Yang Zu : Citation Profile

University of Macau

4

H index

3

i10 index

81

Citations

RESEARCH PRODUCTION:

10

Articles

2

Papers

RESEARCH ACTIVITY:

   9 years (2014 - 2023). See details.
   Cites by year: 9
   Journals where Yang Zu has often published
   Relations with other researchers
   Recent citing documents: 14.    Total self citations: 3 (3.57 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pzu85
   Updated: 2025-12-27    RAS profile: 2023-05-08    
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Relations with other researchers

Works with:

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

Is cited by:

Prats, Maria (6)

Mancino, Maria Elvira (5)

Veliyev, Bezirgen (4)

Yu, Jun (4)

LINTON, OLIVER (3)

Wang, Weining (3)

Malec, Peter (3)

Hautsch, Nikolaus (3)

Phillips, Peter (3)

Wilfling, Bernd (3)

Li, Degui (2)

Cites to:

Phillips, Peter (10)

Taylor, Robert (9)

Swanson, Norman (9)

Harvey, David (9)

Leybourne, Stephen (8)

Andersen, Torben (6)

Bollerslev, Tim (6)

GAO, Jiti (6)

Kristensen, Dennis (5)

Shephard, Neil (5)

Ait-Sahalia, Yacine (5)

Main data

Where Yang Zu has published?

Journals with more than one article published# docs
Journal of Econometrics2

Recent works citing Yang Zu (2025 and 2024)

YearTitle of citing document
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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2024Testing for an Explosive Bubble using High-Frequency Volatility. (2024). Yu, Jun ; Zu, Yang ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2405.02087.

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2025On the estimation of leverage effect and volatility of volatility in the presence of jumps. (2025). Liu, Qiang ; Zhou, Wang. In: Papers. RePEc:arx:papers:2511.00944.

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2025Robust Cauchy-Based Methods for Predictive Regressions. (2025). Ibragimov, Rustam ; Kim, Jihyun ; Skrobotov, Anton. In: Papers. RePEc:arx:papers:2511.09249.

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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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2024Testing for an Explosive Bubble using High-Frequency Volatility. (2024). Yu, Jun ; Zu, Yang ; Boswijk, Peter H. In: Working Papers. RePEc:boa:wpaper:202402.

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2024Extracting stock-market bubbles from dividend futures. (2024). Wilfling, Bernd ; Branger, Nicole ; Trede, Mark. In: CQE Working Papers. RePEc:cqe:wpaper:10724.

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2024Robust testing for explosive behavior with strongly dependent errors. (2024). Yu, Jun ; Phillips, Peter ; Lui, Yiu Lim. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003421.

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2024Estimation of Large Dynamic Covariance Matrices: A Selective Review. (2024). Li, Degui. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:16-30.

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2024A closed-form solution for spot volatility from options under limited data. (2024). Zhou, Chunyang ; Zhang, Aoran. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324008717.

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2025Unspanned stochastic volatility in the linear-rational square-root model: Evidence from the Treasury market. (2025). Hansen, Jorge Wolfgang. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:171:y:2025:i:c:s0378426624002681.

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2025Identifying the number of latent factors of stochastic volatility models. (2025). Mancino, Maria Elvira ; Allaj, Erindi ; Sanfelici, Simona. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:48:y:2025:i:1:d:10.1007_s10203-024-00479-5.

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2025Estimation and specification test for diffusion models with stochastic volatility. (2025). Gonzlez-Manteiga, W ; Febrero-Bande, M ; Lpez-Prez, A. In: Statistical Papers. RePEc:spr:stpapr:v:66:y:2025:i:2:d:10.1007_s00362-024-01652-z.

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2024Tests for equal forecast accuracy under heteroskedasticity. (2024). Zu, Yang ; Leybourne, Stephen J ; Harvey, David I. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:39:y:2024:i:5:p:850-869.

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Works by Yang Zu:

YearTitleTypeCited
2023Estimation of the variance function in structural break autoregressive models with non‐stationary and explosive segments In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article1
2020SIGN-BASED UNIT ROOT TESTS FOR EXPLOSIVE FINANCIAL BUBBLES IN THE PRESENCE OF DETERMINISTICALLY TIME-VARYING VOLATILITY In: Econometric Theory.
[Full Text][Citation analysis]		article15
2014Estimating spot volatility with high-frequency financial data In: Journal of Econometrics.
[Full Text][Citation analysis]		article38
2015Nonparametric specification tests for stochastic volatility models based on volatility density In: Journal of Econometrics.
[Full Text][Citation analysis]		article5
2017Consistent nonparametric specification tests for stochastic volatility models based on the return distribution In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article0
2015A Note on the Asymptotic Normality of the Kernel Deconvolution Density Estimator with Logarithmic Chi-Square Noise In: Econometrics.
[Full Text][Citation analysis]		article0
2018Testing explosive bubbles with time-varying volatility In: Discussion Papers.
[Full Text][Citation analysis]		paper16
2019Testing explosive bubbles with time-varying volatility.(2019) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		article
2023CUSUM-Based Monitoring for Explosive Episodes in Financial Data in the Presence of Time-Varying Volatility* In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article0
2022Adaptive Testing for Cointegration With Nonstationary Volatility In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article4
2019Adaptive Testing for Cointegration with Nonstationary Volatility.(2019) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2018Adaptive wild bootstrap tests for a unit root with non‐stationary volatility In: Econometrics Journal.
[Full Text][Citation analysis]		article2

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