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...

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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2002Estimation 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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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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2012THE ET INTERVIEW: A CONVERSATION WITH ERIC GHYSELS In: Econometric Theory.
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2014SPECIAL ISSUE OF ECONOMETRIC THEORY ON SETA 2010: EDITORS’ INTRODUCTION In: Econometric Theory.
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2014ECONOMETRIC ANALYSIS OF CONTINUOUS TIME MODELS: A SURVEY OF PETER PHILLIPS’S WORK AND SOME NEW RESULTS In: Econometric Theory.
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2009Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips Work and Some New Results.(2009) In: Working Papers.
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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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2007Information Loss in Volatility Measurement with Flat Price Trading 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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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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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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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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2009A two-stage realized volatility approach to estimation of diffusion processes with discrete data In: Journal of Econometrics.
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2012A semiparametric stochastic volatility model In: Journal of Econometrics.
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2017Inference in continuous systems with mildly explosive regressors In: Journal of Econometrics.
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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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2014Deviance Information Criterion for Comparing VAR Models.(2014) In: Working Papers.
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2011Specification Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles In: Working Papers.
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2011Speci fication Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles.(2011) In: Working Papers.
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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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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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2011Simulated Maximum Likelihood Estimation for Latent Diffusion Models In: Working Papers.
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