Jun Yu : Citation Profile

Are you Jun Yu?

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

23

H index

37

i10 index

3092

Citations

RESEARCH PRODUCTION:

73

Articles

139

Papers

5

Chapters

RESEARCH ACTIVITY:

   25 years (1999 - 2024). See details.
   Cites by year: 123
   Journals where Jun Yu has often published
   Relations with other researchers
   Recent citing documents: 135.    Total self citations: 104 (3.25 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pyu5
   Updated: 2024-04-18    RAS profile: 2024-04-01    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Phillips, Peter (10)

Shi, Shuping (6)

Xie, Tian (5)

Qiu, Yue (3)

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:

Asai, Manabu (121)

Phillips, Peter (68)

Shi, Shuping (63)

Omori, Yasuhiro (59)

Caporin, Massimiliano (50)

GUPTA, RANGAN (44)

Ruiz, Esther (42)

Veiga, Helena (39)

Medeiros, Marcelo (37)

Chambers, Marcus (24)

Caspi, Itamar (23)

Cites to:

Phillips, Peter (172)

Shephard, Neil (94)

Andersen, Torben (60)

Bollerslev, Tim (54)

Ait-Sahalia, Yacine (45)

Diebold, Francis (33)

Shiller, Robert (25)

Campbell, John (24)

Rossi, Peter (24)

merton, robert (22)

Andrews, Donald (20)

Main data

Where Jun Yu has published?

Journals with more than one article published# docs
Journal of Econometrics20
Econometric Reviews5
Econometric Theory4
Economics Letters4
International Economic Review3
Annals of Economics and Finance3
The Review of Financial Studies3
Computational Statistics & Data Analysis2
Oxford Bulletin of Economics and Statistics2
Econometrics Journal2
New Zealand Economic Papers2
Journal of Business & Economic Statistics2
Econometrics2
Quantitative Finance2

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 Economics33
Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University19
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
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
Working Papers / Hong Kong Institute for Monetary Research2
Papers / arXiv.org2
Econometric Society 2004 Far Eastern Meetings / Econometric Society2

Recent works citing Jun Yu (2024 and 2023)

YearTitle of citing document
2023An enquiry into extreme price movements of the cryptocurrencies in the backdrop of COVID-19. (2023). Kumar, Anoop S ; Rao, Balaga Mohana ; Anandarao, Suvvari. In: Theoretical and Applied Economics. RePEc:agr:journl:v:2(635):y:2023:i:2(635):p:231-238.

Full description at Econpapers || Download paper

2023Financial contagion and identifying speculative frenzies: Unraveling price bubbles in cryptocurrency markets. (2023). Ionescu, Tefan-Andrei ; Crciunescu, Simona-Liliana ; Nica, Ionu ; Delcea, Camelia ; Chiri, Nora. In: Theoretical and Applied Economics. RePEc:agr:journl:v:3(636):y:2023:i:3(636):p:21-40.

Full description at Econpapers || Download paper

2023A mutually exciting rough jump diffusion for financial modelling. (2023). Hainaut, Donatien. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023011.

Full description at Econpapers || Download paper

2023Rational Bubbles: Too Many to be True?. (2023). Sola, Martin. In: Working Papers. RePEc:aoz:wpaper:240.

Full description at Econpapers || Download paper

2023A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456.

Full description at Econpapers || Download paper

2023Dynamic Risk Measurement by EVT based on Stochastic Volatility models via MCMC. (2022). , Shibo ; Bo, Shi. In: Papers. RePEc:arx:papers:2201.09434.

Full description at Econpapers || Download paper

2023Change point detection in dynamic Gaussian graphical models: the impact of COVID-19 pandemic on the US stock market. (2022). Grzeszkiewicz, Karolina ; Koziell, Warrick Poklewski ; de Iorio, Maria ; Beskos, Alexandros ; Franzolini, Beatrice. In: Papers. RePEc:arx:papers:2208.00952.

Full description at Econpapers || Download paper

2023A parsimonious inverse Cox-Ingersoll-Ross process for financial price modeling. (2023). Sornette, Didier ; Lin, LI. In: Papers. RePEc:arx:papers:2302.11423.

Full description at Econpapers || Download paper

2023Why Topological Data Analysis Detects Financial Bubbles?. (2023). Nateghi, Vahid ; Manzi, Matteo ; Gidea, Marian ; Akingbade, Samuel W. In: Papers. RePEc:arx:papers:2304.06877.

Full description at Econpapers || Download paper

2023Estimation and Inference in Threshold Predictive Regression Models with Locally Explosive Regressors. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2305.00860.

Full description at Econpapers || Download paper

2023Improving the accuracy of bubble date estimators under time-varying volatility. (2023). Skrobotov, Anton ; Kurozumi, Eiji. In: Papers. RePEc:arx:papers:2306.02977.

Full description at Econpapers || Download paper

2023Spatial and Spatiotemporal Volatility Models: A Review. (2023). Bera, Anil K ; Schmid, Wolfgang ; Tacspinar, Suleyman ; Dougan, Osman ; Otto, Philipp. In: Papers. RePEc:arx:papers:2308.13061.

Full description at Econpapers || Download paper

2023A systematic review of early warning systems in finance. (2023). Ramtinnia, Shahin ; Eyvazloo, Reza ; Namaki, Ali. In: Papers. RePEc:arx:papers:2310.00490.

Full description at Econpapers || Download paper

2023Optimal Estimation Methodologies for Panel Data Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2311.03471.

Full description at Econpapers || Download paper

2023A Review of Cross-Sectional Matrix Exponential Spatial Models. (2023). Dogan, Osman ; Yang, YE ; Jin, Fei ; Taspinar, Suleyman. In: Papers. RePEc:arx:papers:2311.14813.

Full description at Econpapers || Download paper

2023Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2303.

Full description at Econpapers || Download paper

2023Estimation of Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2309.

Full description at Econpapers || Download paper

2023The dynamics of the house price?to?income ratio: Theory and evidence. (2023). Leung, Charles ; Ho, Edward Chi. In: Contemporary Economic Policy. RePEc:bla:coecpo:v:41:y:2023:i:1:p:61-78.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023Diagnosing housing fever with an econometric thermometer. (2023). Phillips, Peter ; Shi, Shuping. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:1:p:159-186.

Full description at Econpapers || Download paper

2023A pulse check on recent developments in time series econometrics. (2023). Chan, Felix ; Oxley, Les. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:1:p:3-6.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023Tempered functional time series. (2023). Kokoszka, Piotr ; Sabzikar, Farzad. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:44:y:2023:i:3:p:280-293.

Full description at Econpapers || Download paper

2023On the asymptotic behavior of bubble date estimators. (2023). Skrobotov, Anton ; Kurozumi, Eiji. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:44:y:2023:i:4:p:359-373.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023Seemingly Unrelated Regression Estimation for VAR Models with Explosive Roots. (2023). Li, Qiyuan ; Chen, YE. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:85:y:2023:i:4:p:910-937.

Full description at Econpapers || Download paper

2023External sustainability in Spanish economy: Bubbles and crises, 1970–2020. (2023). Prats, Maria A ; Esteve, Vicente. In: Review of International Economics. RePEc:bla:reviec:v:31:y:2023:i:1:p:60-80.

Full description at Econpapers || Download paper

2023Explosive Temperatures. (2023). Gronwald, Marc. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10680.

Full description at Econpapers || Download paper

2023Data cloning for a threshold asymmetric stochastic volatility model. (2023). Lopes, Maria Helena ; Marin, Juan Miguel. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:36569.

Full description at Econpapers || Download paper

2023DeÂ…cit sustainability and the Fiscal Theory of the Price Level: the case of Italy, 1861-2020. (2023). Esteve, Vicente ; Daz-Roldn, Silviano Carmen ; Congregado, Emilio. In: Working Papers. RePEc:eec:wpaper:2301.

Full description at Econpapers || Download paper

2023Rational bubbles: Too many to be true?. (2023). Sola, Martin ; Psaradakis, Zacharias ; Caravello, Tomas E. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:151:y:2023:i:c:s0165188923000726.

Full description at Econpapers || Download paper

2023Positive and negative price bubbles of Chinese agricultural commodity futures. (2023). Chang, Chiu-Lan ; Lin, Yizhou ; Fang, Ming. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:78:y:2023:i:c:p:456-471.

Full description at Econpapers || Download paper

2023Good and bad self-excitation: Asymmetric self-exciting jumps in Bitcoin returns. (2023). Peng, Zhe ; Xu, Mengyu ; Zhang, Zhengjun. In: Economic Modelling. RePEc:eee:ecmode:v:119:y:2023:i:c:s0264999322003613.

Full description at Econpapers || Download paper

2023Sequential Bayesian analysis for semiparametric stochastic volatility model with applications. (2023). Lou, Zhusheng ; Wang, Nianling. In: Economic Modelling. RePEc:eee:ecmode:v:123:y:2023:i:c:s0264999323000998.

Full description at Econpapers || Download paper

2023Testing factor models when asset bubbles occur: A time-varying perspective. (2023). Li, Yanglin ; Yu, LU. In: Economic Modelling. RePEc:eee:ecmode:v:124:y:2023:i:c:s0264999323001232.

Full description at Econpapers || Download paper

2023Sequential Bayesian inference for agent-based models with application to the Chinese business cycle. (2023). Wang, Qianchao ; Li, Yong ; Zhang, Qiaosen. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323001931.

Full description at Econpapers || Download paper

2023Systemic risk of Chinese financial institutions and asset price bubbles. (2023). Tian, Yiming ; Lee, Chien-Chiang ; Wei, Chunyan ; Zhang, Xiaoming. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940823000037.

Full description at Econpapers || Download paper

2023Indirect inference approach to estimating dynamic panel data models with irregular spacing. (2023). Chen, Maolong ; Zhang, Xiaoge. In: Economics Letters. RePEc:eee:ecolet:v:226:y:2023:i:c:s0165176523000940.

Full description at Econpapers || Download paper

2023Scalable inference for a full multivariate stochastic volatility model. (2023). Plataniotis, Anastasios ; Petrova, Katerina ; Titsias, Michalis K ; Dellaportas, Petros. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:501-520.

Full description at Econpapers || Download paper

2023The persistence of wages. (2023). Rodrigues, Paulo ; Raposo, Pedro ; Portugal, Pedro ; Carneiro, Anabela. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:2:p:596-611.

Full description at Econpapers || Download paper

2023A new robust inference for predictive quantile regression. (2023). Liao, Xiaosai ; Chen, Haiqiang ; Cai, Zongwu. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:227-250.

Full description at Econpapers || Download paper

2023Indirect inference estimation of dynamic panel data models. (2023). Yu, Xuewen ; Bao, Yong. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1027-1053.

Full description at Econpapers || Download paper

2023Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models. (2023). Shin, Minchul ; Rubio-Ramirez, Juan F ; Arias, Jonas E. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1054-1086.

Full description at Econpapers || Download paper

2023Comparing stochastic volatility specifications for large Bayesian VARs. (2023). Chan, Joshua. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1419-1446.

Full description at Econpapers || Download paper

2023Estimation and identification of latent group structures in panel data. (2023). Mehrabani, Ali. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1464-1482.

Full description at Econpapers || Download paper

2023Stochastic properties of nonlinear locally-nonstationary filters. (2023). Nientker, Marc ; Blasques, Francisco. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:2082-2095.

Full description at Econpapers || Download paper

2023Robust inference with stochastic local unit root regressors in predictive regressions. (2023). Phillips, Peter ; Liu, Yanbo. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:563-591.

Full description at Econpapers || Download paper

2023A jumping index of jumping stocks? An MCMC analysis of continuous-time models for individual stocks. (2023). Seeger, Norman J ; Schlag, Christian ; Rodrigues, Paulo ; Pollastri, Alessandro. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:322-341.

Full description at Econpapers || Download paper

2023Using covariates to improve the efficacy of univariate bubble detection methods. (2023). Taylor, Robert ; Korkos, Ioannis ; Kellard, Neil ; Robert, A M ; Astill, Sam. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:342-366.

Full description at Econpapers || Download paper

2023Estimating and testing skewness in a stochastic volatility model. (2023). Ho, Kyu ; Lee, Cheol Woo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:445-467.

Full description at Econpapers || Download paper

2023Does adhering to the principles of green finance matter for stock valuation? Evidence from testing for (co-)explosiveness. (2023). Wegener, Christoph ; Rjiba, Hatem ; Karmani, Majdi ; Basse, Tobias. In: Energy Economics. RePEc:eee:eneeco:v:123:y:2023:i:c:s014098832300227x.

Full description at Econpapers || Download paper

2023Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models. (2023). Virbickait, Audron ; Nguyen, Hoang. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323002360.

Full description at Econpapers || Download paper

2023On the drivers of technical analysis profits in cryptocurrency markets: A Distributed Lag approach. (2023). Svogun, Daniel ; Bazan-Palomino, Walter. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000327.

Full description at Econpapers || Download paper

2023The illusion of the metaverse and meta-economy. (2023). Vidal-Tomas, David. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000765.

Full description at Econpapers || Download paper

2023Jump-diffusion volatility models for variance swaps: An empirical performance analysis. (2023). Hong, YI ; Jin, Xing. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001229.

Full description at Econpapers || Download paper

2023Investing in wine, precious metals and G-7 stock markets – A co-occurrence analysis for price bubbles. (2023). Potrykus, Marcin. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001539.

Full description at Econpapers || Download paper

2023Leading indicators for the US housing market: New empirical evidence and thoughts about implications for risk managers and ESG investors. (2023). Wegener, Christoph ; Saft, Danilo ; Desmyter, Steven ; Basse, Tobias. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002818.

Full description at Econpapers || Download paper

2023Gold and CoVid-19: Uncovering the safe haven hypothesis with dynamic MSR modeling. (2023). Michaelides, Panayotis ; Konstantakis, Konstantinos ; Goutte, Stéphane ; Xidonas, Panos. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003745.

Full description at Econpapers || Download paper

2023Testing explosive bubbles with time-varying volatility: The case of Spanish public debt. (2023). Prats, Maria A ; Esteve, Vicente. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005098.

Full description at Econpapers || Download paper

2023Can geopolitical risks excite Germany economic policy uncertainty: Rethinking in the context of the Russia-Ukraine conflict. (2023). Hong, Yanran ; Shen, Lihua. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005979.

Full description at Econpapers || Download paper

2023Can altcoins act as hedges or safe-havens for Bitcoin?. (2023). Urquhart, Andrew ; Lucey, Brian ; Li, YI. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322005372.

Full description at Econpapers || Download paper

2023Can the global financial cycle explain the episodes of exuberance in international housing markets?. (2023). Liu, Qingya ; Wang, Xichen. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322005438.

Full description at Econpapers || Download paper

2023Testing for short explosive bubbles: A case of Brent oil futures price. (2023). Gao, DA ; Feng, Hao ; Wang, Shaoping. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322006730.

Full description at Econpapers || Download paper

2023Picture For Proof(PFPs): Aesthetics, IP and post launch performance. (2023). Zhao, Xiaoxi ; Su, Duo ; Xie, Yuhao ; Tian, Yingjie. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s154461232300346x.

Full description at Econpapers || Download paper

2023A Bayesian analysis of time-varying jump risk in S&P 500 returns and options. (2023). Luo, Dan ; Carverhill, Andrew. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000751.

Full description at Econpapers || Download paper

2023Efficient Quasi-Bayesian Estimation of Affine Option Pricing Models Using Risk-Neutral Cumulants. (2023). Lutkebohmert, Eva ; Gonzato, Luca ; Brignone, Riccardo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:148:y:2023:i:c:s0378426622003259.

Full description at Econpapers || Download paper

2023Price bubbles in the European natural gas market between 2011 and 2020. (2023). Kocaaslan, Ozge Kandemir ; Akcora, Begum. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722006298.

Full description at Econpapers || Download paper

2023Co-explosivity versus leading effects: Evidence from crude oil and agricultural commodities. (2023). Charfeddine, Lanouar ; Belhoula, Mohamed Malek ; el Montasser, Ghassen. In: Resources Policy. RePEc:eee:jrpoli:v:81:y:2023:i:c:s0301420723000399.

Full description at Econpapers || Download paper

2023Which risks drive European natural gas bubbles? Novel evidence from geopolitics and climate. (2023). Ran, Alexandra-Mdlina ; Chang, Hsu-Ling ; Qin, Meng ; Su, Chiwei. In: Resources Policy. RePEc:eee:jrpoli:v:81:y:2023:i:c:s0301420723000892.

Full description at Econpapers || Download paper

2023Oil price bubbles: The role of network centrality on idiosyncratic sovereign risk. (2023). Yang, Lu. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723002015.

Full description at Econpapers || Download paper

2023Bubble behaviors in nickel price: What roles do geopolitical risk and speculation play?. (2023). Su, Chi-Wei ; Zhong, Huaming ; Wu, Tong ; Wang, Xiao-Qing. In: Resources Policy. RePEc:eee:jrpoli:v:83:y:2023:i:c:s030142072300418x.

Full description at Econpapers || Download paper

2023Bubble behaviors in lithium price and the contagion effect: An industry chain perspective. (2023). Su, Chi-Wei ; Moldovan, Nicoleta-Claudia ; Qin, Meng ; Wang, Xiao-Qing. In: Resources Policy. RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723004361.

Full description at Econpapers || Download paper

2023Least squares estimations for approximate fractional Vasicek model driven by a semimartingale. (2023). Li, Chao ; Xiao, Xiaofang ; Wang, Jixia. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:208:y:2023:i:c:p:207-218.

Full description at Econpapers || Download paper

2023Explosive behavior in the Chinese stock market: A sectoral analysis. (2023). Ferrer, Roman ; Yang, Hui. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:81:y:2023:i:c:s0927538x23001750.

Full description at Econpapers || Download paper

2023Price bubbles in commodity market – A single time series and panel data analysis. (2023). Potrykus, Marcin. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:87:y:2023:i:c:p:110-117.

Full description at Econpapers || Download paper

2023Impact of climate policy uncertainty on traditional energy and green markets: Evidence from time-varying granger tests. (2023). Ren, Xiaohang ; Lucey, Brian ; He, Feng ; Li, Jingyao. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:173:y:2023:i:c:s136403212200939x.

Full description at Econpapers || Download paper

2023Comovement and instability in cryptocurrency markets. (2023). De Pace, Pierangelo ; Rao, Jayant. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:173-200.

Full description at Econpapers || Download paper

2023Air quality index and the Chinese stock market volatility: Evidence from both market and sector indices. (2023). Liang, Chao ; Duc, Toan Luu ; Lu, Xinjie ; Shen, Lihua. In: International Review of Economics & Finance. RePEc:eee:reveco:v:84:y:2023:i:c:p:224-239.

Full description at Econpapers || Download paper

2023Industrial investments and housing prices in China. (2023). Qiu, Qiqi ; Wan, Junmin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:84:y:2023:i:c:p:832-852.

Full description at Econpapers || Download paper

2023Detecting the hidden asymmetric relationship between crude oil and the US dollar: A novel neural Granger causality method. (2023). Luo, Keyu ; Hong, Yanran ; Ruan, Hang ; Wang, LU. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531923000259.

Full description at Econpapers || Download paper

2023An analysis of the time-varying causality and dynamic correlation between green bonds and US gas prices. (2023). Abakah, Emmanuel ; Oteng-Abayie, Eric Fosu ; Adekoya, Oluwasegun B ; Tiwari, Aviral Kumar ; Aikins, Emmanuel Joel. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:186:y:2023:i:pa:s0040162522006552.

Full description at Econpapers || Download paper

2023The elasticity of demand on urban highways: The case of Santiago. (2023). Basso, Leonardo J ; Batarce, Marco. In: Transport Policy. RePEc:eee:trapol:v:133:y:2023:i:c:p:234-241.

Full description at Econpapers || Download paper

2023Shot-noise cojumps: exact simulation and option pricing. (2023). Zhao, Hongbiao ; Dassios, Angelos ; Qu, Yan. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:111537.

Full description at Econpapers || Download paper

2023External sustainability in Spanish economy: bubbles and crises, 1970–2020. (2022). Prats, Maria A ; Esteve, Vicente. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:114887.

Full description at Econpapers || Download paper

2023Testing explosive bubbles with time-varying volatility: the case of Spanish public debt. (2022). Prats, Maria A ; Esteve, Vicente. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:116980.

Full description at Econpapers || Download paper

2023Machine Learning to Forecast Financial Bubbles in Stock Markets: Evidence from Vietnam. (2023). Le, Hoang Anh ; Tran, Kim Long ; Nguyen, Duc Trung ; Lieu, Cap Phu. In: IJFS. RePEc:gam:jijfss:v:11:y:2023:i:4:p:133-:d:1276351.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023Pursuing the Sustainability of Real Estate Market: The Case of Chinese Land Resources Diversification. (2023). Wen, Zhong-Qin ; Chiang, Shu-Hen ; Lee, Cheng-Wen. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:7:p:5850-:d:1109353.

Full description at Econpapers || Download paper

2023Change-point estimators with the weighted objective function when estimating breaks one at a time. (2023). 黒住, 英司, ; Kurozumi, Eiji ; 田柳, 俊和, ; Tayanagi, Toshikazu. In: Discussion Papers. RePEc:hit:econdp:2023-04.

Full description at Econpapers || Download paper

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

Works by Jun Yu:

YearTitleTypeCited
2017Model Selection for Explosive Models In: Papers.
[Full Text][Citation analysis]		paper1
2020Model Selection for Explosive Models.(2020) In: Advances in Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		chapter
2016Model Selection for Explosive Models.(2016) In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2018A New Wald Test for Hypothesis Testing Based on MCMC outputs In: Papers.
[Full Text][Citation analysis]		paper0
2002MCMC Methods for Estimating Stochastic Volatility Models with Liverage Effects: Comments on Jacquier, Polson and Rossi (2002) In: Working Papers.
[Full Text][Citation analysis]		paper8
2000Exact Gaussian Estimation of Continuous Time Models of The Term Structure of Interest Rates Rankings of Economics Departments in New Zealand In: Working Papers.
[Full Text][Citation analysis]		paper0
1999Estimation of a Self-Exciting Poisson Jump Diffusion Model by the Empirical Characteristic Function Method In: Working Papers.
[Full Text][Citation analysis]		paper0
1999Forecasting Volatility in the New Zealand Stock Market In: Working Papers.
[Full Text][Citation analysis]		paper65
2002Forecasting volatility in the New Zealand stock market.(2002) In: Applied Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 65		article
2002Deviance Information Criterion as a Model Comparison Criterion for Stochastic Volatility Models In: Working Papers.
[Full Text][Citation analysis]		paper0
2002Estimation of Hyperbolic Diffusion using MCMC Method In: Working Papers.
[Full Text][Citation analysis]		paper11
2002Estimation of Hyperbolic Diffusion Using MCMC Method.(2002) In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		paper
2002Jacknifing Bond Option Prices In: Working Papers.
[Full Text][Citation analysis]		paper43
2003Jackknifing Bond Option Prices.(2003) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 43		paper
2004Jackknifing Bond Option Prices.(2004) In: Econometric Society 2004 North American Winter Meetings.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 43		paper
2005Jackknifing Bond Option Prices.(2005) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 43		article
1999A Test Statistic and Its Application in Modelling Daily Stock Returns In: Working Papers.
[Full Text][Citation analysis]		paper0
2002A Class of Nonlinear Stochastic Volatility Models In: Working Papers.
[Full Text][Citation analysis]		paper9
1999Efficient Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method In: Working Papers.
[Full Text][Citation analysis]		paper0
2000BUGS for a Bayesian Analysis of Stochastic Volatility Models In: Working Papers.
[Full Text][Citation analysis]		paper62
2000BUGS for a Bayesian analysis of stochastic volatility models.(2000) In: Econometrics Journal.
[Citation analysis]
This paper has nother version. Agregated cites: 62		article
2001Forecasting Volatility:Evidence from the German Stock Market In: Working Papers.
[Full Text][Citation analysis]		paper5
1999Empirical Characteristic Function in Time Series Estimation In: Working Papers.
[Full Text][Citation analysis]		paper40
2002EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION.(2002) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 40		article
1999Do Topics Diffuse from Core to Periphery Journals? In: Working Papers.
[Full Text][Citation analysis]		paper0
2004Deviance Information Criterion for Comparing Stochastic Volatility Models. In: Journal of Business & Economic Statistics.
[Citation analysis]		article86
2006Comment In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article0
2002Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method In: Australian & New Zealand Journal of Statistics.
[Full Text][Citation analysis]		article18
2014Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article84
2012Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior.(2012) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 84		paper
2011Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 84		paper
2012Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 84		paper
2021Mildly Explosive Autoregression with Anti?persistent Errors In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article1
2007Information Loss in Volatility Measurement with Flat Price Trading In: Levine's Bibliography.
[Full Text][Citation analysis]		paper3
2007Information Loss in Volatility Measurement with Flat Price Trading.(2007) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2009Information Loss in Volatility Measurement with Flat Price Trading.(2009) In: Global COE Hi-Stat Discussion Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2023Information loss in volatility measurement with flat price trading.(2023) In: Empirical Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2001Do Stock Returns Follow a Finite Variance Distribution? In: Annals of Economics and Finance.
[Full Text][Citation analysis]		article6
2007Realized Daily Variance of S&P 500 Cash Index: A Revaluation of Stylized Facts In: Annals of Economics and Finance.
[Full Text][Citation analysis]		article3
2019An Improved Bayesian Unit Root Test in Stochastic Volatility Models In: Annals of Economics and Finance.
[Full Text][Citation analysis]		article0
2014SPECIAL ISSUE OF ECONOMETRIC THEORY ON SETA 2010: EDITORS’ INTRODUCTION In: Econometric Theory.
[Full Text][Citation analysis]		article0
2014ECONOMETRIC ANALYSIS OF CONTINUOUS TIME MODELS: A SURVEY OF PETER PHILLIPS’S WORK AND SOME NEW RESULTS In: Econometric Theory.
[Full Text][Citation analysis]		article3
2009Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips Work and Some New Results.(2009) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2019ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL In: Econometric Theory.
[Full Text][Citation analysis]		article5
2017Asymptotic Theory for Estimating Drift Parameters in the Fractional Vasicek Model.(2017) In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2001Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper23
2005A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper8
2006Indirect Inference for Dynamic Panel Models In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper73
2006Indirect Inference for Dynamic Panel Models.(2006) In: Development Economics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 73		paper
2010Indirect inference for dynamic panel models.(2010) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 73		article
2007Simulation-based Estimation of Contingent-claims Prices In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper11
2008Simulation-based Estimation of Contingent-claims Prices.(2008) In: Finance Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		paper
2009Simulation-Based Estimation of Contingent-Claims Prices.(2009) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		article
2007Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper3
2006Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance.(2006) In: Development Economics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2009Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper542
2009Explosive Behavior in the 1990s Nasdaq : When Did Exuberance Escalate Asset Values?.(2009) In: Finance Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 542		paper
2007Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 542		paper
2011EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?.(2011) In: International Economic Review.
[Citation analysis]
This paper has nother version. Agregated cites: 542		article
2009Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?.(2009) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 542		paper
2010Dating the Timeline of Financial Bubbles during the Subprime Crisis In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper318
2009Dating the Timeline of Financial Bubbles During the Subprime Crisis.(2009) In: Finance Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 318		paper
2011Dating the timeline of financial bubbles during the subprime crisis.(2011) In: Quantitative Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 318		article
2009Dating the Timeline of Financial Bubbles During the Subprime Crisis.(2009) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 318		paper
2011Bias in Estimating Multivariate and Univariate Diffusions In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper13
2011Bias in estimating multivariate and univariate diffusions.(2011) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		article
2012Testing for Multiple Bubbles In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper116
2011Testing for Multiple Bubbles.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 116		paper
2012Testing for Multiple Bubbles.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 116		paper
2013Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500 In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper202
2013Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 202		paper
2015TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500.(2015) In: International Economic Review.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 202		article
2013Testing for Multiple Bubbles: Limit Theory of Real Time Detectors In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper67
2013Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 67		paper
2015TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL?TIME DETECTORS.(2015) In: International Economic Review.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 67		article
2014A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper7
2014A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market.(2014) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2017Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper9
2019Random coefficient continuous systems: Testing for extreme sample path behavior.(2019) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		article
2017Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour.(2017) In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		paper
2022A Panel Clustering Approach to Analyzing Bubble Behavior In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper1
2022A Panel Clustering Approach to Analyzing Bubble Behavior.(2022) In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2023A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR.(2023) In: International Economic Review.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2022Weak Identification of Long Memory with Implications for Inference In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
2022Weak Identification of Long Memory with Implications for Inference.(2022) In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2022Robust Testing for Explosive Behavior with Strongly Dependent Errors In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper1
2024Robust testing for explosive behavior with strongly dependent errors.(2024) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2022Robust Testing for Explosive Behavior with Strongly Dependent Errors.(2022) In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2005Comments on “A selective overview of nonparametric methods in financial econometrics†In: Finance Working Papers.
[Full Text][Citation analysis]		paper2
2005Comment on “Realized Variance and Market Microstructure Noise†by Peter R. Hansen and Asger Lunde In: Finance Working Papers.
[Full Text][Citation analysis]		paper0
2009Forecasting Realized Volatility Using A Nonnegative Semiparametric Model In: Finance Working Papers.
[Full Text][Citation analysis]		paper5
2019Forecasting Realized Volatility Using a Nonnegative Semiparametric Model.(2019) In: JRFM.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		article
2009Forecasting Realized Volatility Using A Nonnegative Semiparametric Model.(2009) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2009Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises In: Finance Working Papers.
[Full Text][Citation analysis]		paper14
2010Bayesian analysis of structural credit risk models with microstructure noises.(2010) In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		article
2006A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete In: Macroeconomics Working Papers.
[Full Text][Citation analysis]		paper0
2006Multivariate Stochastic Volatility In: Microeconomics Working Papers.
[Full Text][Citation analysis]		paper246
2009Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models In: Microeconomics Working Papers.
[Full Text][Citation analysis]		paper16
2012Bias in the estimation of the mean reversion parameter in continuous time models.(2012) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		article
2009Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models.(2009) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		paper
2009Econometric Analysis of Continuous Time Models : A Survey of Peter Phillips’ Work and Some New Results In: Microeconomics Working Papers.
[Full Text][Citation analysis]		paper0
2004On leverage in a stochastic volatility model In: Econometric Society 2004 Far Eastern Meetings.
[Citation analysis]		paper198
2004On Leverage in a Stochastic Volatility Model.(2004) In: Econometric Society 2004 Far Eastern Meetings.
[Citation analysis]
This paper has nother version. Agregated cites: 198		paper
2005On leverage in a stochastic volatility model.(2005) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 198		article
2004On Leverage in a Stochastic Volatility Model.(2004) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 198		paper
2001A Gaussian approach for continuous time models of the short-term interest rate In: Econometrics Journal.
[Citation analysis]		article30
2013Detecting bubbles in Hong Kong residential property market In: Journal of Asian Economics.
[Full Text][Citation analysis]		article80
2012Detecting Bubbles in Hong Kong Residential Property Market.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 80		paper
2006A class of nonlinear stochastic volatility models and its implications for pricing currency options In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article30
2002A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options.(2002) In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 30		paper
2014A flexible and automated likelihood based framework for inference in stochastic volatility models In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article1
2015Limit theory for an explosive autoregressive process In: Economics Letters.
[Full Text][Citation analysis]		article13
2013Limit Theory for an Explosive Autoregressive Process.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		paper
2015Asymptotic theory for linear diffusions under alternative sampling schemes In: Economics Letters.
[Full Text][Citation analysis]		article8
2015Bias in the estimation of mean reversion in continuous-time Lévy processes In: Economics Letters.
[Full Text][Citation analysis]		article2
2019Asymptotic theory for rough fractional Vasicek models In: Economics Letters.
[Full Text][Citation analysis]		article3
2018Asymptotic Theory for Rough Fractional Vasicek Models.(2018) In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2009A two-stage realized volatility approach to estimation of diffusion processes with discrete data In: Journal of Econometrics.
[Full Text][Citation analysis]		article8
2012Bayesian hypothesis testing in latent variable models In: Journal of Econometrics.
[Full Text][Citation analysis]		article18
2011Bayesian Hypothesis Testing in Latent Variable Models.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 18		paper
2012A semiparametric stochastic volatility model In: Journal of Econometrics.
[Full Text][Citation analysis]		article34
2014A new approach to Bayesian hypothesis testing In: Journal of Econometrics.
[Full Text][Citation analysis]		article12
2014Maximum likelihood estimation of partially observed diffusion models In: Journal of Econometrics.
[Full Text][Citation analysis]		article1
2015A Bayesian chi-squared test for hypothesis testing In: Journal of Econometrics.
[Full Text][Citation analysis]		article7
2014A Bayesian Chi-Squared Test for Hypothesis Testing.(2014) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2016Double asymptotics for explosive continuous time models In: Journal of Econometrics.
[Full Text][Citation analysis]		article10
2011Double Asymptotics for an Explosive Continuous Time Model.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		paper
2012Double Asymptotics for Explosive Continuous Time Models.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		paper
2017Inference in continuous systems with mildly explosive regressors In: Journal of Econometrics.
[Full Text][Citation analysis]		article9
2018New distribution theory for the estimation of structural break point in mean In: Journal of Econometrics.
[Full Text][Citation analysis]		article8
2018Specification tests based on MCMC output In: Journal of Econometrics.
[Full Text][Citation analysis]		article2
2017A Specification Test based on the MCMC Output.(2017) In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2020Deviance information criterion for latent variable models and misspecified models In: Journal of Econometrics.
[Full Text][Citation analysis]		article10
2022Posterior-based Wald-type statistics for hypothesis testing In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
2018A Posterior-Based Wald-Type Statistic for Hypothesis Testing.(2018) In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2023Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process In: Journal of Econometrics.
[Full Text][Citation analysis]		article2
2023Improved marginal likelihood estimation via power posteriors and importance sampling In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
2019Improved Marginal Likelihood Estimation via Power Posteriors and Importance Sampling.(2019) In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2007Temporal aggregation and risk-return relation In: Finance Research Letters.
[Full Text][Citation analysis]		article0
2006Temporal Aggregation and Risk-Return Relation.(2006) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2015New methodology for constructing real estate price indices applied to the Singapore residential market In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article17
2015Optimal jackknife for unit root models In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article5
In: .
[Full Text][Citation analysis]		chapter0
2010Simulated maximum likelihood estimation of continuous time stochastic volatility models In: Advances in Econometrics.
[Full Text][Citation analysis]		chapter0
2009Stimulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models.(2009) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2014Deviance Information Criterion for Comparing VAR Models In: Advances in Econometrics.
[Full Text][Citation analysis]		chapter1
2014Deviance Information Criterion for Comparing VAR Models.(2014) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2023Asymptotic Properties of the Least Squares Estimator in Local to Unity Processes with Fractional Gaussian Noise In: Advances in Econometrics.
[Full Text][Citation analysis]		chapter0
2020Asymptotic Properties of Least Squares Estimator in Local to Unity Processes with Fractional Gaussian Noises.(2020) In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2017Bayesian Analysis of Bubbles in Asset Prices In: Econometrics.
[Full Text][Citation analysis]		article7
2014Bayesian Analysis of Bubbles in Asset Prices.(2014) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2020Maximum Likelihood Estimation for the Fractional Vasicek Model In: Econometrics.
[Full Text][Citation analysis]		article3
2019Maximum Likelihood Estimation for the Fractional Vasicek Model.(2019) In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2011Specification Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles In: Working Papers.
[Full Text][Citation analysis]		paper3
2011Speci fication Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2012Investigating Impacts of Self-Exciting Jumps in Returns and Volatility: A Bayesian Learning Approach In: Global COE Hi-Stat Discussion Paper Series.
[Full Text][Citation analysis]		paper2
2023Volatility Puzzle: Long Memory or Antipersistency In: Management Science.
[Full Text][Citation analysis]		article0
2023Bubble testing under polynomial trends In: The Econometrics Journal.
[Full Text][Citation analysis]		article0
2022Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks* In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article2
2019Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks.(2019) In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2015Self-Exciting Jumps, Learning, and Asset Pricing Implications In: The Review of Financial Studies.
[Full Text][Citation analysis]		article24
2016Asymptotic Theory for Estimating the Persistent Parameter in the Fractional Vasicek Model In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]		paper0
2016Shrinkage Estimation of Covariance Matrix for Portfolio Choice with High Frequency Data In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]		paper1
2017Deviance Information Criterion for Bayesian Model Selection: Justification and Variation In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]		paper1
2017In-fill Asymptotic Theory for Structural Break Point in Autoregression: A Unified Theory In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]		paper2
2017Bubble Testing under Deterministic Trends In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]		paper1
2018Integrated Deviance Information Criterion for Latent Variable Models In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]		paper0
2018The Grid Bootstrap for Continuous Time Models In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]		paper0
2022The Grid Bootstrap for Continuous Time Models.(2022) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2018Mild-explosive and Local-to-mild-explosive Autoregressions with Serially Correlated Errors In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]		paper0
2019Housing Equity and Household Consumption in Retirement: Evidence from the Singapore Life Panel In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]		paper0
2021Housing equity and household consumption in retirement: evidence from the Singapore Life Panel©.(2021) In: New Zealand Economic Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2019A Quantile-based Asset Pricing Model In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]		paper0
2019Estimation and Inference of Fractional Continuous-Time Model with Discrete-Sampled Data In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]		paper0
2020Local Powers of Least-Squares-Based Test for Panel Fractional Ornstein-Uhlenbeck Process In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]		paper0
2020Forecast combinations in machine learning In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]		paper0
2020Econometric Methods and Data Science Techniques: A Review of Two Strands of Literature and an Introduction to Hybrid Methods In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]		paper0
2020Forecasting Singapore GDP using the SPF data In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]		paper0
2020Persistent and Rough Volatility In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]		paper0
2021Latent Local-to-Unity Models In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]		paper0
2023Latent local-to-unity models.(2023) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2021Different Strokes for Different Folks: Long Memory and Roughness In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]		paper0
2022On the Optimal Forecast with the Fractional Brownian Motion In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]		paper0
2024On the optimal forecast with the fractional Brownian motion.(2024) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2022Finite Sample Comparison of Alternative Estimators for Fractional Gaussian Noise In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]		paper0
2016New Distribution Theory for the Estimation of Structural Break Point in Mean In: Working Papers.
[Full Text][Citation analysis]		paper2
2013Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Lévy Processes In: Working Papers.
[Full Text][Citation analysis]		paper1
2012Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility In: Working Papers.
[Full Text][Citation analysis]		paper2
2015Limit Theory for Continuous Time Systems with Mildly Explosive Regressors In: Working Papers.
[Full Text][Citation analysis]		paper0
2005Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan In: Working Papers.
[Full Text][Citation analysis]		paper2
2011Simulated Maximum Likelihood Estimation for Latent Diffusion Models In: Working Papers.
[Full Text][Citation analysis]		paper0
2012Simulated Maximum Likelihood Estimation for Latent Diffusion Models.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2012Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes In: Working Papers.
[Full Text][Citation analysis]		paper2
2010Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2011Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models In: Working Papers.
[Full Text][Citation analysis]		paper1
2012Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2005Comment on “Realized Variance and Market Microstructure Noise” by Peter R. Hansen and Asger Lunde In: Working Papers.
[Full Text][Citation analysis]		paper0
2010Estimating the GARCH Diffusion: Simulated Maximum Likelihood in Continuous Time In: Working Papers.
[Full Text][Citation analysis]		paper1
2012A New Bayesian Unit Root Test in Stochastic Volatility Models In: Working Papers.
[Full Text][Citation analysis]		paper3
2010A New Bayesian Unit Root Test in Stochastic Volatility Models.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2009Automated Likelihood Based Inference for Stochastic Volatility Models In: Working Papers.
[Full Text][Citation analysis]		paper1
2010A Conversation with Eric Ghysels Co-President of the Society for Financial Econometrics In: Working Papers.
[Full Text][Citation analysis]		paper0
2010Measurement and High Finance In: Working Papers.
[Full Text][Citation analysis]		paper0
2010Corrigendum to “A Gaussian Approach for Continuous Time Models of the Short Term Interest Rate In: Working Papers.
[Full Text][Citation analysis]		paper0
2010Simulation-based Estimation Methods for Financial Time Series Models In: Working Papers.
[Full Text][Citation analysis]		paper1
2014On Bias in the Estimation of Structural Break Points In: Working Papers.
[Full Text][Citation analysis]		paper0
2004Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison In: Working Papers.
[Full Text][Citation analysis]		paper73
2006Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison.(2006) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 73		article
2004Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility In: Working Papers.
[Full Text][Citation analysis]		paper3
2012Robust Deviance Information Criterion for Latent Variable Models In: Working Papers.
[Full Text][Citation analysis]		paper16
2004Empirical Characteristic Function Estimation and Its Applications In: Econometric Reviews.
[Full Text][Citation analysis]		article47
2006Multivariate Stochastic Volatility: A Review In: Econometric Reviews.
[Full Text][Citation analysis]		article231
2020In-fill asymptotic theory for structural break point in autoregressions In: Econometric Reviews.
[Full Text][Citation analysis]		article1
1999Testing the expectations theory of the term structure for New Zealand In: New Zealand Economic Papers.
[Full Text][Citation analysis]		article6
2004Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method In: Quantitative Finance.
[Full Text][Citation analysis]		article14
2015Editorial In: Spatial Economic Analysis.
[Full Text][Citation analysis]		article0
2011Corrigendum to ‘A Gaussian approach for continuous time models of short?term interest rates’ (Yu, J. and P. C. B. Phillips, Econometrics Journal, 4, 210–24) In: Econometrics Journal.
[Full Text][Citation analysis]		article0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 4 2024. Contact: CitEc Team