Details about Zhongjun Qu

Access statistics for papers by Zhongjun Qu.

Last updated 2009-08-05. Update your information in the RePEc Author Service.

Short-id: pqu46

Working Papers

2008

1. A Stochastic Volatility Model with Random Level Shifts: Theory and Applications to S&P 500 and NASDAQ Return Indices
   Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics
2. Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices
   Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations

2006

3. A Modified Information Criterion for Cointegration Tests based on a VAR Approximation
   Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics
   See also Journal Article in Econometric Theory (2007)
4. A Simple Modification to Improve the Finite Sample Properties of Ng and Perron’s Unit Root Tests
   Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics
   See also Journal Article in Economics Letters (2007)
5. An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts and its Implications for Stock Returns Volatility*
   Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations

2005

6. Estimating and testing structural changes in multivariate regressions
   Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations
   See also Journal Article in Econometrica (2007)

Journal Articles

2008

1. Testing for structural change in regression quantiles
   Journal of Econometrics, 2008, 146, (1), 170-184

2007

2. A MODIFIED INFORMATION CRITERION FOR COINTEGRATION TESTS BASED ON A VAR APPROXIMATION
   Econometric Theory, 2007, 23, (04), 638-685
   See also Working Paper (2006)
3. A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
   Economics Letters, 2007, 94, (1), 12-19 View citations
   See also Working Paper (2006)
4. Estimating and Testing Structural Changes in Multivariate Regressions
   Econometrica, 2007, 75, (2), 459-502 View citations
   See also Working Paper (2005)
5. Searching for cointegration in a dynamic system
   Econometrics Journal, 2007, 10, (3), 580-604 View citations

2006

6. Estimating restricted structural change models
   Journal of Econometrics, 2006, 134, (2), 373-399 View citations