Jun Yu : Citation Profile

Are you Jun Yu?

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

20

H index

30

i10 index

1991

Citations

RESEARCH PRODUCTION:

58

Articles

126

Papers

1

Chapters

RESEARCH ACTIVITY:

   21 years (1999 - 2020). See details.
   Cites by year: 94
   Journals where Jun Yu has often published
   Relations with other researchers
   Recent citing documents: 204.    Total self citations: 90 (4.32 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pyu5
   Updated: 2020-11-21    RAS profile: 2020-11-20    
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Relations with other researchers

Works with:

Phillips, Peter (8)

Tao, Yubo (4)

Zhou, Qiankun (2)

Qiu, Yue (2)

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

Is cited by:

McAleer, Michael (135)

Asai, Manabu (103)

Phillips, Peter (62)

Omori, Yasuhiro (53)

Shi, Shuping (44)

Caporin, Massimiliano (43)

GUPTA, RANGAN (38)

Veiga, Helena (31)

Ruiz, Esther (30)

Medeiros, Marcelo (29)

Caspi, Itamar (21)

Cites to:

Phillips, Peter (139)

Shephard, Neil (82)

Ait-Sahalia, Yacine (41)

Andersen, Torben (36)

Bollerslev, Tim (32)

Shiller, Robert (25)

Barndorff-Nielsen, Ole (24)

Campbell, John (23)

Rossi, Peter (21)

Richard, Jean-Francois (19)

merton, robert (18)

Main data

Where Jun Yu has published?

Journals with more than one article published# docs
Journal of Econometrics16
Econometric Theory4
Economics Letters4
Econometric Reviews3
Review of Financial Studies3
Annals of Economics and Finance3
Journal of Business & Economic Statistics2
International Economic Review2
Computational Statistics & Data Analysis2
Econometrics2
Econometrics Journal2

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 Economics24
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 (2020 and 2019)

YearTitle of citing document
2019Comparing Tests for Identification of Bubbles. (2019). Bertelsen, Kristoffer Pons. In: CREATES Research Papers. RePEc:aah:create:2019-16.

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

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

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

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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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2020Allowance prices in the EU ETS -- fundamental price drivers and the recent upward trend. (2019). Pahle, Michael ; Friedrich, Marina. In: Papers. RePEc:arx:papers:1906.10572.

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

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2019Predicting bubble bursts in oil prices using mixed causal-noncausal models. (2019). Hecq, Alain ; Voisin, Elisa. In: Papers. RePEc:arx:papers:1911.10916.

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2019The Microstructure of Stochastic Volatility Models with Self-Exciting Jump Dynamics. (2019). Xu, Wei ; Horst, Ulrich. In: Papers. RePEc:arx:papers:1911.12969.

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

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2020Where do we stand in cryptocurrencies economic research? A survey based on hybrid analysis. (2020). Fernandez Bariviera, Aurelio ; Merediz-Sola, Ignasi. In: Papers. RePEc:arx:papers:2003.09723.

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2020Cryptocurrency Trading: A Comprehensive Survey. (2020). Wu, Fan ; Martinez-Regoband, David ; Li, Lingbo ; Kanthan, Leslie ; Kong, Hoiliong ; Basios, Michail ; Ventre, Carmine ; Fang, Fan. In: Papers. RePEc:arx:papers:2003.11352.

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

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

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

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

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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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2019Detecting Imbalances in House Prices: What Goes Up Must Come Down?. (2019). Anundsen, Andre K. In: Scandinavian Journal of Economics. RePEc:bla:scandj:v:121:y:2019:i:4:p:1587-1619.

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2019Structural Breaks in Time Series. (2018). Perron, Pierre ; Casini, Alessandro. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2019-002.

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2019Business Cycle Narratives. (2019). Thorsrud, Leif ; Larsen, Vegard. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7468.

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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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2019Contagion Testing in Embryonic Markets under Alternative Stressful US Market Scenarios. (2019). Mahadeo, Scott ; Legrenzi, Gabriella ; Heinlein, Reinhold. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8029.

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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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2020Mildly Explosive Dynamics in U.S. Fixed Income Markets. (2019). Guidolin, Massimo ; De Pace, Pierangelo ; Contessi, Silvio ; DePace, Pierangelo. In: Economics Department, Working Paper Series. RePEc:clm:pomwps:1001.

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

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

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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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2019Comparing Forecasts of Extremely Large Conditional Covariance Matrices. (2019). Ruiz, Esther ; Moura, Guilherme. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:29291.

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

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

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2019Quantitative easing and exuberance in stock markets: Evidence from the euro area. (2019). Hudepohl, Thomas ; de Vette, Nander ; van Lamoen, Ryan . In: DNB Working Papers. RePEc:dnb:dnbwpp:660.

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2019Was there a bubble in the ICO market?. (2019). Stolbov, Mikhail. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00673.

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

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

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

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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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2019Driving factors of equity bubbles. (2019). Chen, Langnan ; Wang, Shengquan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:49:y:2019:i:c:p:304-317.

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2019Asymmetric adjustment, non-linearity and housing price bubbles: New international evidence. (2019). Wu, An-Chi ; Chen, Shyh-Wei ; Xie, Zixiong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818305849.

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

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

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

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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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2019Combining p-values to test for multiple structural breaks in cointegrated regressions. (2019). Urga, Giovanni ; Bergamelli, Michele ; Khalaf, Lynda ; Bianchi, Annamaria. In: Journal of Econometrics. RePEc:eee:econom:v:211:y:2019:i:2:p:461-482.

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2019Variable selection in panel models with breaks. (2019). Zhu, Yinchu ; Timmermann, Allan ; Smith, Simon C. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:323-344.

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

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2020Hybrid stochastic local unit roots. (2020). Phillips, Peter ; Lieberman, Offer. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:1:p:257-285.

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

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

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

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

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

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2019The factor analytical method for interactive effects dynamic panel models with moving average errors. (2019). Westerlund, Joakim ; Norkut, Milda. In: Econometrics and Statistics. RePEc:eee:ecosta:v:11:y:2019:i:c:p:83-104.

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

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

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

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2019Bond and option prices with permanent shocks. (2019). Al-Zoubi, Haitham A. In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:272-290.

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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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2019Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications. (2019). Baum, Christopher ; Zerilli, Paola ; Chen, Liyuan. In: Energy Economics. RePEc:eee:eneeco:v:79:y:2019:i:c:p:111-129.

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2019Stop-loss and leverage in optimal statistical arbitrage with an application to energy market. (2019). Baldi, Tommaso Santagostino ; Baviera, Roberto. In: Energy Economics. RePEc:eee:eneeco:v:79:y:2019:i:c:p:130-143.

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2019Probabilistic electricity price forecasting with Bayesian stochastic volatility models. (2019). Kostrzewska, Jadwiga ; Kostrzewski, Maciej . In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:610-620.

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2019Towards a worldwide integrated market? New evidence on the dynamics of U.S., European and Asian natural gas prices. (2019). Chiappini, Raphaël ; Raymond, Paul ; Jegourel, Yves. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:545-565.

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

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

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

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

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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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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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2019Co-explosivity in the cryptocurrency market. (2019). Shahzad, Syed Jawad Hussain ; Hussain, Syed Jawad ; Bouri, Elie ; Roubaud, David. In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:178-183.

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2019Regime changes in Bitcoin GARCH volatility dynamics. (2019). Ardia, David ; Ruede, Maxime ; Bluteau, Keven. In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:266-271.

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2019Explosive behavior in the prices of Bitcoin and altcoins. (2019). Cagli, Efe Caglar. In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:398-403.

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2019Systematic risk in cryptocurrency market: Evidence from DCC-MGARCH model. (2019). Canh, Nguyen ; Choti, Udomsak Wong ; Thong, Nguyen Trung ; Thanh, Su Dinh ; Dinhthanh, SU ; Wongchoti, Udomsak . In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:90-100.

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2019Cryptocurrencies as financial bubbles: The case of Bitcoin. (2019). Wagner, Niklas ; Kinateder, Harald ; Geuder, Julian. In: Finance Research Letters. RePEc:eee:finlet:v:31:y:2019:i:c:s1544612318306846.

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

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

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

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

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

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

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2019Property heterogeneity and convergence club formation among local house prices. (2019). Panagiotidis, Theodore ; Otero, Jesus ; Holmes, Mark. In: Journal of Housing Economics. RePEc:eee:jhouse:v:43:y:2019:i:c:p:1-13.

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

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2019Price volatility and speculative activities in futures commodity markets: A combination of combinations of p-values test. (2019). Leccadito, Arturo ; Algieri, Bernardina. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:13:y:2019:i:c:p:40-54.

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2019Characteristics of petroleum product prices: A survey. (2019). Linn, Scott ; Ederington, Louis H ; Lee, Thomas K ; Hoelscher, Seth A ; Fernando, Chitru S. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:14:y:2019:i:c:p:1-15.

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

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2019Can alternative hedging assets add value to Islamic-conventional portfolio mix: Evidence from MGARCH models. (2019). Ali, Sajid ; Raza, Naveed ; Salman, Aneel ; Ur, Mobeen ; Hussain, Syed Jawad. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:210-230.

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2019Portfolio management and dependencies among precious metal markets: Evidence from a Copula quantile-on-quantile approach. (2019). Wanas, Idries Mohammad ; Maitra, Debasish ; Mensi, Walid ; Al-Yahyaee, Khamis Hamed. In: Resources Policy. RePEc:eee:jrpoli:v:64:y:2019:i:c:s0301420719303496.

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

Works by Jun Yu:

YearTitleTypeCited
2018A New Wald Test for Hypothesis Testing Based on MCMC outputs In: Papers.
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2002MCMC Methods for Estimating Stochastic Volatility Models with Liverage Effects: Comments on Jacquier, Polson and Rossi (2002) In: Working Papers.
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2000Exact Gaussian Estimation of Continuous Time Models of The Term Structure of Interest Rates Rankings of Economics Departments in New Zealand In: Working Papers.
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1999Estimation of a Self-Exciting Poisson Jump Diffusion Model by the Empirical Characteristic Function Method In: Working Papers.
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1999Forecasting Volatility in the New Zealand Stock Market In: Working Papers.
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2002Forecasting volatility in the New Zealand stock market.(2002) In: Applied Financial Economics.
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2002Deviance Information Criterion as a Model Comparison Criterion for Stochastic Volatility Models In: Working Papers.
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2002Estimation of Hyperbolic Diffusion using MCMC Method In: Working Papers.
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2002Estimation of Hyperbolic Diffusion Using MCMC Method.(2002) In: Monash Econometrics and Business Statistics Working Papers.
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2002Jacknifing Bond Option Prices In: Working Papers.
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2003Jackknifing Bond Option Prices.(2003) In: Cowles Foundation Discussion Papers.
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2004Jackknifing Bond Option Prices.(2004) In: Econometric Society 2004 North American Winter Meetings.
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2005Jackknifing Bond Option Prices.(2005) In: Review of Financial Studies.
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1999A Test Statistic and Its Application in Modelling Daily Stock Returns In: Working Papers.
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2002A Class of Nonlinear Stochastic Volatility Models In: Working Papers.
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1999Efficient Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method In: Working Papers.
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2000BUGS for a Bayesian Analysis of Stochastic Volatility Models In: Working Papers.
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2000BUGS for a Bayesian analysis of stochastic volatility models.(2000) In: Econometrics Journal.
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2001Forecasting Volatility:Evidence from the German Stock Market In: Working Papers.
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1999Empirical Characteristic Function in Time Series Estimation In: Working Papers.
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2002EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION.(2002) In: Econometric Theory.
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1999Do Topics Diffuse from Core to Periphery Journals? In: Working Papers.
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2004Deviance Information Criterion for Comparing Stochastic Volatility Models. In: Journal of Business & Economic Statistics.
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2006Comment In: Journal of Business & Economic Statistics.
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2002Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method In: Australian & New Zealand Journal of Statistics.
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2014Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour In: Oxford Bulletin of Economics and Statistics.
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2012Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior.(2012) In: Cowles Foundation Discussion Papers.
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2011Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior.(2011) In: Working Papers.
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2012Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior.(2012) In: Working Papers.
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2007Information Loss in Volatility Measurement with Flat Price Trading In: Levine's Bibliography.
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2007Information Loss in Volatility Measurement with Flat Price Trading.(2007) In: Cowles Foundation Discussion Papers.
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2009Information Loss in Volatility Measurement with Flat Price Trading.(2009) In: Global COE Hi-Stat Discussion Paper Series.
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2001Do Stock Returns Follow a Finite Variance Distribution? In: Annals of Economics and Finance.
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2007Realized Daily Variance of S&P 500 Cash Index: A Revaluation of Stylized Facts In: Annals of Economics and Finance.
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2019An Improved Bayesian Unit Root Test in Stochastic Volatility Models In: Annals of Economics and Finance.
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2014SPECIAL ISSUE OF ECONOMETRIC THEORY ON SETA 2010: EDITORS’ INTRODUCTION In: Econometric Theory.
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2014ECONOMETRIC ANALYSIS OF CONTINUOUS TIME MODELS: A SURVEY OF PETER PHILLIPS’S WORK AND SOME NEW RESULTS In: Econometric Theory.
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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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2009Simulation-Based Estimation of Contingent-Claims Prices.(2009) In: Review of Financial Studies.
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2008Simulation-based Estimation of Contingent-claims Prices.(2008) In: Finance Working Papers.
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2007Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance In: Cowles Foundation Discussion Papers.
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2006Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance.(2006) In: Development Economics Working Papers.
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2009Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? In: Cowles Foundation Discussion Papers.
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2009Explosive Behavior in the 1990s Nasdaq : When Did Exuberance Escalate Asset Values?.(2009) In: Finance Working Papers.
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2007Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?.(2007) In: Working Papers.
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2011EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?.(2011) In: International Economic Review.
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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: Working 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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2011Bias in Estimating Multivariate and Univariate Diffusions In: Cowles Foundation Discussion Papers.
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2011Bias in estimating multivariate and univariate diffusions.(2011) In: Journal of Econometrics.
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2012Testing for Multiple Bubbles In: Cowles Foundation Discussion Papers.
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2011Testing for Multiple Bubbles.(2011) In: Working Papers.
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2012Testing for Multiple Bubbles.(2012) In: Working Papers.
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2013Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500 In: Cowles Foundation Discussion Papers.
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2013Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500.(2013) In: Working Papers.
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2015TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500.(2015) In: International Economic Review.
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2013Testing for Multiple Bubbles: Limit Theory of Real Time Detectors In: Cowles Foundation Discussion Papers.
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2013Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors.(2013) In: Working Papers.
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2015TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL‐TIME DETECTORS.(2015) In: International Economic Review.
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2014A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market In: Cowles Foundation Discussion Papers.
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2014A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market.(2014) In: Working Papers.
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2017Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour In: Cowles Foundation Discussion Papers.
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2019Random coefficient continuous systems: Testing for extreme sample path behavior.(2019) In: Journal of Econometrics.
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2017Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour.(2017) In: Economics and Statistics Working Papers.
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2005Comments on “A selective overview of nonparametric methods in financial econometrics†In: Finance Working Papers.
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2005Comment on “Realized Variance and Market Microstructure Noise†by Peter R. Hansen and Asger Lunde In: Finance Working Papers.
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2009Forecasting Realized Volatility Using A Nonnegative Semiparametric Model In: Finance Working Papers.
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2019Forecasting Realized Volatility Using a Nonnegative Semiparametric Model.(2019) In: Journal of Risk and Financial Management.
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2009Forecasting Realized Volatility Using A Nonnegative Semiparametric Model.(2009) In: Working Papers.
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2009Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises In: Finance Working Papers.
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2010Bayesian analysis of structural credit risk models with microstructure noises.(2010) In: Journal of Economic Dynamics and Control.
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2006A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete In: Macroeconomics Working Papers.
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2006Multivariate Stochastic Volatility In: Microeconomics Working Papers.
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2009Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models In: Microeconomics Working Papers.
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2012Bias in the estimation of the mean reversion parameter in continuous time models.(2012) In: Journal of Econometrics.
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2009Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models.(2009) In: Working Papers.
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2009Econometric Analysis of Continuous Time Models : A Survey of Peter Phillips’ Work and Some New Results In: Microeconomics Working Papers.
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2004On leverage in a stochastic volatility model In: Econometric Society 2004 Far Eastern Meetings.
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2004On Leverage in a Stochastic Volatility Model.(2004) In: Econometric Society 2004 Far Eastern Meetings.
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2005On leverage in a stochastic volatility model.(2005) In: Journal of Econometrics.
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2004On Leverage in a Stochastic Volatility Model.(2004) In: Working Papers.
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2001A Gaussian approach for continuous time models of the short-term interest rate In: Econometrics Journal.
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2013Detecting bubbles in Hong Kong residential property market In: Journal of Asian Economics.
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2012Detecting Bubbles in Hong Kong Residential Property Market.(2012) In: Working Papers.
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2006A class of nonlinear stochastic volatility models and its implications for pricing currency options In: Computational Statistics & Data Analysis.
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2002A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options.(2002) In: Monash Econometrics and Business Statistics Working Papers.
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2014A flexible and automated likelihood based framework for inference in stochastic volatility models In: Computational Statistics & Data Analysis.
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2015Limit theory for an explosive autoregressive process In: Economics Letters.
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2015Asymptotic theory for linear diffusions under alternative sampling schemes In: Economics Letters.
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2015Bias in the estimation of mean reversion in continuous-time Lévy processes In: Economics Letters.
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2019Asymptotic theory for rough fractional Vasicek models In: Economics Letters.
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2018Asymptotic Theory for Rough Fractional Vasicek Models.(2018) In: Economics and Statistics Working Papers.
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2009A two-stage realized volatility approach to estimation of diffusion processes with discrete data In: Journal of Econometrics.
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2012A semiparametric stochastic volatility model In: Journal of Econometrics.
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2014A new approach to Bayesian hypothesis testing In: Journal of Econometrics.
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2014Maximum likelihood estimation of partially observed diffusion models In: Journal of Econometrics.
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2015A Bayesian chi-squared test for hypothesis testing In: Journal of Econometrics.
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2016Double asymptotics for explosive continuous time models In: Journal of Econometrics.
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2012Double Asymptotics for Explosive Continuous Time Models.(2012) In: Working Papers.
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2017Inference in continuous systems with mildly explosive regressors In: Journal of Econometrics.
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2018New distribution theory for the estimation of structural break point in mean In: Journal of Econometrics.
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2018Specification tests based on MCMC output In: Journal of Econometrics.
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2017A Specification Test based on the MCMC Output.(2017) In: Economics and Statistics Working Papers.
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2020Deviance information criterion for latent variable models and misspecified models In: Journal of Econometrics.
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2007Temporal aggregation and risk-return relation In: Finance Research Letters.
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2006Temporal Aggregation and Risk-Return Relation.(2006) In: Working Papers.
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2015New methodology for constructing real estate price indices applied to the Singapore residential market In: Journal of Banking & Finance.
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2015Optimal jackknife for unit root models In: Statistics & Probability Letters.
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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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2016Model Selection for Explosive Models In: Economics and Statistics Working Papers.
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