papers.
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2017Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour In: Cowles Foundation Discussion Papers.
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2019Random coefficient continuous systems: Testing for extreme sample path behavior.(2019) In: Journal of Econometrics.
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2017Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour.(2017) In: Economics and Statistics Working Papers.
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2005Comments on “A selective overview of nonparametric methods in financial econometrics†In: Finance Working Papers.
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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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2019Forecasting Realized Volatility Using a Nonnegative Semiparametric Model.(2019) In: Journal of Risk and Financial Management.
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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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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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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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2009Econometric Analysis of Continuous Time Models : A Survey of Peter Phillips’ Work and Some New Results In: Microeconomics Working Papers.
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2004On leverage in a stochastic volatility model In: Econometric Society 2004 Far Eastern Meetings.
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2004On Leverage in a Stochastic Volatility Model.(2004) In: Econometric Society 2004 Far Eastern Meetings.
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2005On leverage in a stochastic volatility model.(2005) In: Journal of Econometrics.
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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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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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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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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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2019Asymptotic theory for rough fractional Vasicek models In: Economics Letters.
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2018Asymptotic Theory for Rough Fractional Vasicek Models.(2018) In: Economics and Statistics Working Papers.
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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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2016Double asymptotics for explosive continuous time models In: Journal of Econometrics.
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2011Double Asymptotics for an Explosive Continuous Time Model.(2011) In: Working Papers.
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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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2018Specification tests based on MCMC output In: Journal of Econometrics.
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2017A Specification Test based on the MCMC Output.(2017) In: Economics and Statistics Working Papers.
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2020Deviance information criterion for latent variable models and misspecified models 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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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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2020Model Selection for Explosive Models In: Advances in Econometrics.
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2016Model Selection for Explosive Models.(2016) In: Economics and Statistics 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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2020Maximum Likelihood Estimation for the Fractional Vasicek Model In: Econometrics.
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2019Maximum Likelihood Estimation for the Fractional Vasicek Model.(2019) In: Economics and Statistics 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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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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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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2018Integrated Deviance Information Criterion for Latent Variable 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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2012Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models.(2012) 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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2010Measurement and High Finance In: Working Papers.
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2010Corrigendum to “A Gaussian Approach for Continuous Time Models of the Short Term Interest Rate In: Working Papers.
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2010Simulation-based Estimation Methods for Financial Time Series Models In: Working Papers.
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2009Stimulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models In: Working Papers.
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2014On Bias in the Estimation of Structural Break Points In: Working Papers.
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2004Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison In: Working Papers.
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2006Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison.(2006) In: Econometric Reviews.
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2004Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility In: Working Papers.
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2012Robust Deviance Information Criterion for Latent Variable Models In: Working Papers.
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2004Empirical Characteristic Function Estimation and Its Applications In: Econometric Reviews.
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2006Multivariate Stochastic Volatility: A Review In: Econometric Reviews.
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1999Testing the expectations theory of the term structure for New Zealand In: New Zealand Economic Papers.
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2004Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method In: Quantitative Finance.
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2015Editorial In: Spatial Economic Analysis.
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2011Corrigendum to ‘A Gaussian approach for continuous time models of short‐term interest rates’ (Yu, J. and P. C. B. Phillips, Econometrics Journal, 4, 210–24) In: Econometrics Journal.
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