20
H index
31
i10 index
2066
Citations
Singapore Management University (99% share) | 20 H index 31 i10 index 2066 Citations RESEARCH PRODUCTION: 58 Articles 127 Papers 2 Chapters RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Jun Yu. | Is cited by: | Cites to: |
Year | Title of citing document | |
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2020 | Estimation of Structural Break Point in Linear Regression Models. (2019). Baek, Yaein. In: Papers. RePEc:arx:papers:1811.03720. Full description at Econpapers || Download paper | |
2020 | Factor Investing: Hierarchical Ensemble Learning. (2019). Feng, Guanhao ; He, Jingyu. In: Papers. RePEc:arx:papers:1902.01015. Full description at Econpapers || Download paper | |
2020 | Allowance 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. Full description at Econpapers || Download paper | |
2020 | Stochastic leverage effect in high-frequency data: a Fourier based analysis. (2019). Sanfelici, Simona ; Curato, Imma Valentina. In: Papers. RePEc:arx:papers:1910.06660. Full description at Econpapers || Download paper | |
2020 | An empirical study of neural networks for trend detection in time series. (2019). Drigout, Gilles ; Miot, Alexandre. In: Papers. RePEc:arx:papers:1912.04009. Full description at Econpapers || Download paper | |
2020 | Where 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. Full description at Econpapers || Download paper | |
2021 | Cryptocurrency 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. Full description at Econpapers || Download paper | |
2020 | Pricing Energy Contracts under Regime Switching Time-Changed models. (2020). Olivares, Pablo ; Ferrando, Sebastian ; Gajewski, Konrad. In: Papers. RePEc:arx:papers:2005.14361. Full description at Econpapers || Download paper | |
2020 | Testing 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. Full description at Econpapers || Download paper | |
2020 | Measures of Model Risk in Continuous-time Finance Models. (2020). Qi, Shuyuan ; Lazar, Emese ; Tunaru, Radu. In: Papers. RePEc:arx:papers:2010.08113. Full description at Econpapers || Download paper | |
2020 | Dynamic factor, leverage and realized covariances in multivariate stochastic volatility. (2020). Omori, Yasuhiro ; Yamauchi, Yuta. In: Papers. RePEc:arx:papers:2011.06909. Full description at Econpapers || Download paper | |
2020 | Time-Transformed Test for the Explosive Bubbles under Non-stationary Volatility. (2020). Skrobotov, Anton ; Kurozumi, Eiji ; Tsarev, Alexey. In: Papers. RePEc:arx:papers:2012.13937. Full description at Econpapers || Download paper | |
2020 | TO LEAN OR NOT TO LEAN AGAINST AN ASSET PRICE BUBBLE? EMPIRICAL EVIDENCE. (2020). Malliaris, Anastasios ; Evgenidis, Anastasios. In: Economic Inquiry. RePEc:bla:ecinqu:v:58:y:2020:i:4:p:1958-1976. Full description at Econpapers || Download paper | |
2020 | Robust estimation of stationary continuousâ€time arma models via indirect inference. (2020). Kimmig, Sebastian ; Fasenhartmann, Vicky. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:5:p:620-651. Full description at Econpapers || Download paper | |
2020 | An autoregressive model based on the generalized hyperbolic distribution. (2020). Karttunen, Henri. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:47:y:2020:i:3:p:787-816. Full description at Econpapers || Download paper | |
2020 | Mildly 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. Full description at Econpapers || Download paper | |
2020 | Comovement and Instability in Cryptocurrency Markets. (2020). De Pace, Pierangelo ; Rao, Jayant ; DePace, Pierangelo. In: Economics Department, Working Paper Series. RePEc:clm:pomwps:1012. Full description at Econpapers || Download paper | |
2020 | The 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. Full description at Econpapers || Download paper | |
2020 | Diagnosing Housing Fever with an Econometric Thermometer. (2020). Phillips, Peter ; Shi, Shuping. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2248. Full description at Econpapers || Download paper | |
2020 | Common Bubble Detection in Large Dimensional Financial Systems. (2020). Phillips, Peter ; Shi, Shuping ; Chen, YE. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2251. Full description at Econpapers || Download paper | |
2020 | Date-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. Full description at Econpapers || Download paper | |
2020 | Horizon-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. Full description at Econpapers || Download paper | |
2020 | Volatility 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. Full description at Econpapers || Download paper | |
2021 | Price explosiveness in nonferrous metal futures markets. (2021). Xiong, Tao ; Ma, Richie Ruchuan. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:75-90. Full description at Econpapers || Download paper | |
2021 | Identifying bubbles and the contagion effect between oil and stock markets: New evidence from China. (2021). Wen, Huwei ; Zhao, Zhao ; Li, KE. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:780-788. Full description at Econpapers || Download paper | |
2020 | Empirical 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. Full description at Econpapers || Download paper | |
2020 | Impact 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. Full description at Econpapers || Download paper | |
2020 | Leverage effect on stochastic volatility for option pricing in Hong Kong: A simulation and empirical study. (2020). Bian, Zhicun ; Hong, Hui ; Chen, Naiwei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818303565. Full description at Econpapers || Download paper | |
2020 | Bubble 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. Full description at Econpapers || Download paper | |
2020 | Sequential 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. Full description at Econpapers || Download paper | |
2020 | Hybrid 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. Full description at Econpapers || Download paper | |
2020 | Dynamic 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. Full description at Econpapers || Download paper | |
2020 | Asymptotic 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. Full description at Econpapers || Download paper | |
2020 | Generalized 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. Full description at Econpapers || Download paper | |
2020 | Volatility 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. Full description at Econpapers || Download paper | |
2020 | Statistical 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. Full description at Econpapers || Download paper | |
2020 | Monte Carlo two-stage indirect inference (2SIF) for autoregressive panels. (2020). Saunders, Charles J ; Khalaf, Lynda. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:419-434. Full description at Econpapers || Download paper | |
2020 | Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects. (2020). Luger, Richard ; Gungor, Sermin. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:750-770. Full description at Econpapers || Download paper | |
2020 | Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root. (2020). Tu, Yundong ; Lin, Yingqian. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:1:p:52-65. Full description at Econpapers || Download paper | |
2020 | Multiple-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. Full description at Econpapers || Download paper | |
2020 | Asymmetric 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. Full description at Econpapers || Download paper | |
2020 | On generalized bivariate student-t Gegenbauer long memory stochastic volatility models with leverage: Bayesian forecasting of cryptocurrencies with a focus on Bitcoin. (2020). Peiris, Shelton ; Chan, Jennifer ; Phillip, Andrew. In: Econometrics and Statistics. RePEc:eee:ecosta:v:16:y:2020:i:c:p:69-90. Full description at Econpapers || Download paper | |
2020 | Mildly 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. Full description at Econpapers || Download paper | |
2020 | Testing for explosive bubbles in the presence of autocorrelated innovations. (2020). Montes, Erik Christian ; Pedersen, Thomas Quistgaard . In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:207-225. Full description at Econpapers || Download paper | |
2020 | Date-stamping multiple bubble regimes. (2020). Whitehouse, Emily ; Leybourne, Stephen J ; Harvey, David I. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:226-246. Full description at Econpapers || Download paper | |
2020 | The time-varying asymmetry of exchange rate returns: A stochastic volatility – stochastic skewness model. (2020). Iseringhausen, Martin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:275-292. Full description at Econpapers || Download paper | |
2020 | Time-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. Full description at Econpapers || Download paper | |
2020 | Mild 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. Full description at Econpapers || Download paper | |
2020 | Identifying 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. Full description at Econpapers || Download paper | |
2020 | Relationship between green bonds and financial and environmental variables: A novel time-varying causality. (2020). Mokni, Khaled ; Ajmi, Ahdi Noomen ; Hammoudeh, Shawkat. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320302814. Full description at Econpapers || Download paper | |
2020 | Copula stochastic volatility in oil returns: Approximate Bayesian computation with volatility prediction. (2020). Ausin, Concepcion M ; Virbickait, Audron ; Galeano, Pedro. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320303017. Full description at Econpapers || Download paper | |
2020 | Chinese 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. Full description at Econpapers || Download paper | |
2020 | Heterogeneous dependence between crude oil price volatility and China’s agriculture commodity futures: Evidence from quantile-on-quantile regression. (2020). Zhu, Huiming ; Hau, Liya ; Ma, Xiang ; Huang, Rui. In: Energy. RePEc:eee:energy:v:213:y:2020:i:c:s0360544220318880. Full description at Econpapers || Download paper | |
2020 | Asymmetric mean reversion of Bitcoin price returns. (2020). Corbet, Shaen ; Katsiampa, Paraskevi. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521918306136. Full description at Econpapers || Download paper | |
2020 | Measuring quantile dependence and testing directional predictability between Bitcoin, altcoins and traditional financial assets. (2020). Corbet, Shaen ; Marco, Chi Keung ; Katsiampa, Paraskevi. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920302155. Full description at Econpapers || Download paper | |
2020 | What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective?. (2020). Oxley, Les ; Hu, Yang ; Hou, Yang Greg. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302131. Full description at Econpapers || Download paper | |
2020 | Forecasting 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. Full description at Econpapers || Download paper | |
2020 | Do FOMC and macroeconomic announcements affect Bitcoin prices?. (2020). Lee, Jae Wook ; Pyo, Sujin. In: Finance Research Letters. RePEc:eee:finlet:v:37:y:2020:i:c:s154461231930159x. Full description at Econpapers || Download paper | |
2020 | Cryptocurrency 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. Full description at Econpapers || Download paper | |
2020 | Fishing for fools. (2020). Szeidl, Adam ; Malmendier, Ulrike. In: Games and Economic Behavior. RePEc:eee:gamebe:v:122:y:2020:i:c:p:105-129. Full description at Econpapers || Download paper | |
2020 | Realized 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. Full description at Econpapers || Download paper | |
2020 | A 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. Full description at Econpapers || Download paper | |
2020 | Forecasting volatility with time-varying leverage and volatility of volatility effects. (2020). Proietti, Tommaso ; Catania, Leopoldo. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:4:p:1301-1317. Full description at Econpapers || Download paper | |
2021 | Uncertainty of M&As under asymmetric estimation. (2021). Kanungo, Rama Prasad. In: Journal of Business Research. RePEc:eee:jbrese:v:122:y:2021:i:c:p:774-793. Full description at Econpapers || Download paper | |
2020 | Understanding risk of bubbles in cryptocurrencies. (2020). Molnár, Peter ; Molnar, P ; Luivjanska, K ; Landsnes, Ch J ; Enoksen, F A. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:176:y:2020:i:c:p:129-144. Full description at Econpapers || Download paper | |
2020 | When 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. Full description at Econpapers || Download paper | |
2020 | House price index based on online listing information: The case of China. (2020). Li, Keyang ; Wang, Xiaodan ; Wu, Jing. In: Journal of Housing Economics. RePEc:eee:jhouse:v:50:y:2020:i:c:s1051137720300516. Full description at Econpapers || Download paper | |
2020 | Explosive dynamics in house prices? An exploration of financial market spillovers in housing markets around the world. (2020). MartÃÂnez GarcÃÂa, Enrique ; Grossman, Valerie ; Martinez-Garcia, Enrique. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:101:y:2020:i:c:s0261560618305813. Full description at Econpapers || Download paper | |
2020 | Speculative bubbles in segmented markets: Evidence from Chinese cross-listed stocks. (2020). Pavlidis, Efthymios ; Vasilopoulos, Kostas. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:109:y:2020:i:c:s0261560620301789. Full description at Econpapers || Download paper | |
2020 | Bayesian sequential stock return prediction through copulas. (2020). Frey, Christoph ; Virbickait, Audron ; Macedo, Demian N. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:22:y:2020:i:c:s1703494920300207. Full description at Econpapers || Download paper | |
2020 | Recurrent 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. Full description at Econpapers || Download paper | |
2020 | Testing for multiple bubbles in the copper price: Periodically collapsing behavior. (2020). Wang, Xiao-Qing ; Su, Chi-Wei ; Lobon, Oana-Ramona ; Moldovan, Nicoleta-Claudia ; Tao, Ran ; Zhu, Haotian. In: Resources Policy. RePEc:eee:jrpoli:v:65:y:2020:i:c:s0301420719301825. Full description at Econpapers || Download paper | |
2020 | Stationarity of prices of precious and industrial metals using recent unit root methods: Implications for markets’ efficiency. (2020). Wahab, Bashir ; Adewuyi, Adeolu O ; Adeboye, Olusegun S. In: Resources Policy. RePEc:eee:jrpoli:v:65:y:2020:i:c:s0301420719305987. Full description at Econpapers || Download paper | |
2020 | Is palladium price in bubble?. (2020). Koseolu, Sinem Derindere ; Khan, Khalid. In: Resources Policy. RePEc:eee:jrpoli:v:68:y:2020:i:c:s030142072030194x. Full description at Econpapers || Download paper | |
2020 | Real estate bubbles in a bank-real estate loan network model integrating economic cycle and macro-prudential stress testing. (2020). Meng, YI ; Wang, Jining ; Li, Shouwei. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:542:y:2020:i:c:s0378437119314748. Full description at Econpapers || Download paper | |
2020 | Disentangling bubbles in equity REITs. (2020). Soyeh, Kenneth W ; Kim, Dongshin ; Jafarinejad, Mohammad ; Huerta-Sanchez, Daniel. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:76:y:2020:i:c:p:357-367. Full description at Econpapers || Download paper | |
2020 | A new mechanism for anticipating price exuberance. (2020). Moreira, Afonso M ; Martins, Luis F. In: International Review of Economics & Finance. RePEc:eee:reveco:v:65:y:2020:i:c:p:199-221. Full description at Econpapers || Download paper | |
2020 | A systematic review of the bubble dynamics of cryptocurrency prices. (2020). Corbet, Shaen ; Kyriazis, Nikolaos ; Papadamou, Stephanos. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531919310037. Full description at Econpapers || Download paper | |
2020 | Volatility estimation of general Gaussian Ornstein–Uhlenbeck process. (2020). Bajja, Salwa ; Yu, Qian. In: Statistics & Probability Letters. RePEc:eee:stapro:v:163:y:2020:i:c:s0167715220300997. Full description at Econpapers || Download paper | |
2020 | The asymmetric effects of monetary policy on stock price bubbles. (2020). Labondance, Fabien ; Hubert, Paul ; Blot, Christophe. In: Documents de Travail de l'OFCE. RePEc:fce:doctra:2012. Full description at Econpapers || Download paper | |
2020 | Simultaneous Indirect Inference, Impulse Responses and ARMA Models. (2020). Lopez, Beatriz Peraza ; Khalaf, Lynda. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:2:p:12-:d:340306. Full description at Econpapers || Download paper | |
2020 | Bubbles in Crude Oil and Commodity Energy Index: New Evidence. (2020). Galyfianakis, Georgios ; Floros, Christos. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:24:p:6648-:d:463170. Full description at Econpapers || Download paper | |
2021 | The Impact of Forecasting Jumps on Forecasting Electricity Prices. (2021). Kostrzewska, Jadwiga ; Kostrzewski, Maciej. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:2:p:336-:d:477466. Full description at Econpapers || Download paper | |
2020 | Recent Advancements in Section “Economics and Finance”. (2020). Stengos, Thanasis. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:11:p:289-:d:448153. Full description at Econpapers || Download paper | |
2020 | A Principal Component-Guided Sparse Regression Approach for the Determination of Bitcoin Returns. (2020). Stengos, Thanasis ; Panagiotidis, Theodore ; Vravosinos, Orestis. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:2:p:33-:d:319970. Full description at Econpapers || Download paper | |
2020 | An Alternative Pricing System through Bayesian Estimates and Method of Moments in a Bonus-Malus Framework for the Ghanaian Auto Insurance Market. (2020). Wu, Zhao ; Jacob, Azaare. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:7:p:143-:d:380011. Full description at Econpapers || Download paper | |
2020 | Stochastic Volatility and GARCH: Do Squared End-of-Day Returns Provide Similar Information?. (2020). Allen, David Edmund. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:9:p:202-:d:410152. Full description at Econpapers || Download paper | |
2020 | Do We Need Stochastic Volatility and Generalised Autoregressive Conditional Heteroscedasticity? Comparing Squared End-Of-Day Returns on FTSE. (2020). McAleer, Michael ; Allen, David. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:1:p:12-:d:315296. Full description at Econpapers || Download paper | |
2020 | Financial Bubbles: A Study of Co-Explosivity in the Cryptocurrency Market. (2020). Cafferata, Alessia ; Agosto, Arianna. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:2:p:34-:d:343546. Full description at Econpapers || Download paper | |
2020 | Estimating Stochastic Volatility under the Assumption of Stochastic Volatility of Volatility. (2020). Gkillas, Konstantinos ; Floros, Christos ; Alghalith, Moawia. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:2:p:35-:d:344228. Full description at Econpapers || Download paper | |
2020 | Effect of Variance Swap in Hedging Volatility Risk. (2020). Shen, Yang. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:3:p:70-:d:379043. Full description at Econpapers || Download paper | |
2020 | A principal component-guided sparse regression approach for the determination of bitcoin returns. (2020). Stengos, Thanasis ; Panagiotidis, Theodore ; Vravosinos, Orestis. In: Working Papers. RePEc:gue:guelph:2020-01. Full description at Econpapers || Download paper | |
2020 | Mildly Explosive Dynamics in U.S. Fixed Income Markets. (2020). Guidolin, Massimo ; de Pace, Pierangelo ; DePace, Pierangelo ; Contessi, Silvio. In: Working Papers. RePEc:igi:igierp:667. Full description at Econpapers || Download paper | |
2020 | Monitoring Cointegrating Polynomial Regressions: Theory and Application to the Environmental Kuznets Curves for Carbon and Sulfur Dioxide Emissions. (2020). Wagner, Martin ; Knorre, Fabian ; Grupe, Maximilian. In: IHS Working Paper Series. RePEc:ihs:ihswps:27. Full description at Econpapers || Download paper | |
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2020 | Public finances in the EU-27: Are they sustainable?. (2020). Cuestas, Juan ; Sauci, Laura ; Gil-Alana, Luis A. In: Empirica. RePEc:kap:empiri:v:47:y:2020:i:1:d:10.1007_s10663-018-9411-0. Full description at Econpapers || Download paper | |
2020 | Health expenditure, longevity, and child mortality: dynamic panel data approach with global data. (2020). Linden, Mikael ; Ray, Devdatta . In: International Journal of Health Economics and Management. RePEc:kap:ijhcfe:v:20:y:2020:i:1:d:10.1007_s10754-019-09272-z. Full description at Econpapers || Download paper | |
2020 | Detecting Bubbles in the US and UK Real Estate Markets. (2020). Tunaru, Radu S ; Panopoulou, Ekaterini ; Kynigakis, Iason ; Fabozzi, Frank J. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:60:y:2020:i:4:d:10.1007_s11146-018-9693-9. Full description at Econpapers || Download paper | |
2020 | Triple Regime Stochastic Volatility Model with Threshold and Leverage Effects. (2020). Lee, Eunhee ; Han, Heejoon. In: Korean Economic Review. RePEc:kea:keappr:ker-20200701-36-2-07. Full description at Econpapers || Download paper | |
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2010 | A Conversation with Eric Ghysels Co-President of the Society for Financial Econometrics In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2010 | Measurement and High Finance In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2010 | Corrigendum to “A Gaussian Approach for Continuous Time Models of the Short Term Interest Rate In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2010 | Simulation-based Estimation Methods for Financial Time Series Models In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2009 | Stimulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2014 | On Bias in the Estimation of Structural Break Points In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2004 | Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison In: Working Papers. [Full Text][Citation analysis] | paper | 53 |
2006 | Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison.(2006) In: Econometric Reviews. [Full Text][Citation analysis] This paper has another version. Agregated cites: 53 | article | |
2004 | Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
2012 | Robust Deviance Information Criterion for Latent Variable Models In: Working Papers. [Full Text][Citation analysis] | paper | 10 |
2004 | Empirical Characteristic Function Estimation and Its Applications In: Econometric Reviews. [Full Text][Citation analysis] | article | 38 |
2006 | Multivariate Stochastic Volatility: A Review In: Econometric Reviews. [Full Text][Citation analysis] | article | 197 |
1999 | Testing the expectations theory of the term structure for New Zealand In: New Zealand Economic Papers. [Full Text][Citation analysis] | article | 6 |
2004 | Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method In: Quantitative Finance. [Full Text][Citation analysis] | article | 14 |
2015 | Editorial In: Spatial Economic Analysis. [Full Text][Citation analysis] | article | 0 |
2011 | Corrigendum to ‘A Gaussian approach for continuous time models of shortâ€term interest rates’ (Yu, J. and P. C. B. Phillips, Econometrics Journal, 4, 210–24) In: Econometrics Journal. [Full Text][Citation analysis] | article | 0 |
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