Jun Yu : Citation Profile


Are you Jun Yu?

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

19

H index

27

i10 index

1725

Citations

RESEARCH PRODUCTION:

55

Articles

120

Papers

1

Chapters

RESEARCH ACTIVITY:

   20 years (1999 - 2019). See details.
   Cites by year: 86
   Journals where Jun Yu has often published
   Relations with other researchers
   Recent citing documents: 199.    Total self citations: 87 (4.8 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pyu5
   Updated: 2019-09-14    RAS profile: 2019-08-08    
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Relations with other researchers


Works with:

Phillips, Peter (12)

Li, Yong (4)

Tao, Yubo (4)

Zhou, Qiankun (2)

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

Is cited by:

McAleer, Michael (129)

Asai, Manabu (96)

Phillips, Peter (51)

Omori, Yasuhiro (47)

Caporin, Massimiliano (41)

GUPTA, RANGAN (38)

Shi, Shuping (36)

Medeiros, Marcelo (29)

Veiga, Helena (27)

Ruiz, Esther (24)

Caspi, Itamar (21)

Cites to:

Phillips, Peter (129)

Shephard, Neil (73)

Ait-Sahalia, Yacine (40)

Andersen, Torben (34)

Bollerslev, Tim (31)

Shiller, Robert (25)

Barndorff-Nielsen, Ole (23)

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 Econometrics15
Econometric Theory5
Economics Letters4
Econometric Reviews3
Review of Financial Studies3
Econometrics Journal2
International Economic Review2
Annals of Economics and Finance2
Computational Statistics & Data Analysis2
Journal of Business & Economic Statistics2

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 Economics18
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
Working Papers / Hong Kong Institute for Monetary Research2
Development Economics Working Papers / East Asian Bureau of Economic Research2
Monash Econometrics and Business Statistics Working Papers / Monash University, Department of Econometrics and Business Statistics2
Econometric Society 2004 Far Eastern Meetings / Econometric Society2

Recent works citing Jun Yu (2019 and 2018)


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

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

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

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

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

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2019Estimation of Structural Break Point in Linear Regression Models. (2018). Baek, Yae In . In: Papers. RePEc:arx:papers:1811.03720.

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2019Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals. (2018). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1811.10045.

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

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

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

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2019Allowance 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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2018Housing prices and mortgage credit in Luxembourg. (2018). Filipe, Sara Ferreira. In: BCL working papers. RePEc:bcl:bclwop:bclwp117.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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2018Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals. (2018). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/278905.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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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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2019Testing the predictive ability of house price bubbles for macroeconomic performance: A meta-analytic approach. (2019). Floro, Danvee. In: International Review of Financial Analysis. RePEc:eee:finana:v:62:y:2019:i:c:p:164-181.

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2019Cryptocurrencies as a financial asset: A systematic analysis. (2019). Yarovaya, Larisa ; Urquhart, Andrew ; Lucey, Brian ; Corbet, Shaen. In: International Review of Financial Analysis. RePEc:eee:finana:v:62:y:2019:i:c:p:182-199.

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2019Financial markets of the LAC region: Does the crisis influence the financial integration?. (2019). da Silva, Jacinto Vidigal ; Dias, Rui ; Dionisio, Andreia. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:160-173.

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2019The finite sample power of long-horizon predictive tests in models with financial bubbles. (2019). Ren, Dongmeng ; Maynard, Alex. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:418-430.

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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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2018Sentiment and asset price bubble in the precious metals markets. (2018). Pan, Wei-Fong. In: Finance Research Letters. RePEc:eee:finlet:v:26:y:2018:i:c:p:106-111.

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2018Datestamping the Bitcoin and Ethereum bubbles. (2018). Corbet, Shaen ; Yarovaya, Larisa ; Lucey, Brian. In: Finance Research Letters. RePEc:eee:finlet:v:26:y:2018:i:c:p:81-88.

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2018Testing for bubbles in stock markets with irregular dividend distribution. (2018). Caspi, Itamar ; Graham, Meital. In: Finance Research Letters. RePEc:eee:finlet:v:26:y:2018:i:c:p:89-94.

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2019Comparison of utility indifference pricing and mean-variance approach under a normal mixture distribution with time-varying volatility. (2019). Yamawake, Toshiyuki ; Hodoshima, Jiro. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:74-81.

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

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

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

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2019Modelling the volatility of international visitor arrivals to New Zealand. (2019). Balli, Hatice ; Kan, Wai Hong. In: Journal of Air Transport Management. RePEc:eee:jaitra:v:75:y:2019:i:c:p:204-214.

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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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2019The walking debt crisis. (2019). Basse, Tobias ; Kruse, Robinson ; Wegener, Christoph. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:157:y:2019:i:c:p:382-402.

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

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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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2013Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500.(2013) In: Working Papers.
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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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