Details about Jun Yu

Homepage:	https://fba.um.edu.mo/faculty/junyu/
Phone:	85388224171
Postal address:	Faculty of Business Administration University of Macau, E22 Avenida da Universidade Taipa, Macao, China
Workplace:	Faculty of Business Administration, University of Macau, (more information at EDIRC) Singapore Management University, (more information at EDIRC)

Access statistics for papers by Jun Yu.

Last updated 2025-02-07. Update your information in the RePEc Author Service.

Short-id: pyu5

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Working Papers

2024

1. A Note on AIC and TIC for Model Selection
   Working Papers, University of Macau, Faculty of Business Administration
2. Deviance Information Criterion for Model Selection:Theoretical Justification and Applications
   Working Papers, University of Macau, Faculty of Business Administration
3. Multivariate Stochastic Volatility Models based on Generalized Fisher Transformation
   Working Papers, University of Macau, Faculty of Business Administration
4. On the Spectral Density of Fractional Ornstein-Uhlenbeck Processes
   Working Papers, University of Macau, Faculty of Business Administration
   See also Journal Article On the spectral density of fractional Ornstein–Uhlenbeck processes, Journal of Econometrics, Elsevier (2024) (2024)
5. Teaching Financial Econometrics to Students Converting to Finance
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
6. Testing Predictability in the Presence of Persistent Errors
   Working Papers, University of Macau, Faculty of Business Administration
7. Testing for an Explosive Bubble using High-Frequency Volatility
   Working Papers, University of Macau, Faculty of Business Administration
   Also in Papers, arXiv.org (2024)
8. The Time-varying Zone-like and Asymmetric Preference of Central Banks: Evidence from China
   Working Papers, University of Macau, Faculty of Business Administration

2022

9. A Panel Clustering Approach to Analyzing Bubble Behavior
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
   Also in Economics and Statistics Working Papers, Singapore Management University, School of Economics (2022) View citations (2)
   See also Journal Article A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2023) (2023)
10. Finite Sample Comparison of Alternative Estimators for Fractional Gaussian Noise
    Economics and Statistics Working Papers, Singapore Management University, School of Economics
11. On the Optimal Forecast with the Fractional Brownian Motion
    Economics and Statistics Working Papers, Singapore Management University, School of Economics
    See also Journal Article On the optimal forecast with the fractional Brownian motion, Quantitative Finance, Taylor & Francis Journals (2024) (2024)
12. Robust Testing for Explosive Behavior with Strongly Dependent Errors
    Economics and Statistics Working Papers, Singapore Management University, School of Economics View citations (1)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2022) View citations (1)
    See also Journal Article Robust testing for explosive behavior with strongly dependent errors, Journal of Econometrics, Elsevier (2024) View citations (1) (2024)
13. Weak Identification of Long Memory with Implications for Inference
    Economics and Statistics Working Papers, Singapore Management University, School of Economics View citations (1)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2022) View citations (1)

2021

14. Different Strokes for Different Folks: Long Memory and Roughness
    Economics and Statistics Working Papers, Singapore Management University, School of Economics
15. Latent Local-to-Unity Models
    Economics and Statistics Working Papers, Singapore Management University, School of Economics View citations (1)
    See also Journal Article Latent local-to-unity models, Econometric Reviews, Taylor & Francis Journals (2023) (2023)

2020

16. Asymptotic Properties of Least Squares Estimator in Local to Unity Processes with Fractional Gaussian Noises
    Economics and Statistics Working Papers, Singapore Management University, School of Economics
    See also Chapter Asymptotic Properties of the Least Squares Estimator in Local to Unity Processes with Fractional Gaussian Noise, Advances in Econometrics, Emerald Group Publishing Limited (2023) (2023)
17. Econometric Methods and Data Science Techniques: A Review of Two Strands of Literature and an Introduction to Hybrid Methods
    Economics and Statistics Working Papers, Singapore Management University, School of Economics
18. Forecast combinations in machine learning
    Economics and Statistics Working Papers, Singapore Management University, School of Economics
19. Forecasting Singapore GDP using the SPF data
    Economics and Statistics Working Papers, Singapore Management University, School of Economics
20. Local Powers of Least-Squares-Based Test for Panel Fractional Ornstein-Uhlenbeck Process
    Economics and Statistics Working Papers, Singapore Management University, School of Economics
21. Persistent and Rough Volatility
    Economics and Statistics Working Papers, Singapore Management University, School of Economics View citations (3)

2019

22. A Quantile-based Asset Pricing Model
    Economics and Statistics Working Papers, Singapore Management University, School of Economics
23. Estimation and Inference of Fractional Continuous-Time Model with Discrete-Sampled Data
    Economics and Statistics Working Papers, Singapore Management University, School of Economics View citations (2)
24. Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks
    Economics and Statistics Working Papers, Singapore Management University, School of Economics
    See also Journal Article Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks*, Journal of Financial Econometrics, Oxford University Press (2022) View citations (1) (2022)
25. Housing Equity and Household Consumption in Retirement: Evidence from the Singapore Life Panel
    Economics and Statistics Working Papers, Singapore Management University, School of Economics
    See also Journal Article Housing equity and household consumption in retirement: evidence from the Singapore Life Panel©, New Zealand Economic Papers, Taylor & Francis Journals (2021) (2021)
26. Improved Marginal Likelihood Estimation via Power Posteriors and Importance Sampling
    Economics and Statistics Working Papers, Singapore Management University, School of Economics View citations (1)
    See also Journal Article Improved marginal likelihood estimation via power posteriors and importance sampling, Journal of Econometrics, Elsevier (2023) (2023)
27. Maximum Likelihood Estimation for the Fractional Vasicek Model
    Economics and Statistics Working Papers, Singapore Management University, School of Economics View citations (3)
    See also Journal Article Maximum Likelihood Estimation for the Fractional Vasicek Model, Econometrics, MDPI (2020) View citations (1) (2020)

2018

28. A New Wald Test for Hypothesis Testing Based on MCMC outputs
    Papers, arXiv.org
29. A Posterior-Based Wald-Type Statistic for Hypothesis Testing
    Economics and Statistics Working Papers, Singapore Management University, School of Economics
    See also Journal Article Posterior-based Wald-type statistics for hypothesis testing, Journal of Econometrics, Elsevier (2022) View citations (2) (2022)
30. Asymptotic Theory for Rough Fractional Vasicek Models
    Economics and Statistics Working Papers, Singapore Management University, School of Economics View citations (1)
    See also Journal Article Asymptotic theory for rough fractional Vasicek models, Economics Letters, Elsevier (2019) View citations (5) (2019)
31. Integrated Deviance Information Criterion for Latent Variable Models
    Economics and Statistics Working Papers, Singapore Management University, School of Economics View citations (1)
32. Mild-explosive and Local-to-mild-explosive Autoregressions with Serially Correlated Errors
    Economics and Statistics Working Papers, Singapore Management University, School of Economics
33. The Grid Bootstrap for Continuous Time Models
    Economics and Statistics Working Papers, Singapore Management University, School of Economics
    See also Journal Article The Grid Bootstrap for Continuous Time Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2022) (2022)

2017

34. A Specification Test based on the MCMC Output
    Economics and Statistics Working Papers, Singapore Management University, School of Economics
    See also Journal Article Specification tests based on MCMC output, Journal of Econometrics, Elsevier (2018) View citations (2) (2018)
35. Asymptotic Theory for Estimating Drift Parameters in the Fractional Vasicek Model
    Economics and Statistics Working Papers, Singapore Management University, School of Economics
    See also Journal Article ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL, Econometric Theory, Cambridge University Press (2019) View citations (9) (2019)
36. Bubble Testing under Deterministic Trends
    Economics and Statistics Working Papers, Singapore Management University, School of Economics View citations (1)
37. Deviance Information Criterion for Bayesian Model Selection: Justification and Variation
    Economics and Statistics Working Papers, Singapore Management University, School of Economics View citations (3)
38. In-fill Asymptotic Theory for Structural Break Point in Autoregression: A Unified Theory
    Economics and Statistics Working Papers, Singapore Management University, School of Economics View citations (5)
39. Model Selection for Explosive Models
    Papers, arXiv.org
    Also in Economics and Statistics Working Papers, Singapore Management University, School of Economics (2016)
    See also Chapter Model Selection for Explosive Models, Advances in Econometrics, Emerald Group Publishing Limited (2020) View citations (1) (2020)
40. Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour
    Economics and Statistics Working Papers, Singapore Management University, School of Economics View citations (3)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2017) View citations (2)
    See also Journal Article Random coefficient continuous systems: Testing for extreme sample path behavior, Journal of Econometrics, Elsevier (2019) View citations (8) (2019)

2016

41. Asymptotic Theory for Estimating the Persistent Parameter in the Fractional Vasicek Model
    Economics and Statistics Working Papers, Singapore Management University, School of Economics
42. Shrinkage Estimation of Covariance Matrix for Portfolio Choice with High Frequency Data
    Economics and Statistics Working Papers, Singapore Management University, School of Economics View citations (1)

2014

43. A Bayesian Chi-Squared Test for Hypothesis Testing
    Working Papers, Singapore Management University, School of Economics
    See also Journal Article A Bayesian chi-squared test for hypothesis testing, Journal of Econometrics, Elsevier (2015) View citations (13) (2015)
44. A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (6)
    Also in Working Papers, Singapore Management University, School of Economics (2014) View citations (7)
45. Bayesian Analysis of Bubbles in Asset Prices
    Working Papers, Singapore Management University, School of Economics View citations (2)
    See also Journal Article Bayesian Analysis of Bubbles in Asset Prices, Econometrics, MDPI (2017) View citations (5) (2017)
46. Deviance Information Criterion for Comparing VAR Models
    Working Papers, Singapore Management University, School of Economics View citations (1)
    See also Chapter Deviance Information Criterion for Comparing VAR Models, Advances in Econometrics, Emerald Group Publishing Limited (2014) View citations (1) (2014)
47. On Bias in the Estimation of Structural Break Points
    Working Papers, Singapore Management University, School of Economics

2013

48. Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Levy Processes
    Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics
    Also in Working Papers, Singapore Management University, School of Economics (2013) View citations (2)
49. Limit Theory for an Explosive Autoregressive Process
    Working Papers, Singapore Management University, School of Economics View citations (1)
    See also Journal Article Limit theory for an explosive autoregressive process, Economics Letters, Elsevier (2015) View citations (17) (2015)
50. Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500
    Working Papers, Singapore Management University, School of Economics View citations (93)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2013) View citations (86)
    See also Journal Article TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2015) View citations (167) (2015)
51. Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors
    Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2013) View citations (5)
    Working Papers, Singapore Management University, School of Economics (2013) View citations (6)
    See also Journal Article TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL‐TIME DETECTORS, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2015) View citations (79) (2015)

2012

52. A New Bayesian Unit Root Test in Stochastic Volatility Models
    Working Papers, Singapore Management University, School of Economics
    Also in Working Papers, Singapore Management University, School of Economics (2010) View citations (3)
53. Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes
    Working Papers, Singapore Management University, School of Economics
    Also in Working Papers, Singapore Management University, School of Economics (2010) View citations (8)
54. Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility
    Working Papers, Singapore Management University, School of Economics View citations (2)
    Also in Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2011)
55. Detecting Bubbles in Hong Kong Residential Property Market
    Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics
    Also in Working Papers, Singapore Management University, School of Economics (2012) View citations (10)
    See also Journal Article Detecting bubbles in Hong Kong residential property market, Journal of Asian Economics, Elsevier (2013) View citations (79) (2013)
56. Double Asymptotics for Explosive Continuous Time Models
    Working Papers, Singapore Management University, School of Economics
    Also in Working Papers, Singapore Management University, School of Economics (2011) View citations (11)
    See also Journal Article Double asymptotics for explosive continuous time models, Journal of Econometrics, Elsevier (2016) View citations (17) (2016)
57. Investigating Impacts of Self-Exciting Jumps in Returns and Volatility: A Bayesian Learning Approach
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University View citations (2)
58. Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models
    Working Papers, Singapore Management University, School of Economics
    Also in Working Papers, Singapore Management University, School of Economics (2011) View citations (1)
59. Robust Deviance Information Criterion for Latent Variable Models
    Working Papers, Singapore Management University, School of Economics View citations (18)
    Also in Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics
60. Simulated Maximum Likelihood Estimation for Latent Diffusion Models
    Working Papers, Singapore Management University, School of Economics
    Also in Working Papers, Singapore Management University, School of Economics (2011)
    Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2011)
61. Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
    Also in Working Papers, Singapore Management University, School of Economics (2011) View citations (8)
    Working Papers, Singapore Management University, School of Economics (2012) View citations (4)
    Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2011)
    See also Journal Article Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2014) View citations (89) (2014)
62. Testing for Multiple Bubbles
    Working Papers, Singapore Management University, School of Economics View citations (78)
    Also in Working Papers, Singapore Management University, School of Economics (2011) View citations (52)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2012) View citations (51)
    Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2011)

2011

63. Bayesian Hypothesis Testing in Latent Variable Models
    Working Papers, Singapore Management University, School of Economics View citations (1)
    See also Journal Article Bayesian hypothesis testing in latent variable models, Journal of Econometrics, Elsevier (2012) View citations (25) (2012)
64. Bias in Estimating Multivariate and Univariate Diffusions
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (13)
    See also Journal Article Bias in estimating multivariate and univariate diffusions, Journal of Econometrics, Elsevier (2011) View citations (12) (2011)
65. Speci fication Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles
    Working Papers, Singapore Management University, School of Economics View citations (1)
    Also in Working Papers, Hong Kong Institute for Monetary Research (2011) View citations (3)
    Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2011)

2010

66. A Conversation with Eric Ghysels Co-President of the Society for Financial Econometrics
    Working Papers, Singapore Management University, School of Economics
67. Corrigendum to “A Gaussian Approach for Continuous Time Models of the Short Term Interest Rate"
    Working Papers, Singapore Management University, School of Economics
68. Dating the Timeline of Financial Bubbles during the Subprime Crisis
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (15)
    Also in Working Papers, Singapore Management University, School of Economics (2009) View citations (13)
    Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2009)
    Finance Working Papers, East Asian Bureau of Economic Research (2009) View citations (13)
    See also Journal Article Dating the timeline of financial bubbles during the subprime crisis, Quantitative Economics, Econometric Society (2011) View citations (344) (2011)
69. Estimating the GARCH Diffusion: Simulated Maximum Likelihood in Continuous Time
    Working Papers, Singapore Management University, School of Economics View citations (1)
70. Measurement and High Finance
    Working Papers, Singapore Management University, School of Economics
71. Simulation-based Estimation Methods for Financial Time Series Models
    Working Papers, Singapore Management University, School of Economics View citations (1)

2009

72. Automated Likelihood Based Inference for Stochastic Volatility Models
    Working Papers, Singapore Management University, School of Economics View citations (1)
    Also in Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2007)
    Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2007)
73. Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises
    Finance Working Papers, East Asian Bureau of Economic Research
    Also in Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics
    See also Journal Article Bayesian analysis of structural credit risk models with microstructure noises, Journal of Economic Dynamics and Control, Elsevier (2010) View citations (16) (2010)
74. Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models
    Microeconomics Working Papers, East Asian Bureau of Economic Research View citations (1)
    Also in Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2008)
    Working Papers, Singapore Management University, School of Economics (2009) View citations (1)
    See also Journal Article Bias in the estimation of the mean reversion parameter in continuous time models, Journal of Econometrics, Elsevier (2012) View citations (29) (2012)
75. Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results
    Working Papers, Singapore Management University, School of Economics
    Also in Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2009)
    See also Journal Article ECONOMETRIC ANALYSIS OF CONTINUOUS TIME MODELS: A SURVEY OF PETER PHILLIPS’S WORK AND SOME NEW RESULTS, Econometric Theory, Cambridge University Press (2014) View citations (10) (2014)
76. Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips’ Work and Some New Results
    Microeconomics Working Papers, East Asian Bureau of Economic Research
77. Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?
    Finance Working Papers, East Asian Bureau of Economic Research View citations (24)
    Also in Working Papers, Singapore Management University, School of Economics (2009) View citations (28)
    Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2009)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2009) View citations (24)
    Working Papers, Hong Kong Institute for Monetary Research (2007) View citations (9)
    See also Journal Article EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2011) View citations (586) (2011)
78. Forecasting Realized Volatility Using A Nonnegative Semiparametric Model
    Finance Working Papers, East Asian Bureau of Economic Research
    Also in Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics View citations (2)
    Working Papers, Singapore Management University, School of Economics (2009) View citations (1)
    See also Journal Article Forecasting Realized Volatility Using a Nonnegative Semiparametric Model, JRFM, MDPI (2019) View citations (4) (2019)
79. Information Loss in Volatility Measurement with Flat Price Trading
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University View citations (1)
    Also in Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2008)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2007) View citations (4)
    Levine's Bibliography, UCLA Department of Economics (2007) View citations (5)
    See also Chapter Information loss in volatility measurement with flat price trading, Advanced Studies in Theoretical and Applied Econometrics, Springer (2024) (2024)
    Journal Article Information loss in volatility measurement with flat price trading, Empirical Economics, Springer (2023) View citations (1) (2023)
80. Simulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models
    Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics View citations (1)
    Also in Working Papers, Singapore Management University, School of Economics (2009)
    See also Chapter Simulated maximum likelihood estimation of continuous time stochastic volatility models, Advances in Econometrics, Emerald Group Publishing Limited (2010) (2010)

2008

81. A Semiparametric Stochastic Volatility Model
    Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics
    See also Journal Article A semiparametric stochastic volatility model, Journal of Econometrics, Elsevier (2012) View citations (40) (2012)
82. Simulation-based Estimation of Contingent-claims Prices
    Finance Working Papers, East Asian Bureau of Economic Research View citations (1)
    Also in Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2007) View citations (2)
    See also Journal Article Simulation-Based Estimation of Contingent-Claims Prices, The Review of Financial Studies, Society for Financial Studies (2009) View citations (18) (2009)

2007

83. Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
    Also in Development Economics Working Papers, East Asian Bureau of Economic Research (2006) View citations (4)
    Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics

2006

84. A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete
    Macroeconomics Working Papers, East Asian Bureau of Economic Research
85. Indirect Inference for Dynamic Panel Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
    Also in Development Economics Working Papers, East Asian Bureau of Economic Research (2006) View citations (2)
    See also Journal Article Indirect inference for dynamic panel models, Journal of Econometrics, Elsevier (2010) View citations (77) (2010)
86. Multivariate Stochastic Volatility
    Microeconomics Working Papers, East Asian Bureau of Economic Research View citations (268)
87. Temporal Aggregation and Risk-Return Relation
    Working Papers, Singapore Management University, School of Economics
    See also Journal Article Temporal aggregation and risk-return relation, Finance Research Letters, Elsevier (2007) (2007)

2005

88. A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (8)
89. Comment on “Realized Variance and Market Microstructure Noise†by Peter R. Hansen and Asger Lunde
    Finance Working Papers, East Asian Bureau of Economic Research
90. Comment on “Realized Variance and Market Microstructure Noise” by Peter R. Hansen and Asger Lunde
    Working Papers, Singapore Management University, School of Economics
91. Comments on “A selective overview of nonparametric methods in financial econometricsâ€Â
    Finance Working Papers, East Asian Bureau of Economic Research View citations (3)
92. Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan
    Working Papers, Singapore Management University, School of Economics View citations (6)

2004

93. Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility
    Working Papers, Singapore Management University, School of Economics View citations (4)
94. Jackknifing Bond Option Prices
    Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (2)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) View citations (3)
    Working Papers, Department of Economics, The University of Auckland (2002)
    See also Journal Article Jackknifing Bond Option Prices, The Review of Financial Studies, Society for Financial Studies (2005) View citations (63) (2005)
95. Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
    Working Papers, Singapore Management University, School of Economics View citations (1)
    See also Journal Article Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison, Econometric Reviews, Taylor & Francis Journals (2006) View citations (80) (2006)
96. On Leverage in a Stochastic Volatility Model
    Econometric Society 2004 Far Eastern Meetings, Econometric Society View citations (7)
    Also in Econometric Society 2004 Far Eastern Meetings, Econometric Society (2004) View citations (7)
    Working Papers, Singapore Management University, School of Economics (2004) View citations (7)
    See also Journal Article On leverage in a stochastic volatility model, Journal of Econometrics, Elsevier (2005) View citations (220) (2005)

2002

97. A Class of Nonlinear Stochastic Volatility Models
    Working Papers, Department of Economics, The University of Auckland View citations (9)
98. A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (8)
    See also Journal Article A class of nonlinear stochastic volatility models and its implications for pricing currency options, Computational Statistics & Data Analysis, Elsevier (2006) View citations (28) (2006)
99. Deviance Information Criterion as a Model Comparison Criterion for Stochastic Volatility Models
    Working Papers, Department of Economics, The University of Auckland
100. Estimation of Hyperbolic Diffusion Using MCMC Method
     Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (12)
     Also in Working Papers, Department of Economics, The University of Auckland (2002)
101. MCMC Methods for Estimating Stochastic Volatility Models with Liverage Effects: Comments on Jacquier, Polson and Rossi (2002)
     Working Papers, Department of Economics, The University of Auckland View citations (8)

2001

102. Forecasting Volatility:Evidence from the German Stock Market
     Working Papers, Department of Economics, The University of Auckland View citations (5)
103. Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (24)

2000

104. BUGS for a Bayesian Analysis of Stochastic Volatility Models
     Working Papers, Department of Economics, The University of Auckland View citations (78)
     See also Journal Article BUGS for a Bayesian analysis of stochastic volatility models, Econometrics Journal, Royal Economic Society (2000) View citations (80) (2000)
105. Exact Gaussian Estimation of Continuous Time Models of The Term Structure of Interest Rates Rankings of Economics Departments in New Zealand
     Working Papers, Department of Economics, The University of Auckland

1999

106. A Test Statistic and Its Application in Modelling Daily Stock Returns
     Working Papers, Department of Economics, The University of Auckland
107. Do Topics Diffuse from Core to Periphery Journals?
     Working Papers, Department of Economics, The University of Auckland
108. Efficient Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method
     Working Papers, Department of Economics, The University of Auckland
109. Empirical Characteristic Function in Time Series Estimation
     Working Papers, Department of Economics, The University of Auckland View citations (1)
     See also Journal Article EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION, Econometric Theory, Cambridge University Press (2002) View citations (41) (2002)
110. Estimation of a Self-Exciting Poisson Jump Diffusion Model by the Empirical Characteristic Function Method
     Working Papers, Department of Economics, The University of Auckland
111. Forecasting Volatility in the New Zealand Stock Market
     Working Papers, Department of Economics, The University of Auckland View citations (1)
     See also Journal Article Forecasting volatility in the New Zealand stock market, Applied Financial Economics, Taylor & Francis Journals (2002) View citations (70) (2002)

Undated

112. Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods in Time Series Data
     Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics

Journal Articles

2025

1. Fractional stochastic volatility model
   Journal of Time Series Analysis, 2025, 46, (2), 378-397

2024

2. On the optimal forecast with the fractional Brownian motion
   Quantitative Finance, 2024, 24, (2), 337-346
   See also Working Paper On the Optimal Forecast with the Fractional Brownian Motion, Economics and Statistics Working Papers (2022) (2022)
3. On the spectral density of fractional Ornstein–Uhlenbeck processes
   Journal of Econometrics, 2024, 245, (1)
   See also Working Paper On the Spectral Density of Fractional Ornstein-Uhlenbeck Processes, Working Papers (2024) (2024)
4. Robust testing for explosive behavior with strongly dependent errors
   Journal of Econometrics, 2024, 238, (2) View citations (1)
   See also Working Paper Robust Testing for Explosive Behavior with Strongly Dependent Errors, Economics and Statistics Working Papers (2022) View citations (1) (2022)

2023

5. A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR
   International Economic Review, 2023, 64, (4), 1347-1395
   See also Working Paper A Panel Clustering Approach to Analyzing Bubble Behavior, Cowles Foundation Discussion Papers (2022) View citations (2) (2022)
6. Bubble testing under polynomial trends
   The Econometrics Journal, 2023, 26, (1), 25-44
7. Improved marginal likelihood estimation via power posteriors and importance sampling
   Journal of Econometrics, 2023, 234, (1), 28-52
   See also Working Paper Improved Marginal Likelihood Estimation via Power Posteriors and Importance Sampling, Economics and Statistics Working Papers (2019) View citations (1) (2019)
8. Information loss in volatility measurement with flat price trading
   Empirical Economics, 2023, 64, (6), 2957-2999 View citations (1)
   See also Working Paper Information Loss in Volatility Measurement with Flat Price Trading, Global COE Hi-Stat Discussion Paper Series (2009) View citations (1) (2009)
   Chapter Information loss in volatility measurement with flat price trading, Advanced Studies in Theoretical and Applied Econometrics, 2024, 501-543 (2024) (2024)
9. Latent local-to-unity models
   Econometric Reviews, 2023, 42, (7), 586-611
   See also Working Paper Latent Local-to-Unity Models, Economics and Statistics Working Papers (2021) View citations (1) (2021)
10. Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process
    Journal of Econometrics, 2023, 232, (2), 389-415 View citations (11)
11. Volatility Puzzle: Long Memory or Antipersistency
    Management Science, 2023, 69, (7), 3861-3883

2022

12. Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks*
    (Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts)
    Journal of Financial Econometrics, 2022, 20, (1), 160-186 View citations (1)
    See also Working Paper Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks, Economics and Statistics Working Papers (2019) (2019)
13. Posterior-based Wald-type statistics for hypothesis testing
    Journal of Econometrics, 2022, 230, (1), 83-113 View citations (2)
    See also Working Paper A Posterior-Based Wald-Type Statistic for Hypothesis Testing, Economics and Statistics Working Papers (2018) (2018)
14. The Grid Bootstrap for Continuous Time Models
    Journal of Business & Economic Statistics, 2022, 40, (3), 1390-1402
    See also Working Paper The Grid Bootstrap for Continuous Time Models, Economics and Statistics Working Papers (2018) (2018)

2021

15. Housing equity and household consumption in retirement: evidence from the Singapore Life Panel©
    New Zealand Economic Papers, 2021, 55, (1), 124-140
    See also Working Paper Housing Equity and Household Consumption in Retirement: Evidence from the Singapore Life Panel, Economics and Statistics Working Papers (2019) (2019)
16. Mildly Explosive Autoregression with Anti‐persistent Errors
    Oxford Bulletin of Economics and Statistics, 2021, 83, (2), 518-539 View citations (2)

2020

17. Deviance information criterion for latent variable models and misspecified models
    Journal of Econometrics, 2020, 216, (2), 450-493 View citations (13)
18. In-fill asymptotic theory for structural break point in autoregressions
    Econometric Reviews, 2020, 40, (4), 359-386 View citations (1)
19. Maximum Likelihood Estimation for the Fractional Vasicek Model
    Econometrics, 2020, 8, (3), 1-28 View citations (1)
    See also Working Paper Maximum Likelihood Estimation for the Fractional Vasicek Model, Economics and Statistics Working Papers (2019) View citations (3) (2019)

2019

20. ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL
    Econometric Theory, 2019, 35, (1), 198-231 View citations (9)
    See also Working Paper Asymptotic Theory for Estimating Drift Parameters in the Fractional Vasicek Model, Economics and Statistics Working Papers (2017) (2017)
21. An Improved Bayesian Unit Root Test in Stochastic Volatility Models
    Annals of Economics and Finance, 2019, 20, (1), 103-122
22. Asymptotic theory for rough fractional Vasicek models
    Economics Letters, 2019, 177, (C), 26-29 View citations (5)
    See also Working Paper Asymptotic Theory for Rough Fractional Vasicek Models, Economics and Statistics Working Papers (2018) View citations (1) (2018)
23. Forecasting Realized Volatility Using a Nonnegative Semiparametric Model
    JRFM, 2019, 12, (3), 1-23 View citations (4)
    See also Working Paper Forecasting Realized Volatility Using A Nonnegative Semiparametric Model, Finance Working Papers (2009) (2009)
24. Random coefficient continuous systems: Testing for extreme sample path behavior
    Journal of Econometrics, 2019, 209, (2), 208-237 View citations (8)
    See also Working Paper Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour, Economics and Statistics Working Papers (2017) View citations (3) (2017)

2018

25. New distribution theory for the estimation of structural break point in mean
    Journal of Econometrics, 2018, 205, (1), 156-176 View citations (9)
26. Specification tests based on MCMC output
    Journal of Econometrics, 2018, 207, (1), 237-260 View citations (2)
    See also Working Paper A Specification Test based on the MCMC Output, Economics and Statistics Working Papers (2017) (2017)

2017

27. Bayesian Analysis of Bubbles in Asset Prices
    Econometrics, 2017, 5, (4), 1-23 View citations (5)
    See also Working Paper Bayesian Analysis of Bubbles in Asset Prices, Working Papers (2014) View citations (2) (2014)
28. Inference in continuous systems with mildly explosive regressors
    Journal of Econometrics, 2017, 201, (2), 400-416 View citations (13)

2016

29. Double asymptotics for explosive continuous time models
    Journal of Econometrics, 2016, 193, (1), 35-53 View citations (17)
    See also Working Paper Double Asymptotics for Explosive Continuous Time Models, Working Papers (2012) (2012)

2015

30. A Bayesian chi-squared test for hypothesis testing
    Journal of Econometrics, 2015, 189, (1), 54-69 View citations (13)
    See also Working Paper A Bayesian Chi-Squared Test for Hypothesis Testing, Working Papers (2014) (2014)
31. Asymptotic theory for linear diffusions under alternative sampling schemes
    Economics Letters, 2015, 128, (C), 1-5 View citations (14)
32. Bias in the estimation of mean reversion in continuous-time Lévy processes
    Economics Letters, 2015, 134, (C), 16-19 View citations (2)
33. Editorial
    Spatial Economic Analysis, 2015, 10, (1), 1-10
34. Limit theory for an explosive autoregressive process
    Economics Letters, 2015, 126, (C), 176-180 View citations (17)
    See also Working Paper Limit Theory for an Explosive Autoregressive Process, Working Papers (2013) View citations (1) (2013)
35. New methodology for constructing real estate price indices applied to the Singapore residential market
    Journal of Banking & Finance, 2015, 61, (S2), S121-S131 View citations (20)
36. Optimal jackknife for unit root models
    Statistics & Probability Letters, 2015, 99, (C), 135-142 View citations (7)
37. Self-Exciting Jumps, Learning, and Asset Pricing Implications
    The Review of Financial Studies, 2015, 28, (3), 876-912 View citations (28)
38. TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500
    International Economic Review, 2015, 56, (4), 1043-1078 View citations (167)
    See also Working Paper Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500, Working Papers (2013) View citations (93) (2013)
39. TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL‐TIME DETECTORS
    International Economic Review, 2015, 56, (4), 1079-1134 View citations (79)
    See also Working Paper Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors, Working Papers (2013) (2013)

2014

40. A flexible and automated likelihood based framework for inference in stochastic volatility models
    Computational Statistics & Data Analysis, 2014, 76, (C), 642-654 View citations (2)
41. A new approach to Bayesian hypothesis testing
    Journal of Econometrics, 2014, 178, (P3), 602-612 View citations (18)
42. ECONOMETRIC ANALYSIS OF CONTINUOUS TIME MODELS: A SURVEY OF PETER PHILLIPS’S WORK AND SOME NEW RESULTS
    Econometric Theory, 2014, 30, (4), 737-774 View citations (10)
    See also Working Paper Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results, Working Papers (2009) (2009)
43. Maximum likelihood estimation of partially observed diffusion models
    Journal of Econometrics, 2014, 180, (1), 73-80 View citations (2)
44. SPECIAL ISSUE OF ECONOMETRIC THEORY ON SETA 2010: EDITORS’ INTRODUCTION
    Econometric Theory, 2014, 30, (1), 1-2
45. Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour
    Oxford Bulletin of Economics and Statistics, 2014, 76, (3), 315-333 View citations (89)
    See also Working Paper Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior, Cowles Foundation Discussion Papers (2012) View citations (3) (2012)

2013

46. Detecting bubbles in Hong Kong residential property market
    Journal of Asian Economics, 2013, 28, (C), 115-124 View citations (79)
    See also Working Paper Detecting Bubbles in Hong Kong Residential Property Market, Working Papers (2012) (2012)

2012

47. A semiparametric stochastic volatility model
    Journal of Econometrics, 2012, 167, (2), 473-482 View citations (40)
    See also Working Paper A Semiparametric Stochastic Volatility Model, Working Papers (2008) (2008)
48. Bayesian hypothesis testing in latent variable models
    Journal of Econometrics, 2012, 166, (2), 237-246 View citations (25)
    See also Working Paper Bayesian Hypothesis Testing in Latent Variable Models, Working Papers (2011) View citations (1) (2011)
49. Bias in the estimation of the mean reversion parameter in continuous time models
    Journal of Econometrics, 2012, 169, (1), 114-122 View citations (29)
    See also Working Paper Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models, Microeconomics Working Papers (2009) View citations (1) (2009)

2011

50. Bias in estimating multivariate and univariate diffusions
    Journal of Econometrics, 2011, 161, (2), 228-245 View citations (12)
    See also Working Paper Bias in Estimating Multivariate and Univariate Diffusions, Cowles Foundation Discussion Papers (2011) View citations (13) (2011)
51. Corrigendum to ‘A Gaussian approach for continuous time models of short‐term interest rates’ (Yu, J. and P. C. B. Phillips, Econometrics Journal, 4, 210–24)
    Econometrics Journal, 2011, 14, 126-129
52. Dating the timeline of financial bubbles during the subprime crisis
    Quantitative Economics, 2011, 2, (3), 455-491 View citations (344)
    See also Working Paper Dating the Timeline of Financial Bubbles during the Subprime Crisis, Cowles Foundation Discussion Papers (2010) View citations (15) (2010)
53. EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?
    International Economic Review, 2011, 52, (1), 201-226 View citations (586)
    See also Working Paper Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?, Finance Working Papers (2009) View citations (24) (2009)

2010

54. Bayesian analysis of structural credit risk models with microstructure noises
    Journal of Economic Dynamics and Control, 2010, 34, (11), 2259-2272 View citations (16)
    See also Working Paper Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises, Finance Working Papers (2009) (2009)
55. Indirect inference for dynamic panel models
    Journal of Econometrics, 2010, 157, (1), 68-77 View citations (77)
    See also Working Paper Indirect Inference for Dynamic Panel Models, Cowles Foundation Discussion Papers (2006) View citations (2) (2006)

2009

56. A two-stage realized volatility approach to estimation of diffusion processes with discrete data
    Journal of Econometrics, 2009, 150, (2), 139-150 View citations (15)
57. Simulation-Based Estimation of Contingent-Claims Prices
    The Review of Financial Studies, 2009, 22, (9), 3669-3705 View citations (18)
    See also Working Paper Simulation-based Estimation of Contingent-claims Prices, Finance Working Papers (2008) View citations (1) (2008)

2007

58. Realized Daily Variance of S&P 500 Cash Index: A Revaluation of Stylized Facts
    Annals of Economics and Finance, 2007, 8, (1), 33-56 View citations (3)
59. Temporal aggregation and risk-return relation
    Finance Research Letters, 2007, 4, (2), 104-115
    See also Working Paper Temporal Aggregation and Risk-Return Relation, Working Papers (2006) (2006)

2006

60. A class of nonlinear stochastic volatility models and its implications for pricing currency options
    Computational Statistics & Data Analysis, 2006, 51, (4), 2218-2231 View citations (28)
    See also Working Paper A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options, Monash Econometrics and Business Statistics Working Papers (2002) View citations (8) (2002)
61. Comment
    Journal of Business & Economic Statistics, 2006, 24, 202-208
62. Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
    Econometric Reviews, 2006, 25, (2-3), 361-384 View citations (80)
    See also Working Paper Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison, Working Papers (2004) View citations (1) (2004)
63. Multivariate Stochastic Volatility: A Review
    Econometric Reviews, 2006, 25, (2-3), 145-175 View citations (232)

2005

64. Jackknifing Bond Option Prices
    The Review of Financial Studies, 2005, 18, (2), 707-742 View citations (63)
    See also Working Paper Jackknifing Bond Option Prices, Econometric Society 2004 North American Winter Meetings (2004) View citations (2) (2004)
65. On leverage in a stochastic volatility model
    Journal of Econometrics, 2005, 127, (2), 165-178 View citations (220)
    See also Working Paper On Leverage in a Stochastic Volatility Model, Econometric Society 2004 Far Eastern Meetings (2004) View citations (7) (2004)

2004

66. Deviance Information Criterion for Comparing Stochastic Volatility Models
    Journal of Business & Economic Statistics, 2004, 22, (1), 107-20 View citations (103)
67. Empirical Characteristic Function Estimation and Its Applications
    Econometric Reviews, 2004, 23, (2), 93-123 View citations (50)
68. Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method
    Quantitative Finance, 2004, 4, (2), 158-169 View citations (14)

2002

69. EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION
    Econometric Theory, 2002, 18, (3), 691-721 View citations (41)
    See also Working Paper Empirical Characteristic Function in Time Series Estimation, Working Papers (1999) View citations (1) (1999)
70. Forecasting volatility in the New Zealand stock market
    Applied Financial Economics, 2002, 12, (3), 193-202 View citations (70)
    See also Working Paper Forecasting Volatility in the New Zealand Stock Market, Working Papers (1999) View citations (1) (1999)
71. Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method
    Australian & New Zealand Journal of Statistics, 2002, 44, (3), 319-335 View citations (20)

2001

72. A Gaussian approach for continuous time models of the short-term interest rate
    Econometrics Journal, 2001, 4, (2), 3 View citations (32)
73. Do Stock Returns Follow a Finite Variance Distribution?
    Annals of Economics and Finance, 2001, 2, (2), 467-486 View citations (6)

2000

74. BUGS for a Bayesian analysis of stochastic volatility models
    Econometrics Journal, 2000, 3, (2), 198-215 View citations (80)
    See also Working Paper BUGS for a Bayesian Analysis of Stochastic Volatility Models, Working Papers (2000) View citations (78) (2000)

1999

75. Testing the expectations theory of the term structure for New Zealand
    New Zealand Economic Papers, 1999, 33, (1), 93-114 View citations (6)

Undated

76. On stiffness in affine asset pricing models
    Journal of Computational Finance

Chapters

2024

1. Information loss in volatility measurement with flat price trading
   Springer
   See also Working Paper Information Loss in Volatility Measurement with Flat Price Trading, Institute of Economic Research, Hitotsubashi University (2009) View citations (1) (2009)
   Journal Article Information loss in volatility measurement with flat price trading, Springer (2023) View citations (1) (2023)

2023

2. Asymptotic Properties of the Least Squares Estimator in Local to Unity Processes with Fractional Gaussian Noise
   A chapter in Essays in Honor of Joon Y. Park: Econometric Theory, 2023, vol. 45A, pp 73-95
   See also Working Paper Asymptotic Properties of Least Squares Estimator in Local to Unity Processes with Fractional Gaussian Noises, Singapore Management University, School of Economics (2020) (2020)

2020

3. Model Selection for Explosive Models
   A chapter in Essays in Honor of Cheng Hsiao, 2020, vol. 41, pp 73-103 View citations (1)
   See also Working Paper Model Selection for Explosive Models, arXiv.org (2017) (2017)

2014

4. Deviance Information Criterion for Comparing VAR Models
   A chapter in Essays in Honor of Peter C. B. Phillips, 2014, vol. 33, pp 615-637 View citations (1)
   See also Working Paper Deviance Information Criterion for Comparing VAR Models, Singapore Management University, School of Economics (2014) View citations (1) (2014)

2010

5. Simulated maximum likelihood estimation of continuous time stochastic volatility models
   A chapter in Maximum Simulated Likelihood Methods and Applications, 2010, pp 137-161
   See also Working Paper Simulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2009) View citations (1) (2009)