Jun Yu : Citation Profile


Are you Jun Yu?

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

22

H index

37

i10 index

3052

Citations

RESEARCH PRODUCTION:

71

Articles

139

Papers

5

Chapters

RESEARCH ACTIVITY:

   24 years (1999 - 2023). See details.
   Cites by year: 127
   Journals where Jun Yu has often published
   Relations with other researchers
   Recent citing documents: 117.    Total self citations: 104 (3.3 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pyu5
   Updated: 2024-01-16    RAS profile: 2023-12-30    
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Relations with other researchers


Works with:

Phillips, Peter (8)

Shi, Shuping (6)

Xie, Tian (4)

Qiu, Yue (3)

Zhou, Qiankun (2)

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

Is cited by:

Asai, Manabu (112)

Phillips, Peter (68)

Shi, Shuping (63)

Omori, Yasuhiro (59)

Caporin, Massimiliano (45)

GUPTA, RANGAN (44)

Ruiz, Esther (42)

Veiga, Helena (39)

Medeiros, Marcelo (35)

Chambers, Marcus (24)

Ishihara, Tsunehiro (23)

Cites to:

Phillips, Peter (172)

Shephard, Neil (94)

Andersen, Torben (60)

Bollerslev, Tim (54)

Ait-Sahalia, Yacine (45)

Diebold, Francis (33)

Shiller, Robert (25)

Rossi, Peter (24)

Campbell, John (24)

merton, robert (22)

Newey, Whitney (20)

Main data


Where Jun Yu has published?


Journals with more than one article published# docs
Journal of Econometrics19
Econometric Reviews5
Economics Letters4
Econometric Theory4
Review of Financial Studies3
International Economic Review3
Annals of Economics and Finance3
Journal of Business & Economic Statistics2
Computational Statistics & Data Analysis2
Econometrics2
Econometrics Journal2
Oxford Bulletin of Economics and Statistics2
New Zealand Economic Papers2

Working Papers Series with more than one paper published# docs
Working Papers / Singapore Management University, School of Economics48
Economics and Statistics Working Papers / Singapore Management University, School of Economics33
Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University19
Working Papers / Department of Economics, The University of Auckland14
Finance Working Papers / East Asian Bureau of Economic Research7
Microeconomics Working Papers / East Asian Bureau of Economic Research3
Econometric Society 2004 Far Eastern Meetings / Econometric Society2
Monash Econometrics and Business Statistics Working Papers / Monash University, Department of Econometrics and Business Statistics2
Papers / arXiv.org2
Working Papers / Hong Kong Institute for Monetary Research2
Development Economics Working Papers / East Asian Bureau of Economic Research2

Recent works citing Jun Yu (2024 and 2023)


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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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2023.

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

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

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2023.

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2023.

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

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

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2023.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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2023.

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

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

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2023Analyzing the Volatility Dynamics of Crypto Currency and the Occurrence of Speculative Bubbles: The Examples of Bitcoin, Ethereum, and Ripple. (2023). Altunoz, Utku. In: Istanbul Journal of Economics-Istanbul Iktisat Dergisi. RePEc:ist:journl:v:73:y:2023:i:1:p:615-643.

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2023Deficit sustainability and fiscal theory of price level: the case of Italy, 1861–2020. (2023). Esteve, Vicente ; Diaz-Roldan, Carmen ; Congregado, Emilio. In: Empirica. RePEc:kap:empiri:v:50:y:2023:i:3:d:10.1007_s10663-023-09577-w.

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2023Leaning against housing booms fueled by credit. (2023). Martnez, Carlos Caizares. In: Working Papers. RePEc:mib:wpaper:513.

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2023CUSUM-Based Monitoring for Explosive Episodes in Financial Data in the Presence of Time-Varying Volatility*. (2023). Zu, Yang ; Robert, A M ; Leybourne, Stephen J ; Harvey, David I ; Astill, Sam. In: The Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:1:p:187-227..

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2023Approximate Bayesian Computation for Partially Identified Models. (2023). Alvarez, Luis Antonio. In: MPRA Paper. RePEc:pra:mprapa:117339.

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2023Volatility or higher moments: Which is more important in return density forecasts of stochastic volatility model?. (2023). Zhao, Ran ; Zhang, Zehua ; Li, Chenxing. In: MPRA Paper. RePEc:pra:mprapa:118459.

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2023Leaning against housing booms fueled by credit. (2023). Martinez, Carlos Caizares. In: Working Paper series. RePEc:rim:rimwps:23-04.

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2023Are DeFi tokens a separate asset class from conventional cryptocurrencies?. (2023). Corbet, Shaen ; Kaskaloglu, Kerem ; Gunay, Samet ; Goodell, John W. In: Annals of Operations Research. RePEc:spr:annopr:v:322:y:2023:i:2:d:10.1007_s10479-022-05150-z.

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2023Regional house price co-movement in the USA: the medium cycle is not the business cycle. (2023). Miles, William. In: The Annals of Regional Science. RePEc:spr:anresc:v:71:y:2023:i:2:d:10.1007_s00168-022-01172-4.

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2023Bayesian analysis of spherically parameterized dynamic multivariate stochastic volatility models. (2023). Ravishanker, Nalini ; Chen, Ming-Hui ; Hu, Guanyu. In: Computational Statistics. RePEc:spr:compst:v:38:y:2023:i:2:d:10.1007_s00180-022-01266-9.

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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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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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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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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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2007Information Loss in Volatility Measurement with Flat Price Trading.(2007) 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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2009Simulation-Based Estimation of Contingent-Claims Prices.(2009) In: Review of Financial Studies.
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2007Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance In: Cowles Foundation Discussion Papers.
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2009Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? In: Cowles Foundation Discussion Papers.
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2007Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?.(2007) In: Working Papers.
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2011EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?.(2011) In: International Economic Review.
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2009Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?.(2009) In: Working Papers.
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2010Dating the Timeline of Financial Bubbles during the Subprime Crisis In: Cowles Foundation Discussion Papers.
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2009Dating the Timeline of Financial Bubbles During the Subprime Crisis.(2009) In: Finance Working Papers.
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2011Dating the timeline of financial bubbles during the subprime crisis.(2011) In: Quantitative Economics.
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2009Dating the Timeline of Financial Bubbles During the Subprime Crisis.(2009) In: Working Papers.
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2011Bias in Estimating Multivariate and Univariate Diffusions In: Cowles Foundation Discussion Papers.
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2011Bias in estimating multivariate and univariate diffusions.(2011) In: Journal of Econometrics.
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2012Testing for Multiple Bubbles In: Cowles Foundation Discussion Papers.
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2011Testing for Multiple Bubbles.(2011) In: Working Papers.
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2012Testing for Multiple Bubbles.(2012) In: Working Papers.
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2013Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500 In: Cowles Foundation Discussion Papers.
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2013Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500.(2013) In: Working Papers.
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2015TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500.(2015) In: International Economic Review.
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2013Testing for Multiple Bubbles: Limit Theory of Real Time Detectors In: Cowles Foundation Discussion Papers.
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2013Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors.(2013) In: Working Papers.
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2015TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL?TIME DETECTORS.(2015) In: International Economic Review.
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2014A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market In: Cowles Foundation Discussion Papers.
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2014A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market.(2014) In: Working Papers.
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2017Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour In: Cowles Foundation Discussion Papers.
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2019Random coefficient continuous systems: Testing for extreme sample path behavior.(2019) In: Journal of Econometrics.
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2017Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour.(2017) In: Economics and Statistics Working Papers.
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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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2022Robust Testing for Explosive Behavior with Strongly Dependent Errors.(2022) 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: 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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2009Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models 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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2015Bias in the estimation of mean reversion in continuous-time Lévy processes 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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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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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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2015New methodology for constructing real estate price indices applied to the Singapore residential market In: Journal of Banking & Finance.
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