Jun Yu : Citation Profile

University of Macau

23

H index

41

i10 index

3573

Citations

RESEARCH PRODUCTION:

85

Articles

157

Papers

8

Chapters

RESEARCH ACTIVITY:

   27 years (1999 - 2026). See details.
   Cites by year: 132
   Journals where Jun Yu has often published
   Relations with other researchers
   Recent citing documents: 123.    Total self citations: 114 (3.09 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pyu5
   Updated: 2026-03-28    RAS profile: 2026-03-16    
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Relations with other researchers

Works with:

Phillips, Peter (10)

Shi, Shuping (9)

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

Is cited by:

Asai, Manabu (130)

Phillips, Peter (68)

Shi, Shuping (63)

Omori, Yasuhiro (59)

Caporin, Massimiliano (55)

GUPTA, RANGAN (44)

Ruiz, Esther (42)

Medeiros, Marcelo (39)

Veiga, Helena (39)

Prats, Maria (26)

Chambers, Marcus (24)

Cites to:

Phillips, Peter (187)

Shephard, Neil (96)

Andersen, Torben (65)

Bollerslev, Tim (60)

Ait-Sahalia, Yacine (45)

Diebold, Francis (38)

Campbell, John (26)

Shiller, Robert (25)

Rossi, Peter (24)

merton, robert (22)

Richard, Jean-Francois (21)

Main data

Where Jun Yu has published?

Journals with more than one article published# docs
Journal of Econometrics22
Econometric Reviews5
Economics Letters4
Econometric Theory4
Nature Communications4
The Review of Financial Studies3
International Economic Review3
Annals of Economics and Finance3
Journal of Time Series Analysis3
Quantitative Finance2
Computational Statistics & Data Analysis2
New Zealand Economic Papers2
Econometrics Journal2
Oxford Bulletin of Economics and Statistics2
Econometrics2
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 Economics33
Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University20
Working Papers / University of Macau, Faculty of Business Administration14
Working Papers / Department of Economics, The University of Auckland14
Finance Working Papers / East Asian Bureau of Economic Research7
Papers / arXiv.org5
Microeconomics Working Papers / East Asian Bureau of Economic Research3
Econometric Society 2004 Far Eastern Meetings / Econometric Society2
Monash Econometrics and Business Statistics Working Papers / Monash University, Department of Econometrics and Business Statistics2
Working Papers / Hong Kong Institute for Monetary Research2
Development Economics Working Papers / East Asian Bureau of Economic Research2

Recent works citing Jun Yu (2026 and 2025)

YearTitle of citing document
2025Farmland Boom or Bubble?. (2025). Etienne, Xiaoli ; Irwin, Scott ; Franken, Jason. In: 2025 AAEA & WAEA Joint Annual Meeting, July 27-29, 2025, Denver, CO. RePEc:ags:aaea25:360676.

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2025Investigating commodity price interdependence with grancer causality networks. (2025). Esposti, Roberto. In: Working Papers. RePEc:anc:wpaper:498.

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2025Bubble Modeling and Tagging: A Stochastic Nonlinear Autoregression Approach. (2025). Yang, Xuanling ; Zhang, Ting ; Li, Dong. In: Papers. RePEc:arx:papers:2401.07038.

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2026Composite likelihood estimation of stationary Gaussian processes with a view toward stochastic volatility. (2024). Christensen, Peter ; Bennedsen, Mikkel. In: Papers. RePEc:arx:papers:2403.12653.

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2026A nonparametric test for diurnal variation in spot correlation processes. (2024). Liu, Zhi ; Hounyo, Ulrich ; Christensen, Kim. In: Papers. RePEc:arx:papers:2408.02757.

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2026Diffusion on the circle and a stochastic correlation model. (2025). Laha, Arnab Kumar ; Majumdar, Sourav. In: Papers. RePEc:arx:papers:2412.06343.

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2025Asymptotic Properties of the Maximum Likelihood Estimator for Markov-switching Observation-driven Models. (2024). Krabbe, Frederik. In: Papers. RePEc:arx:papers:2412.19555.

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2025Time-Varying Bidirectional Causal Relationships Between Transaction Fees and Economic Activity of Subsystems Utilizing the Ethereum Blockchain Network. (2025). Saggu, Aman ; Ante, Lennart. In: Papers. RePEc:arx:papers:2501.05299.

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2025The quest for explosive bubbles in the Indonesian Rupiah/US exchange rate: Does the uncertainty trinity matter?. (2025). Ridwan, Endrizal ; Taifur, Werry Darta ; Karimi, Syafruddin ; Khaliq, Abdul. In: Papers. RePEc:arx:papers:2505.02869.

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2025Bubble Detection with Application to Green Bubbles: A Noncausal Approach. (2025). Hecq, Alain ; Giancaterini, Francesco ; Jasiak, Joann ; Neyazi, Aryan Manafi. In: Papers. RePEc:arx:papers:2505.14911.

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2025Deep Learning Enhanced Multivariate GARCH. (2025). Liu, Chen ; Wang, Haoyuan ; Tran, Minh-Ngoc. In: Papers. RePEc:arx:papers:2506.02796.

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2025Comparing Misspecified Models with Big Data: A Variational Bayesian Perspective. (2025). Mallick, Sushanta K ; Zhang, Junxing ; Zeng, Tao. In: Papers. RePEc:arx:papers:2507.00763.

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2025Prediction of linear fractional stable motions using codifference. (2025). Valade, Thomas ; Sawaya, Karl ; Garcin, Matthieu. In: Papers. RePEc:arx:papers:2507.15437.

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2025Modeling Excess Mortality and Interest Rates using Mixed Fractional Brownian Motions. (2025). Zhou, Hongjuan. In: Papers. RePEc:arx:papers:2507.19445.

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2025Data driven modeling of multiple interest rates with generalized Vasicek-type models. (2025). Viitasaari, Lauri ; Sottinen, Tommi ; Ilmonen, Pauliina ; Laurikkala, Milla ; Ralchenko, Kostiantyn. In: Papers. RePEc:arx:papers:2509.03208.

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2025On Time-subordinated Brownian Motion Processes for Financial Markets. (2025). Kempthorne, Peter ; Shenoy, Rohan. In: Papers. RePEc:arx:papers:2510.14108.

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2025A three-step machine learning approach to predict market bubbles with financial news. (2025). Atsiwo, Abraham. In: Papers. RePEc:arx:papers:2510.16636.

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2025Confidence Sets for the Emergence, Collapse, and Recovery Dates of a Bubble. (2025). Kurozumi, Eiji ; Skrobotov, Anton. In: Papers. RePEc:arx:papers:2511.16172.

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2025Stochastic Volatility Modelling with LSTM Networks: A Hybrid Approach for S&P 500 Index Volatility Forecasting. (2025). Ślepaczuk, Robert ; Perekhodko, Anna. In: Papers. RePEc:arx:papers:2512.12250.

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2026From rough to multifractal multidimensional volatility: A multidimensional Log S-fBM model. (2026). Zarhali, Othmane ; Muzy, Jean-Franccois ; Bacry, Emmanuel. In: Papers. RePEc:arx:papers:2601.10517.

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2026A Robust Similarity Estimator. (2026). Archakov, Ilya. In: Papers. RePEc:arx:papers:2601.12198.

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2025Statistical Properties of Two Asymmetric Stochastic Volatility in Power Mean Models. (2025). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2546.

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2025Nonlinear Dynamics in Monetary Policy-Fueled Stock Market Bubbles. (2025). Magnani, Monia ; Guidolin, Massimo. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp25252.

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2024Value‐at‐Risk under Measurement Error. (2024). Taamouti, Abderrahim ; Song, Xiaojun ; Doukali, Mohamed. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:86:y:2024:i:3:p:690-713.

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2025Time-Varying Causality Impact of Global Economic Conditions Index on Remittances in Lebanon. (2025). Akçay, Selçuk ; Seluk, Akay. In: Review of Middle East Economics and Finance. RePEc:bpj:rmeecf:v:21:y:2025:i:1:p:73-90:n:1005.

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2025Hyperinflation and Explosive Behaviour in the General Price Level. (2025). Crespo, Raul J. In: Bristol Economics Discussion Papers. RePEc:bri:uobdis:25/785.

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2024Fitting complex stochastic volatility models using Laplace approximation. (2024). Lopes, Maria Helena ; Marin, Juan Miguel ; Romero, Eva. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:43947.

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2025Beyond GARCH: Bayesian Neural Stochastic Volatility. (2025). Marn, Juan Miguel ; Guo, Hongfei ; Veiga, Helena. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:47944.

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2025Testing for bubbles in the Brazilian commercial real estate market. (2025). Maldonado, Wilfredo ; Mira, Enrico C. In: Economics Bulletin. RePEc:ebl:ecbull:eb-25-00017.

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2025Testing for co-explosive behavior between mortgages loans and house prices in the Spanish economy. (2025). Esteve, Vicente ; Blanco-Arroyo, Omar ; Prats, Maraia A. In: Working Papers. RePEc:eec:wpaper:2515.

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2026Co-moving systems with explosive regressors and time-varying volatility: Evidence from the Spanish housing market. (2026). Esteve, Vicente ; Blanco-Arroyo, Omar ; Prats, Maraia A. In: Working Papers. RePEc:eec:wpaper:2601.

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2025A unified model of SABR and mean-reverting stochastic volatility for derivative pricing. (2025). Choi, Sun-Yong ; Kim, Jeong-Hoon. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:507:y:2025:i:c:s009630032500325x.

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2025Predicting cryptocurrency volatility: The power of model clustering. (2025). Qu, Shaoguang ; Qiu, Yue ; Xie, Tian ; Shi, Zhentao. In: Economic Modelling. RePEc:eee:ecmode:v:144:y:2025:i:c:s0264999324003432.

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2025Bayesian analysis for functional coefficient conditional autoregressive range model with applications. (2025). Qian, Yixin ; Wang, Bin ; Yu, Enping. In: Economic Modelling. RePEc:eee:ecmode:v:144:y:2025:i:c:s0264999324003602.

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2025Efficient approximation of post-processing posterior predictive p value with economic applications. (2025). Zhang, Yonghui ; Zeng, Tao ; Yu, Muyao ; Wu, Zhou. In: Economic Modelling. RePEc:eee:ecmode:v:146:y:2025:i:c:s0264999325000185.

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2025Firm-level analysis of bubble formation in Chinese real estate equities. (2025). Bermejo, Ramn ; Cueto, Jos Manuel ; Mrquez, Javier ; Figuerola-Ferretti, Isabel. In: Economic Modelling. RePEc:eee:ecmode:v:151:y:2025:i:c:s0264999325002214.

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2025Introducing a novel fragility index for assessing financial stability amid asset bubble episodes. (2025). Dumitrescu, Dan Gabriel ; Lupu, Iulia ; Clin, Adrian Cantemir. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s106294082400216x.

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2025Real-time GARCH@CARR: A joint model of returns, realized measure of volatility and current intraday information. (2025). Xu, Buyun ; Wu, Zhimin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940825000087.

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2025Explosiveness in the renewable energy equity sector: International evidence. (2025). Ferrer, Romn ; Ariza, Juan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s106294082500018x.

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2025A note on the relationship between Bitcoin price and sentiment: New evidence obtained from a cryptocurrency heist. (2025). Ashton, John ; Manahov, Viktor ; Li, Mingnan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:78:y:2025:i:c:s1062940825000725.

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2025Exploring co-explosive dynamics: Bitcoin price, attractiveness, and sentiment variables. (2025). Maral, Emerson Fernandes ; de Prince, Diogo ; Valls, Pedro L. In: Economics Letters. RePEc:eee:ecolet:v:246:y:2025:i:c:s0165176524005561.

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2024Estimation of continuous-time linear DSGE models from discrete-time measurements. (2024). Parra-Alvarez, Juan ; Christensen, Bent Jesper ; Neri, Luca. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:2:s0304407624002161.

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2025The dynamics of U.S. industrial production: A time-varying Granger causality perspective. (2025). Otero, Jesus ; Hurn, Stan ; Baum, Christopher. In: Econometrics and Statistics. RePEc:eee:ecosta:v:33:y:2025:i:c:p:13-22.

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2025The impact of Russia’s Geopolitical Risk on stock markets’ high-moment risk. (2025). Azimli, Asil ; Kalmaz, Demet Beton. In: Economic Systems. RePEc:eee:ecosys:v:49:y:2025:i:1:s0939362524000645.

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2025Fifty years at the interface between financial modeling and operations research. (2025). Fabozzi, Frank J ; Recchioni, Maria Cristina ; Ren, Roberto. In: European Journal of Operational Research. RePEc:eee:ejores:v:327:y:2025:i:1:p:1-21.

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2024Empirical analysis of crude oil dynamics using affine vs. non-affine jump-diffusion models. (2024). Wong, Patrick ; Ignatieva, Katja. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000549.

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2024Exploring the risk dynamics of US green energy stocks: A green time-varying beta approach. (2024). Chakrabarti, Gagari ; Sen, Chitrakalpa. In: Energy Economics. RePEc:eee:eneeco:v:139:y:2024:i:c:s0140988324006595.

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2025The role of geopolitical and climate risk in driving uncertainty in European electricity markets. (2025). Pellini, Elisabetta ; Cincinelli, Peter. In: Energy Economics. RePEc:eee:eneeco:v:144:y:2025:i:c:s0140988325000994.

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2025Detecting speculation in the market for EU emission allowances. (2025). Reissl, Severin ; Terranova, Roberta ; Cozzarini, Chiara ; Tavoni, Massimo. In: Energy Economics. RePEc:eee:eneeco:v:148:y:2025:i:c:s0140988325004797.

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2025Dynamics of co-bubble networks across commodity futures prices and portfolio performance. (2025). Chen, Yan ; Zhang, Lei ; Bouri, Elie. In: Energy Economics. RePEc:eee:eneeco:v:150:y:2025:i:c:s0140988325006668.

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2025Oil price expectations in explosive phases. (2025). Kruse-Becher, Robinson ; Letixerant, Philip. In: Energy Economics. RePEc:eee:eneeco:v:152:y:2025:i:c:s0140988325007339.

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2025Research on energy management optimization of hybrid electric vehicles based on improved curriculum learning. (2025). Shi, Xiuyong ; Liu, Hua ; Jiang, Degang ; Hu, Xianzhi. In: Energy. RePEc:eee:energy:v:324:y:2025:i:c:s0360544225017037.

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2025Heterogeneous housing bubbles and monetary policy. (2025). Duan, Kun ; Zhang, Liya ; Chen, Shuyun ; Urquhart, Andrew. In: International Review of Financial Analysis. RePEc:eee:finana:v:103:y:2025:i:c:s1057521925001668.

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2025Risk connectedness and portfolios between fossil energy, new energy and environmental governance markets. (2025). He, Miao ; Gao, Wang ; Zhang, Hongwei. In: International Review of Financial Analysis. RePEc:eee:finana:v:104:y:2025:i:pa:s1057521925003217.

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2025Oil supply and U.S.-China tensions: A multinational perspective. (2025). Hong, Yanran ; Guo, Xiaozhu ; Yao, Shibin ; Hao, Yixue. In: International Review of Financial Analysis. RePEc:eee:finana:v:104:y:2025:i:pa:s1057521925003655.

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2025Modeling bimodal stock price dynamics by a parsimonious diffusion process. (2025). Wang, Shixuan ; Liu, Zhenya ; Ling, Shiqing ; Zhan, Yaosong. In: International Review of Financial Analysis. RePEc:eee:finana:v:105:y:2025:i:c:s1057521925004545.

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2025Which corporate leaders matter to financial markets?. (2025). Philipps, Collin S ; Ratliff, David J. In: International Review of Financial Analysis. RePEc:eee:finana:v:97:y:2025:i:c:s1057521924007129.

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2025Model specification for volatility forecasting benchmark. (2025). Zhang, Yaojie ; He, Mengxi ; Wen, Danyan ; Wang, Yudong. In: International Review of Financial Analysis. RePEc:eee:finana:v:97:y:2025:i:c:s1057521924007828.

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2024Incorporating weather information into commodity portfolio optimization. (2024). Dai, Xingyu ; Xue, Jianhao ; Zhang, Dongna. In: Finance Research Letters. RePEc:eee:finlet:v:66:y:2024:i:c:s1544612324007025.

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2025Rising bubbles by margin calls. (2025). Alaminos, David. In: Finance Research Letters. RePEc:eee:finlet:v:74:y:2025:i:c:s1544612324017628.

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2025Detecting exuberance phenomena in thematic investing. (2025). Vacca, Gianmarco ; Genoni, Giulia ; Braga, Maria Debora. In: Finance Research Letters. RePEc:eee:finlet:v:75:y:2025:i:c:s1544612325001539.

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2025Geopolitical risk, bank regulation, and systemic risk: A cross-country analysis. (2025). Lu, Yiming ; Song, Gaoya ; Wang, YU. In: Finance Research Letters. RePEc:eee:finlet:v:76:y:2025:i:c:s1544612325001576.

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2025US-China tension and stock market performance in US and China: New insights from time-varying quantile causality method. (2025). Deng, Huimin ; Peng, Cheng ; Liu, Xiang ; Xie, Jiaquan. In: Finance Research Letters. RePEc:eee:finlet:v:85:y:2025:i:pa:s1544612325011468.

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2025Detecting bubbles via deterioration in machine learning predictive accuracy. (2025). Minami, Koutaroh. In: Finance Research Letters. RePEc:eee:finlet:v:86:y:2025:i:pb:s1544612325016782.

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2025Asset class liquidity risk indicators. Timing the risk in the European and US equity and bond markets. (2025). Urga, Giovanni ; Varaldo, Alessandro ; Coppola, Anna. In: Journal of Financial Stability. RePEc:eee:finsta:v:76:y:2025:i:c:s1572308924001542.

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2025Dating housing booms fueled by credit: A Markov switching approach. (2025). Cañizares Martínez, Carlos ; Martnez, Carlos Caizares. In: Journal of Financial Stability. RePEc:eee:finsta:v:78:y:2025:i:c:s1572308925000415.

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2025Sudden stops of capital inflows, macroprudential policies, and bank systemic risk: An international investigation. (2025). Song, Gaoya ; Lu, Yiming ; Wang, YU. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:99:y:2025:i:c:s1042443125000010.

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2025Return predictability, dividend growth, and the persistence of the price–dividend ratio. (2025). Rambaccussing, Dooruj ; Madeira, Joao ; Golinski, Adam ; Goliski, Adam. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:92-110.

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2025Multivariate dynamic mixed-frequency density pooling for financial forecasting. (2025). Lopes, Hedibert F ; Virbickait, Audron ; Zaharieva, Martina Danielova. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:3:p:1184-1198.

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2025Real-time monitoring procedures for early detection of bubbles. (2025). Whitehouse, Emily ; Harvey, D I ; Leybourne, S J. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:3:p:1260-1277.

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20254/2 rough and smooth. (2025). Yin, Jie ; Wong, Hoi Ying ; Yan, Tingjin ; Wang, Ling. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:181:y:2025:i:c:s0378426625001803.

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2025Spillovers between cryptocurrencies and financial markets in a global framework. (2025). Frömmel, Michael ; Vukovi, Darko B ; Zinovev, Vyacheslav ; Vigne, Samuel A ; Frmmel, Michael. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:150:y:2025:i:c:s0261560624002225.

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2026Your fear is (partly) mine: the role of non-VIX volatility in forecasting regional stock market volatility using interpretable machine learning. (2026). Kutan, Ali ; Shi, Jingyi ; Feng, Lingbing. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:160:y:2026:i:c:s0261560625002025.

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2025The other side of the coin: Speculation in bearish natural gas markets. (2025). Ganepola, Chanaka N ; Zarei, Alireza ; Tony-Okeke, Uchenna. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:40:y:2025:i:c:s2405851325000583.

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2025Collapsing bubbles in the prices of cryptocurrencies. (2025). Oldani, Chiara ; Signorelli, Marcello. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:31:y:2025:i:c:s1703494925000209.

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2025Macroeconomics, geopolitical risk, and resource commodity price bubbles. (2025). Wu, Haipeng ; Chen, Yiming ; Li, Beibei ; Mao, Xuefeng. In: Resources Policy. RePEc:eee:jrpoli:v:101:y:2025:i:c:s0301420725000200.

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2025The effects of global uncertainty and risks on metal prices: Evidence from frequency and time domain causality tests. (2025). Demir, Dris ; Aydin, Halil Brahim ; Erkal, Gkhan ; Yalinkaya, Mer. In: Resources Policy. RePEc:eee:jrpoli:v:103:y:2025:i:c:s0301420725000972.

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2024Beyond the glitter: An empirical assessment of the true risk and hedging role of precious metals. (2024). Chakrabarti, Gagari ; Sen, Chitrakalpa. In: Resources Policy. RePEc:eee:jrpoli:v:96:y:2024:i:c:s0301420724006056.

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2025Measuring systemic risk in China: A new hybrid approach incorporating ensemble learning and risk spillover networks. (2025). Huo, DA ; Wang, Chao ; Shi, Yongdong ; Yang, MO ; Xing, Weize ; Zhao, Jingjing. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:91:y:2025:i:c:s0927538x25001015.

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2025Stochastic modelling and forecasting of wind capacity utilization with applications to risk management: The Australian case. (2025). Nikitopoulos, Christina S ; Alfeus, Mesias ; Overbeck, Ludger ; Mwampashi, Muthe M. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:91:y:2025:i:c:s0927538x25001064.

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2025Parameter identification of the Black-Scholes model driven by multiplicative fractional Brownian motion. (2025). Ma, Shaojuan ; Hou, Wentao. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:660:y:2025:i:c:s0378437125000238.

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2025Who’s more efficient and drives others? Profit sharing rates vs. deposit rates. (2025). Ajmi, Ahdi Noomen ; Hammoudeh, Shawkat ; Gk, Remzi. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:99:y:2025:i:c:s106297692400156x.

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2025Revisiting the role of investor sentiment in the stock market. (2025). Tiwari, Aviral ; Pham, Huy. In: International Review of Economics & Finance. RePEc:eee:reveco:v:100:y:2025:i:c:s1059056025002527.

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2025Would an earlier inception of OMT by the ECB have prevented the 2012 Greek default?. (2025). Mder, Nicolas. In: International Review of Economics & Finance. RePEc:eee:reveco:v:103:y:2025:i:c:s1059056025005192.

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2025Informational efficiency and rational bubbles. (2025). Ardakani, Omid M. In: International Review of Economics & Finance. RePEc:eee:reveco:v:103:y:2025:i:c:s1059056025006495.

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2025Higher-order moment and cross-moment spillovers among MENA stock markets: Insights from geopolitical risks and global fear. (2025). Hoque, Mohammad Enamul ; Elsayed, Ahmed H ; Cui, Jinxin ; Helmi, Mohamad Husam. In: Research in International Business and Finance. RePEc:eee:riibaf:v:77:y:2025:i:pa:s0275531925001412.

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2025Exploring the nexus between sustainable energy tokens, electric vehicles, and the hydrogen economy. (2025). Mbarek, Marouene. In: Research in International Business and Finance. RePEc:eee:riibaf:v:77:y:2025:i:pb:s0275531925002557.

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2025Risk spillover effect and portfolio strategy between Chinese commodity futures market and international green finance market. (2025). Mao, Xiaodan ; Liu, Jian ; Chen, Chaoqiang. In: Research in International Business and Finance. RePEc:eee:riibaf:v:79:y:2025:i:c:s0275531925003320.

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2025Toward Bubble Clarity: A Comment on Miao and Wang. (2025). Hirano, Tomohiro ; Toda, Alexis Akira. In: Econ Journal Watch. RePEc:ejw:journl:v:22:y:2025:i:1:p:1-17.

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2025Monetary Policy Transmission Under Global Versus Local Geopolitical Risk: Exploring Time-Varying Granger Causality, Frequency Domain, and Nonlinear Territory in Tunisia. (2025). Trabelsi, Emna. In: Economies. RePEc:gam:jecomi:v:13:y:2025:i:7:p:185-:d:1688738.

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2025Uncertainty, Risk, and Opaque Stock Markets. (2025). Astaíza-Gómez, José Gabriel ; Astaza-Gmez, Jos Gabriel. In: IJFS. RePEc:gam:jijfss:v:13:y:2025:i:1:p:35-:d:1603949.

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2024A Bayesian Approach for Lifetime Modeling and Prediction with Multi-Type Group-Shared Missing Covariates. (2024). Wen, Yuxin ; Sun, Xuxue ; Si, Wujun ; Li, Mingyang ; Wang, Kuo ; Zeng, Hao. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:5:p:740-:d:1349249.

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2025Bayesian Analysis of Bitcoin Volatility Using Minute-by-Minute Data and Flexible Stochastic Volatility Models. (2025). Nakatsuma, Teruo ; Nakakita, Makoto ; Toyabe, Tomoki. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:16:p:2691-:d:1729283.

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2025Volatility Spillover Between China’s Carbon Market and Traditional Manufacturing. (2025). Wang, Lei ; Sheng, Dian. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:9:p:1514-:d:1649160.

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2025Detecting Bubbles by Machine Learning Prediction.. (2025). Minami, Koutaroh. In: Working Paper Series. RePEc:hit:hcfrwp:g-1-30.

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2025A Bayesian Network Model to Evaluate the Credit Risk of Mexican Microfinance Institutions in 2023. (2025). Gress, Alondra M ; Martnez, Francisco J ; Vargas, Jedidia Hernndez. In: Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance). RePEc:imx:journl:v:20:y:2025:i:1:a:6.

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2025Exploring Macroeconomic Determinants of Housing Bubbles: New Evidence from Dynamic Panel Probit Models. (2025). Chiang, Shu-Hen ; Chen, Chien-Fu. In: Atlantic Economic Journal. RePEc:kap:atlecj:v:53:y:2025:i:1:d:10.1007_s11293-025-09820-8.

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2024An affine model for short rates when monetary policy is path dependent. (2024). Al-Zoubi, Haitham A. In: Review of Derivatives Research. RePEc:kap:revdev:v:27:y:2024:i:2:d:10.1007_s11147-024-09202-3.

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2025Swing option-implied volatility. (2025). Auer, Benjamin R ; Mhlichen, Hermann ; Kohrs, Hendrik. In: Review of Derivatives Research. RePEc:kap:revdev:v:28:y:2025:i:3:d:10.1007_s11147-025-09214-7.

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2025A Real-Time Analysis of Fundamentals and Bubbles in the S&P 500. (2025). Wiechers, Lukas. In: Working Papers CIE. RePEc:pdn:ciepap:163.

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2025What are asset price bubbles? A survey on definitions of financial bubbles. (2025). Baumann, Michael Heinrich ; Janischewski, Anja. In: MPRA Paper. RePEc:pra:mprapa:123676.

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

Works by Jun Yu:

YearTitleTypeCited
2017Model Selection for Explosive Models In: Papers.
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2020Model Selection for Explosive Models.(2020) In: Advances in Econometrics.
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2016Model Selection for Explosive Models.(2016) In: Economics and Statistics Working Papers.
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2018A New Wald Test for Hypothesis Testing Based on MCMC outputs In: Papers.
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2024Testing for an Explosive Bubble using High-Frequency Volatility In: Papers.
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2024Testing for an Explosive Bubble using High-Frequency Volatility.(2024) In: Working Papers.
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2025Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion In: Papers.
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2025Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion.(2025) In: Working Papers.
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2025Optimal Estimation for General Gaussian Processes In: Papers.
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2025Optimal Estimation for General Gaussian Processed.(2025) In: Working 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.
[Full Text][Citation analysis]		paper0
1999Forecasting Volatility in the New Zealand Stock Market In: Working Papers.
[Full Text][Citation analysis]		paper72
2002Forecasting volatility in the New Zealand stock market.(2002) In: Applied Financial Economics.
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This paper has nother version. Agregated cites: 72		article
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.
[Full Text][Citation analysis]		paper45
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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This paper has nother version. Agregated cites: 45		paper
2005Jackknifing Bond Option Prices.(2005) In: The Review of Financial Studies.
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This paper has nother version. Agregated cites: 45		article
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.
[Full Text][Citation analysis]		paper9
1999Efficient Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method In: Working Papers.
[Full Text][Citation analysis]		paper0
2000BUGS for a Bayesian Analysis of Stochastic Volatility Models In: Working Papers.
[Full Text][Citation analysis]		paper64
2000BUGS for a Bayesian analysis of stochastic volatility models.(2000) In: Econometrics Journal.
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This paper has nother version. Agregated cites: 64		article
2001Forecasting Volatility:Evidence from the German Stock Market In: Working Papers.
[Full Text][Citation analysis]		paper6
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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This paper has nother version. Agregated cites: 42		article
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.
[Citation analysis]		article88
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.
[Full Text][Citation analysis]		article18
2025Fractional stochastic volatility model In: Journal of Time Series Analysis.
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2025Local powers of least‐squares‐based test for panel fractional Ornstein–Uhlenbeck process In: Journal of Time Series Analysis.
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2020Local Powers of Least-Squares-Based Test for Panel Fractional Ornstein-Uhlenbeck Process.(2020) In: Economics and Statistics Working Papers.
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2025Fractional Gaussian Noise: Spectral Density and Estimation Methods In: Journal of Time Series Analysis.
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2014Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article91
2012Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior.(2012) In: Cowles Foundation Discussion Papers.
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This paper has nother version. Agregated cites: 91		paper
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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This paper has nother version. Agregated cites: 91		paper
2021Mildly Explosive Autoregression with Anti‐persistent Errors In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article1
2024Testing Predictability in the Presence of Persistent Errors In: Working Papers.
[Full Text][Citation analysis]		paper0
2024Deviance Information Criterion for Model Selection:Theoretical Justification and Applications In: Working Papers.
[Full Text][Citation analysis]		paper1
2024On the Spectral Density of Fractional Ornstein-Uhlenbeck Processes In: Working Papers.
[Full Text][Citation analysis]		paper0
2024On the spectral density of fractional Ornstein–Uhlenbeck processes.(2024) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 0		article
2024Multivariate Stochastic Volatility Models based on Generalized Fisher Transformation In: Working Papers.
[Full Text][Citation analysis]		paper0
2025Multivariate stochastic volatility models based on generalized Fisher transformation.(2025) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 0		article
2024A Note on AIC and TIC for Model Selection In: Working Papers.
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2024The Time-varying Zone-like and Asymmetric Preference of Central Banks: Evidence from China In: Working Papers.
[Full Text][Citation analysis]		paper0
2025The time-varying zone-like and asymmetric preference of central banks: Evidence from China.(2025) In: China Economic Review.
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2025Boosting Store Sales Through Ensemble Learning-Informed Promotional Decisions In: Working Papers.
[Full Text][Citation analysis]		paper0
2025Maximum Likelihood Estimation of Fractional Ornstein-Uhlenbeck Process with Discretely Sampled Data In: Working Papers.
[Full Text][Citation analysis]		paper0
2025Risk of Predictive Distributions and Bayesian Model Comparison of Misspecified Models In: Working Papers.
[Full Text][Citation analysis]		paper0
2025Realized Volatility Forecasting: Continuous versus Discrete Time Models In: Working Papers.
[Full Text][Citation analysis]		paper0
2026Multivariate Stochastic Volatility Model with Block Correlations In: Working Papers.
[Full Text][Citation analysis]		paper0
2007Information Loss in Volatility Measurement with Flat Price Trading In: Levine's Bibliography.
[Full Text][Citation analysis]		paper6
2007Information Loss in Volatility Measurement with Flat Price Trading.(2007) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2009Information Loss in Volatility Measurement with Flat Price Trading.(2009) In: Global COE Hi-Stat Discussion Paper Series.
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2024Information loss in volatility measurement with flat price trading.(2024) In: Advanced Studies in Theoretical and Applied Econometrics.
[Citation analysis]
This paper has nother version. Agregated cites: 6		chapter
2023Information loss in volatility measurement with flat price trading.(2023) In: Empirical Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		article
2001Do Stock Returns Follow a Finite Variance Distribution? In: Annals of Economics and Finance.
[Full Text][Citation analysis]		article6
2007Realized Daily Variance of S&P 500 Cash Index: A Revaluation of Stylized Facts In: Annals of Economics and Finance.
[Full Text][Citation analysis]		article3
2019An Improved Bayesian Unit Root Test in Stochastic Volatility Models In: Annals of Economics and Finance.
[Full Text][Citation analysis]		article0
2014SPECIAL ISSUE OF ECONOMETRIC THEORY ON SETA 2010: EDITORS’ INTRODUCTION In: Econometric Theory.
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2014ECONOMETRIC ANALYSIS OF CONTINUOUS TIME MODELS: A SURVEY OF PETER PHILLIPS’S WORK AND SOME NEW RESULTS In: Econometric Theory.
[Full Text][Citation analysis]		article4
2009Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips Work and Some New Results.(2009) In: Working Papers.
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This paper has nother version. Agregated cites: 4		paper
2019ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL In: Econometric Theory.
[Full Text][Citation analysis]		article9
2017Asymptotic Theory for Estimating Drift Parameters in the Fractional Vasicek Model.(2017) In: Economics and Statistics Working Papers.
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This paper has nother version. Agregated cites: 9		paper
2001Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper23
2005A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper8
2006Indirect Inference for Dynamic Panel Models In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper74
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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This paper has nother version. Agregated cites: 74		article
2007Simulation-based Estimation of Contingent-claims Prices In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper11
2008Simulation-based Estimation of Contingent-claims Prices.(2008) In: Finance Working Papers.
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This paper has nother version. Agregated cites: 11		paper
2009Simulation-Based Estimation of Contingent-Claims Prices.(2009) In: The Review of Financial Studies.
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This paper has nother version. Agregated cites: 11		article
2007Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance In: Cowles Foundation Discussion Papers.
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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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2009Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance.(2009) In: Springer Books.
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2009Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper628
2009Explosive Behavior in the 1990s Nasdaq : When Did Exuberance Escalate Asset Values?.(2009) In: Finance Working Papers.
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This paper has nother version. Agregated cites: 628		paper
2007Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?.(2007) In: Working Papers.
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This paper has nother version. Agregated cites: 628		paper
2011EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?.(2011) In: International Economic Review.
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This paper has nother version. Agregated cites: 628		article
2009Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?.(2009) In: Working Papers.
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This paper has nother version. Agregated cites: 628		paper
2010Dating the Timeline of Financial Bubbles during the Subprime Crisis In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper363
2009Dating the Timeline of Financial Bubbles During the Subprime Crisis.(2009) In: Finance Working Papers.
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This paper has nother version. Agregated cites: 363		paper
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.
[Full Text][Citation analysis]		paper14
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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This paper has nother version. Agregated cites: 311		paper
2015TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500.(2015) In: International Economic Review.
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This paper has nother version. Agregated cites: 311		article
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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2022A Panel Clustering Approach to Analyzing Bubble Behavior In: Cowles Foundation Discussion Papers.
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2022A Panel Clustering Approach to Analyzing Bubble Behavior.(2022) In: Economics and Statistics Working Papers.
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2023A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR.(2023) In: International Economic Review.
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2022Weak Identification of Long Memory with Implications for Inference In: Cowles Foundation Discussion Papers.
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2022Weak Identification of Long Memory with Implications for Inference.(2022) In: Economics and Statistics Working Papers.
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2022Robust Testing for Explosive Behavior with Strongly Dependent Errors In: Cowles Foundation Discussion Papers.
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2024Robust testing for explosive behavior with strongly dependent errors.(2024) In: Journal of Econometrics.
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2022Robust Testing for Explosive Behavior with Strongly Dependent Errors.(2022) In: Economics and Statistics Working Papers.
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2024Teaching Financial Econometrics to Students Converting to Finance In: Cowles Foundation Discussion 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: JRFM.
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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.
[Full Text][Citation analysis]		paper18
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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This paper has nother version. Agregated cites: 18		paper
2009Econometric Analysis of Continuous Time Models : A Survey of Peter Phillips’ Work and Some New Results In: Microeconomics Working Papers.
[Full Text][Citation analysis]		paper0
2004On leverage in a stochastic volatility model In: Econometric Society 2004 Far Eastern Meetings.
[Citation analysis]		paper213
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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2013Limit Theory for an Explosive Autoregressive Process.(2013) In: Working Papers.
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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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2012Bayesian hypothesis testing in latent variable models In: Journal of Econometrics.
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2011Bayesian Hypothesis Testing in Latent Variable Models.(2011) In: Working Papers.
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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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2019Improved Marginal Likelihood Estimation via Power Posteriors and Importance Sampling.(2019) In: Economics and Statistics Working Papers.
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2010Simulated maximum likelihood estimation of continuous time stochastic volatility models In: Advances in Econometrics.
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2009Stimulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models.(2009) In: Working Papers.
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2014Deviance Information Criterion for Comparing VAR Models In: Advances in Econometrics.
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2014Deviance Information Criterion for Comparing VAR Models.(2014) In: Working Papers.
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