Jun Yu : Citation Profile

University of Macau

23

H index

40

i10 index

3496

Citations

RESEARCH PRODUCTION:

79

Articles

156

Papers

8

Chapters

RESEARCH ACTIVITY:

   26 years (1999 - 2025). See details.
   Cites by year: 134
   Journals where Jun Yu has often published
   Relations with other researchers
   Recent citing documents: 219.    Total self citations: 113 (3.13 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pyu5
   Updated: 2025-12-13    RAS profile: 2025-12-09    
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Relations with other researchers

Works with:

Phillips, Peter (10)

Shi, Shuping (9)

Xie, Tian (4)

Qiu, Yue (2)

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

Is cited by:

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)

Perron, Pierre (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
Annals of Economics and Finance3
Journal of Time Series Analysis3
International Economic Review3
The Review of Financial Studies3
Econometrics2
Oxford Bulletin of Economics and Statistics2
Econometrics Journal2
Journal of Business & Economic Statistics2
Computational Statistics & Data Analysis2
Quantitative Finance2
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 University20
Working Papers / Department of Economics, The University of Auckland14
Working Papers / University of Macau, Faculty of Business Administration13
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
Working Papers / Hong Kong Institute for Monetary Research2
Development Economics Working Papers / East Asian Bureau of Economic Research2
Monash Econometrics and Business Statistics Working Papers / Monash University, Department of Econometrics and Business Statistics2

Recent works citing Jun Yu (2025 and 2024)

YearTitle of citing document
2024Examining the Impacts of the Pandemic on the Housing Bubble in Hong Kong. (2024). , Edward. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:28:y:2024:i:1:p:27-46.

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2024Nitrogen Fertilizer Price Bubbles and Contributing Factors: Evidence from the Chinese Urea Fertilizer Market. (2024). Hu, Zhepeng ; Lai, Tianyun. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea22:343535.

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2024Nitrogen Fertilizer Price Bubbles and Contributing Factors: Evidence from the Chinese Urea Fertilizer Market. (2024). Lai, Tianyun ; Hu, Zhepeng. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea24:343535.

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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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2024Data-Driven Risk Measurement by SV-GARCH-EVT Model. (2024). , Shibo. In: Papers. RePEc:arx:papers:2201.09434.

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2024Roughness Signature Functions. (2024). Christensen, Peter. In: Papers. RePEc:arx:papers:2401.02819.

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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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2024Composite 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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2024Sequential monitoring for explosive volatility regimes. (2024). Wang, Shixuan ; Horvath, Lajos ; Trapani, Lorenzo. In: Papers. RePEc:arx:papers:2404.17885.

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2024A nonparametric test for rough volatility. (2024). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2407.10659.

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2024Heterogeneous Grouping Structures in Panel Data. (2024). Kapetanios, George ; Chrysikou, Katerina. In: Papers. RePEc:arx:papers:2407.19509.

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2024A 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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2024Simulation of Social Media-Driven Bubble Formation in Financial Markets using an Agent-Based Model with Hierarchical Influence Network. (2024). Cartlidge, John ; Bohorquez, Gonzalo. In: Papers. RePEc:arx:papers:2409.00742.

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2024Green bubbles: a four-stage paradigm for detection and propagation. (2024). Grossi, Luigi ; Vriz, Gian Luca. In: Papers. RePEc:arx:papers:2410.06564.

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2024Nickell Meets Stambaugh: A Tale of Two Biases in Panel Predictive Regressions. (2024). Shi, Zhentao ; Mei, Ziwei ; Liao, Chengwang. In: Papers. RePEc:arx:papers:2410.09825.

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2024Inference in a Stationary/Nonstationary Autoregressive Time-Varying-Parameter Model. (2024). Li, Ming. In: Papers. RePEc:arx:papers:2411.00358.

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2025Diffusion 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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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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2024Electronic Payments System and Banking Industry’s Return in Nigeria: A Time-Varying Granger Causality Approach. (2024). Ezie, Obumneke ; Aiyedogbon, John Olu-Coris ; Ibrahim, Abubakar Sani. In: Financial Economics Letters. RePEc:bba:j00007:v:3:y:2024:i:2:p:40-54:d:343.

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2024PEnvironmental Preferences and Sector Valuations. (2024). Stalla-Bourdillon, Arthur ; Jourde, Tristan. In: Working papers. RePEc:bfr:banfra:964.

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2024On the impact of institutional change: Rights reassignment and career length. (2024). Schmidt, Martin. In: Economic Inquiry. RePEc:bla:ecinqu:v:62:y:2024:i:4:p:1702-1721.

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2024Bubble detective: City‐level analysis of house price cycles. (2024). Cevik, Serhan ; Naik, Sadhna. In: International Finance. RePEc:bla:intfin:v:27:y:2024:i:1:p:2-16.

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2024The Dark Side of Circuit Breakers. (2024). Xing, Hao ; Wang, Jiang ; Petukhov, Anton ; Chen, Hui. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:2:p:1405-1455.

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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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2024A bubble identification mechanism: Evidence from the Chinese stock market. (2024). Khan, Yasir ; Tang, Liangling ; Xiao, Feng ; Gao, Yijia ; He, Chaolin. In: Pacific Economic Review. RePEc:bla:pacecr:v:29:y:2024:i:1:p:55-87.

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2024Deciphering the U.S. metropolitan house price dynamics. (2024). Plakandaras, Vasilios ; Pragidis, Ioannis ; Karypidis, Paris. In: Real Estate Economics. RePEc:bla:reesec:v:52:y:2024:i:2:p:434-485.

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2024Log‐density gradient covariance and automatic metric tensors for Riemann manifold Monte Carlo methods. (2024). Kleppe, Tore Selland. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:51:y:2024:i:3:p:1206-1229.

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2024Geopolitical Risks and Stock Market Volatility in the SAARC Region. (2024). Emilia, Calefariu ; Catalin, Gheorghe ; Oana, Panazan. In: Economics - The Open-Access, Open-Assessment Journal. RePEc:bpj:econoa:v:18:y:2024:i:1:p:15:n:1023.

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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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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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2024A stochastic volatility model for volatility asymmetry and propagation. (2024). Lopes, Maria Helena ; Marin, Juan Miguel ; Romero, Eva. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:43887.

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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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2024Inference in a Stationary/Nonstationary Autoregressive Time-Varying-Parameter Model. (2024). Li, Ming. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2389.

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2024Icing on the cake: Can the Top-Floor Units serve as a status good and an investment simultaneously?. (2024). Leung, Charles ; Ho, Edward Chi ; Ka, Charles. In: ISER Discussion Paper. RePEc:dpr:wpaper:1252.

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2024Inception-expansion-bursting bubbles in the BRICS-dollar exchange rates. (2024). Caetano, Sidney ; Silva, Geraldo E. In: Economics Bulletin. RePEc:ebl:ecbull:eb-24-00067.

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2024Volatility spillovers from COVID-19 to stocks, exchange rates and oil prices: evidence from Turkiye. (2024). Akarsu, Gaulsaum ; Berke, Burcu. In: Economics Bulletin. RePEc:ebl:ecbull:eb-24-00456.

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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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2024Tackling the volatility paradox: spillover persistence and systemic risk. (2024). Kubitza, Christian. In: Working Paper Series. RePEc:ecb:ecbwps:20242981.

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2024The 50-year-old Oil Crisis and its Impact on the Global Economy: A Bibliometric Analysis. (2024). Maniam, Balasundram ; Kathiravan, Chinnadurai ; Mim, Tahmina Akther. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2024-04-8.

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2024Does every cloud (bubble) have a silver lining? An investigation of ESG financial markets. (2024). Foglia, Matteo ; Miglietta, Federica. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:42:y:2024:i:c:s2214635024000431.

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2024Speculation, climate or pandemic: Who drives the Chinese herbal medicine bubbles?. (2024). Li, Ruifeng ; Qin, Meng ; Su, Chi-Wei. In: China Economic Review. RePEc:eee:chieco:v:87:y:2024:i:c:s1043951x24001020.

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2024On the sources of the aggregate risk premium: Risk aversion, bubbles or regime-switching?. (2024). Sola, Martin ; Kenc, Turalay ; Caravello, Tomas E ; Driffill, John. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:166:y:2024:i:c:s0165188924001118.

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2024Modelling common bubbles in cryptocurrency prices. (2024). Jasiak, Joann ; Hall, Mauri K. In: Economic Modelling. RePEc:eee:ecmode:v:139:y:2024:i:c:s026499932400138x.

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2024Government debt and stock bubbles in China. (2024). Wang, Wenfu. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s0264999324002566.

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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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2024Risk characteristics and connectedness in cryptocurrency markets: New evidence from a non-linear framework. (2024). Sun, Yan-Lin ; Chen, Bin-Xia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001596.

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2024Application of the LPPL model in the identification and measurement of structural bubbles in the Chinese stock market. (2024). Ji, Hongyun ; Zhang, Han. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001833.

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2024Who has mastered exchange rate ups and downs: China or the United States?. (2024). Lin, YE ; Liu, Tie-Ying. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940824000068.

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2024Explosive behavior in historic NASDAQ market prices. (2024). Demmler, Michael ; Fernandez, Amilcar Orlian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000196.

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2024Can U.S. macroeconomic indicators forecast cryptocurrency volatility?. (2024). Su, Yi-Kai ; Tzeng, Kae-Yih. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001499.

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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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2024Systematic staleness. (2024). Reno, Roberto ; Bandi, Federico M ; Pirino, Davide. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002385.

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2024Observation-driven filtering of time-varying parameters using moment conditions. (2024). Lucas, Andre ; Koopman, Siem Jan ; Creal, Drew ; Zamojski, Marcin. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003512.

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2024Classical p-values and the Bayesian posterior probability that the hypothesis is approximately true. (2024). Kline, Brendan. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s030440762400023x.

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2024Maximum likelihood estimation of latent Markov models using closed-form approximations. (2024). Ait-Sahalia, Yacine ; Xu, Chen. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:2:s0304407620303389.

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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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2024The asymmetric effects of monetary policy on stock price bubbles. (2024). Labondance, Fabien ; Hubert, Paul ; Blot, Christophe. In: European Economic Review. RePEc:eee:eecrev:v:168:y:2024:i:c:s0014292124001533.

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2024Persistence in financial connectedness and systemic risk. (2024). Baruník, Jozef ; Ellington, Michael ; Barunik, Jozef. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:1:p:393-407.

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2024Variance swaps with mean reversion and multi-factor variance. (2024). Ye, Wuyi ; Chen, Pengzhan ; Wu, Bin. In: European Journal of Operational Research. RePEc:eee:ejores:v:315:y:2024:i:1:p:191-212.

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2024House price bubbles under the COVID-19 pandemic. (2024). Pedersen, Thomas Q ; Moller, Stig V ; Hansen, Jacob H ; Schutte, Christian M. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001299.

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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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2024Time-varying jump intensity and volatility forecasting of crude oil returns. (2024). Chen, Yan ; Zhang, Lei ; Bouri, Elie. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s014098832300734x.

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2024Energy price bubbles and extreme price movements: Evidence from Chinas coal market. (2024). Zhao, Wanli ; Wang, Tiantian ; Wu, Fei ; Dickinson, David. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s014098832300751x.

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2024A novel interval-based hybrid framework for crude oil price forecasting and trading. (2024). Sun, Yuying ; Wang, Shouyang ; Zheng, LI. In: Energy Economics. RePEc:eee:eneeco:v:130:y:2024:i:c:s0140988323007648.

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2024Extreme events, economic uncertainty and speculation on occurrences of price bubbles in crude oil futures. (2024). Chang, Chiu-Lan. In: Energy Economics. RePEc:eee:eneeco:v:130:y:2024:i:c:s0140988324000264.

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2024The nexus between ReFi, carbon, fossil energy, and clean energy assets: Quantile time–frequency connectedness and portfolio implications. (2024). Xue, Minggao ; Ye, Jing ; Lei, Heng. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001646.

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2024Energy transition and housing market bubbles: Evidence from prefecture cities in China. (2024). Sun, Yongping ; Jin, YI ; Liu, Sinuo ; Fang, Jie. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324001932.

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2024Identifying price bubbles in global carbon markets: Evidence from the SADF test, GSADF test and LPPLS method. (2024). Wang, Yizhi ; Huang, Wenyang. In: Energy Economics. RePEc:eee:eneeco:v:134:y:2024:i:c:s0140988324003347.

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2024Proof-of-work versus proof-of-stake coins as possible hedges against green and dirty energy. (2024). Kliber, Agata ; Będowska-Sójka, Barbara ; Bdowska-Sojka, Barbara. In: Energy Economics. RePEc:eee:eneeco:v:138:y:2024:i:c:s0140988324005280.

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2024Energy firms in China towards resilience: A dynamic quantile connectedness approach. (2024). Michaelides, Panayotis ; Konstantakis, Konstantinos ; Karadimitropoulou, Aikaterini ; Karkalakos, Sotiris ; Koulmas, Pavlos. In: Energy Economics. RePEc:eee:eneeco:v:139:y:2024:i:c:s0140988324006297.

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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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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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2024Uncertainty and bubbles in cryptocurrencies: Evidence from newly developed uncertainty indices. (2024). Shahedur, MD ; Damianov, Damian S. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923004659.

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2024Time-varying causality impact of economic policy uncertainty on stock market returns: Global evidence from developed and emerging countries. (2024). Hong, Yun ; Zhang, Rushan. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923005070.

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2024Does systemic risk in the fund markets predict future economic downturns?. (2024). Liu, Xiao-Xing ; Zhou, Dong-Hai. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000218.

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2024Bursting the bitcoin bubble: Do market prices reflect fundamental bitcoin value?. (2024). Podhorsky, Andrea. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924000905.

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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.
[Full Text][Citation analysis]		paper1
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.
[Full Text][Citation analysis]		paper8
2000Exact Gaussian Estimation of Continuous Time Models of The Term Structure of Interest Rates Rankings of Economics Departments in New Zealand In: Working Papers.
[Full Text][Citation analysis]		paper0
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]		paper71
2002Forecasting volatility in the New Zealand stock market.(2002) In: Applied Financial Economics.
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This paper has nother version. Agregated cites: 71		article
2002Deviance Information Criterion as a Model Comparison Criterion for Stochastic Volatility Models In: Working Papers.
[Full Text][Citation analysis]		paper0
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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2005Jackknifing Bond Option Prices.(2005) In: The 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.
[Full Text][Citation analysis]		paper9
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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This paper has nother version. Agregated cites: 64		article
2001Forecasting Volatility:Evidence from the German Stock Market In: Working Papers.
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1999Empirical Characteristic Function in Time Series Estimation In: Working Papers.
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2002EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION.(2002) In: Econometric Theory.
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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.
[Full Text][Citation analysis]		article0
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.
[Full Text][Citation analysis]		paper0
2024The Time-varying Zone-like and Asymmetric Preference of Central Banks: Evidence from China In: Working Papers.
[Full Text][Citation analysis]		paper0
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
2007Information Loss in Volatility Measurement with Flat Price Trading In: Levine's Bibliography.
[Full Text][Citation analysis]		paper4
2007Information Loss in Volatility Measurement with Flat Price Trading.(2007) In: Cowles Foundation Discussion Papers.
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2009Information Loss in Volatility Measurement with Flat Price Trading.(2009) In: Global COE Hi-Stat Discussion Paper Series.
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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: 4		chapter
2023Information loss in volatility measurement with flat price trading.(2023) In: Empirical Economics.
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This paper has nother version. Agregated cites: 4		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.
[Full Text][Citation analysis]		article0
2014ECONOMETRIC ANALYSIS OF CONTINUOUS TIME MODELS: A SURVEY OF PETER PHILLIPS’S WORK AND SOME NEW RESULTS In: Econometric Theory.
[Full Text][Citation analysis]		article3
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: 3		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.
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2006Indirect Inference for Dynamic Panel Models.(2006) In: Development Economics Working Papers.
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This paper has nother version. Agregated cites: 74		paper
2010Indirect inference for dynamic panel models.(2010) In: Journal of Econometrics.
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2007Simulation-based Estimation of Contingent-claims Prices In: Cowles Foundation Discussion Papers.
[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]		paper620
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: 620		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: 620		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: 620		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: 620		paper
2010Dating the Timeline of Financial Bubbles during the Subprime Crisis In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper354
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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This paper has nother version. Agregated cites: 354		article
2009Dating the Timeline of Financial Bubbles During the Subprime Crisis.(2009) In: Working Papers.
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This paper has nother version. Agregated cites: 354		paper
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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This paper has nother version. Agregated cites: 14		article
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.
[Full Text][Citation analysis]		paper294
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: 294		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: 294		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.
[Full Text][Citation analysis]		paper0
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.
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2012Bias in the estimation of the mean reversion parameter in continuous time models.(2012) In: Journal of Econometrics.
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2009Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models.(2009) In: Working Papers.
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2009Econometric Analysis of Continuous Time Models : A Survey of Peter Phillips’ Work and Some New Results In: Microeconomics Working Papers.
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2004On leverage in a stochastic volatility model In: Econometric Society 2004 Far Eastern Meetings.
[Citation analysis]		paper212
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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This paper has nother version. Agregated cites: 212		paper
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.
[Full Text][Citation analysis]		article31
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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2012A semiparametric stochastic volatility model In: Journal of Econometrics.
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2014A new approach to Bayesian hypothesis testing In: Journal of Econometrics.
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2014Maximum likelihood estimation of partially observed diffusion models In: Journal of Econometrics.
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2015A Bayesian chi-squared test for hypothesis testing In: Journal of Econometrics.
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2014A Bayesian Chi-Squared Test for Hypothesis Testing.(2014) In: Working Papers.
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2016Double asymptotics for explosive continuous time models In: Journal of Econometrics.
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2011Double Asymptotics for an Explosive Continuous Time Model.(2011) In: Working Papers.
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2012Double Asymptotics for Explosive Continuous Time Models.(2012) In: Working Papers.
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2017Inference in continuous systems with mildly explosive regressors In: Journal of Econometrics.
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2018New distribution theory for the estimation of structural break point in mean In: Journal of Econometrics.
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2018Specification tests based on MCMC output In: Journal of Econometrics.
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2017A Specification Test based on the MCMC Output.(2017) In: Economics and Statistics Working Papers.
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2020Deviance information criterion for latent variable models and misspecified models In: Journal of Econometrics.
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2018A Posterior-Based Wald-Type Statistic for Hypothesis Testing.(2018) In: Economics and Statistics Working Papers.
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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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2007Temporal aggregation and risk-return relation In: Finance Research Letters.
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2006Temporal Aggregation and Risk-Return Relation.(2006) In: Working Papers.
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2015New methodology for constructing real estate price indices applied to the Singapore residential market In: Journal of Banking & Finance.
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2015Optimal jackknife for unit root models In: Statistics & Probability Letters.
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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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2020Asymptotic Properties of Least Squares Estimator in Local to Unity Processes with Fractional Gaussian Noises.(2020) In: Economics and Statistics Working Papers.
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2017Bayesian Analysis of Bubbles in Asset Prices In: Econometrics.
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2014Bayesian Analysis of Bubbles in Asset Prices.(2014) In: Working Papers.
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2019Maximum Likelihood Estimation for the Fractional Vasicek Model.(2019) In: Economics and Statistics Working Papers.
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2011Specification Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles In: Working Papers.
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2011Speci fication Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles.(2011) In: Working Papers.
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2012Investigating Impacts of Self-Exciting Jumps in Returns and Volatility: A Bayesian Learning Approach In: Global COE Hi-Stat Discussion Paper Series.
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2023Volatility Puzzle: Long Memory or Antipersistency In: Management Science.
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2019Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks.(2019) In: Economics and Statistics Working Papers.
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2015Self-Exciting Jumps, Learning, and Asset Pricing Implications In: The Review of Financial Studies.
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2016Asymptotic Theory for Estimating the Persistent Parameter in the Fractional Vasicek Model In: Economics and Statistics Working Papers.
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2016Shrinkage Estimation of Covariance Matrix for Portfolio Choice with High Frequency Data In: Economics and Statistics Working Papers.
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2017Deviance Information Criterion for Bayesian Model Selection: Justification and Variation In: Economics and Statistics Working Papers.
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2018Integrated Deviance Information Criterion for Latent Variable Models In: Economics and Statistics Working Papers.
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2018The Grid Bootstrap for Continuous Time Models In: Economics and Statistics Working Papers.
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2022The Grid Bootstrap for Continuous Time Models.(2022) In: Journal of Business & Economic Statistics.
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2018Mild-explosive and Local-to-mild-explosive Autoregressions with Serially Correlated Errors In: Economics and Statistics Working Papers.
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2012Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility In: Working Papers.
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2015Limit Theory for Continuous Time Systems with Mildly Explosive Regressors In: Working Papers.
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2011Simulated Maximum Likelihood Estimation for Latent Diffusion Models In: Working Papers.
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2012Simulated Maximum Likelihood Estimation for Latent Diffusion Models.(2012) In: Working Papers.
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2010Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes.(2010) In: Working Papers.
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2010A New Bayesian Unit Root Test in Stochastic Volatility Models.(2010) In: Working Papers.
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2006Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison.(2006) In: Econometric Reviews.
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2011Nonparametric and Probabilistic Classification Using NN-balls with Environmental and Remote Sensing Applications In: Springer Books.
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2004Empirical Characteristic Function Estimation and Its Applications In: Econometric Reviews.
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