Jun Yu : Citation Profile

Are you Jun Yu?

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

22

H index

37

i10 index

3144

Citations

RESEARCH PRODUCTION:

70

Articles

145

Papers

5

Chapters

RESEARCH ACTIVITY:

   25 years (1999 - 2024). See details.
   Cites by year: 125
   Journals where Jun Yu has often published
   Relations with other researchers
   Recent citing documents: 200.    Total self citations: 107 (3.29 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pyu5
   Updated: 2024-11-04    RAS profile: 2024-10-09    
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Relations with other researchers

Works with:

Phillips, Peter (11)

Shi, Shuping (6)

Xie, Tian (5)

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 (121)

Phillips, Peter (68)

Shi, Shuping (60)

Omori, Yasuhiro (59)

Caporin, Massimiliano (51)

GUPTA, RANGAN (44)

Ruiz, Esther (42)

Veiga, Helena (39)

Medeiros, Marcelo (37)

Chambers, Marcus (24)

Gomez-Gonzalez, Jose (23)

Cites to:

Phillips, Peter (181)

Shephard, Neil (95)

Andersen, Torben (62)

Bollerslev, Tim (56)

Ait-Sahalia, Yacine (45)

Diebold, Francis (35)

Shiller, Robert (25)

Campbell, John (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 Econometrics20
Econometric Reviews5
Economics Letters4
Econometric Theory4
The Review of Financial Studies3
Annals of Economics and Finance3
New Zealand Economic Papers2
Econometrics2
Computational Statistics & Data Analysis2
Journal of Business & Economic Statistics2
Econometrics Journal2
Quantitative Finance2
International Economic Review2

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
Finance Working Papers / East Asian Bureau of Economic Research7
Working Papers / University of Macau, Faculty of Business Administration4
Microeconomics Working Papers / East Asian Bureau of Economic Research3
Papers / arXiv.org3
Econometric Society 2004 Far Eastern Meetings / Econometric Society2
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
Working Papers / Hong Kong Institute for Monetary Research2

Recent works citing Jun Yu (2024 and 2023)

YearTitle of citing document
2024Does Bubble Still Exist after COVID-19? Evidence from Hong Kong Housing Market. (2024). , Edward. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:28:y:2024:i:1:p:27-46.

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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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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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2024Dynamic 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). Dogan, Osman ; Yang, YE ; Jin, Fei ; Taspinar, Suleyman. In: Papers. RePEc:arx:papers:2311.14813.

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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 ; Trapani, Lorenzo ; Horvath, Lajos. In: Papers. RePEc:arx:papers:2404.17885.

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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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2023CRYPTO‐CURRENCIES – AN INTRODUCTION TO NOT‐SO‐FUNNY MONEYS. (2018). Smith, Christie ; Kumar, Aaron. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:5:p:1531-1559.

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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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2023Bayesian criterion?based variable selection. (2021). Ghosh, Santu ; Basu, Sanjib ; Maity, Arnab Kumar. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:70:y:2021:i:4:p:835-857.

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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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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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2024Quasi‐maximum likelihood estimation of discretely observed diffusions. (2011). Huang, Xiao. In: Econometrics Journal. RePEc:ect:emjrnl:v:14:y:2011:i:2:p:241-256.

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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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2023Statistical inference in discretely observed fractional Ornstein–Uhlenbeck processes. (2023). Teng, Yuanyang ; Li, Yicun. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:177:y:2023:i:c:s0960077923011050.

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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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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). Zhang, Han ; Ji, Hongyun. 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). Fernandez, Amilcar Orlian ; Demmler, Michael. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000196.

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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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2023Testing for explosive bubbles in the presence of non-Gaussian conditions. (2023). Feng, Hao. In: Economics Letters. RePEc:eee:ecolet:v:233:y:2023:i:c:s0165176523004172.

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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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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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2023Extensions to IVX methods of inference for return predictability. (2023). Taylor, Robert ; Rodrigues, Paulo ; Demetrescu, Matei ; Robert, A M ; Georgiev, Iliyan. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622000586.

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2024Systematic staleness. (2024). Reno, Roberto ; Pirino, Davide ; Bandi, Federico M. 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). Xu, Chen ; Li, Chenxu ; Ait-Sahalia, Yacine. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:2:s0304407620303389.

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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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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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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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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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2023Herd and causality dynamics between energy commodities and ethical investment: Evidence from the different phases of the COVID-19 pandemic. (2023). Fromentin, Vincent ; Mohamad, Azhar. In: Energy Economics. RePEc:eee:eneeco:v:126:y:2023:i:c:s0140988323004991.

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2024Time-varying jump intensity and volatility forecasting of crude oil returns. (2024). Bouri, Elie ; Chen, Yan ; Zhang, Lei. 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). Dickinson, David ; Wu, Fei ; Wang, Tiantian ; Zhao, Wanli. 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). Wang, Shouyang ; Sun, Yuying ; 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). Ye, Jing ; Xue, Minggao ; 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). Fang, Jie ; Sun, Yongping ; Liu, Sinuo ; Jin, YI. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324001932.

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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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2024Uncertainty and bubbles in cryptocurrencies: Evidence from newly developed uncertainty indices. (2024). Damianov, Damian S ; Shahedur, MD. 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). Zhang, Feipeng ; Hong, Yun. 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.
[Full Text][Citation analysis]		paper1
2020Model Selection for Explosive Models.(2020) In: Advances in Econometrics.
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This paper has nother version. Agregated cites: 1		chapter
2016Model Selection for Explosive Models.(2016) In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2018A New Wald Test for Hypothesis Testing Based on MCMC outputs In: Papers.
[Full Text][Citation analysis]		paper0
2024Testing for an Explosive Bubble using High-Frequency Volatility In: Papers.
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.() In: .
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This paper has nother version. Agregated cites: 0		paper
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.
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2012Simulated Maximum Likelihood Estimation for Latent Diffusion Models.(2012) In: Working Papers.
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2012Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes 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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2011Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models In: Working Papers.
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2012Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models.(2012) In: Working Papers.
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2005Comment on “Realized Variance and Market Microstructure Noise” by Peter R. Hansen and Asger Lunde In: Working Papers.
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2010Estimating the GARCH Diffusion: Simulated Maximum Likelihood in Continuous Time In: Working Papers.
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2012A New Bayesian Unit Root Test in Stochastic Volatility Models 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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2009Automated Likelihood Based Inference for Stochastic Volatility Models In: Working Papers.
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2010A Conversation with Eric Ghysels Co-President of the Society for Financial Econometrics In: Working Papers.
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2010Measurement and High Finance In: Working Papers.
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2010Corrigendum to “A Gaussian Approach for Continuous Time Models of the Short Term Interest Rate In: Working Papers.
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2010Simulation-based Estimation Methods for Financial Time Series Models In: Working Papers.
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2014On Bias in the Estimation of Structural Break Points In: Working Papers.
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2004Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison In: Working Papers.
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2006Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison.(2006) In: Econometric Reviews.
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2004Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility In: Working Papers.
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2012Robust Deviance Information Criterion for Latent Variable Models In: Working Papers.
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2004Empirical Characteristic Function Estimation and Its Applications In: Econometric Reviews.
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2006Multivariate Stochastic Volatility: A Review In: Econometric Reviews.
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2020In-fill asymptotic theory for structural break point in autoregressions In: Econometric Reviews.
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1999Testing the expectations theory of the term structure for New Zealand In: New Zealand Economic Papers.
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2004Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method In: Quantitative Finance.
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2015Editorial In: Spatial Economic Analysis.
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