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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, Macau, 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 2024-05-11. Update your information in the RePEc Author Service.

Short-id: pyu5


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Working Papers

2024

  1. Testing for an Explosive Bubble using High-Frequency Volatility
    Papers, arXiv.org Downloads

2022

  1. A Panel Clustering Approach to Analyzing Bubble Behavior
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    Also in Economics and Statistics Working Papers, Singapore Management University, School of Economics (2022) Downloads View citations (1)

    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) Downloads (2023)
  2. Finite Sample Comparison of Alternative Estimators for Fractional Gaussian Noise
    Economics and Statistics Working Papers, Singapore Management University, School of Economics Downloads
  3. On the Optimal Forecast with the Fractional Brownian Motion
    Economics and Statistics Working Papers, Singapore Management University, School of Economics Downloads
    See also Journal Article On the optimal forecast with the fractional Brownian motion, Quantitative Finance, Taylor & Francis Journals (2024) Downloads (2024)
  4. Robust Testing for Explosive Behavior with Strongly Dependent Errors
    Economics and Statistics Working Papers, Singapore Management University, School of Economics Downloads View citations (1)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2022) Downloads View citations (1)

    See also Journal Article Robust testing for explosive behavior with strongly dependent errors, Journal of Econometrics, Elsevier (2024) Downloads (2024)
  5. Weak Identification of Long Memory with Implications for Inference
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    Also in Economics and Statistics Working Papers, Singapore Management University, School of Economics (2022) Downloads

2021

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

2020

  1. 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 Downloads
    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) Downloads (2023)
  2. 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 Downloads
  3. Forecast combinations in machine learning
    Economics and Statistics Working Papers, Singapore Management University, School of Economics Downloads
  4. Forecasting Singapore GDP using the SPF data
    Economics and Statistics Working Papers, Singapore Management University, School of Economics Downloads
  5. Local Powers of Least-Squares-Based Test for Panel Fractional Ornstein-Uhlenbeck Process
    Economics and Statistics Working Papers, Singapore Management University, School of Economics Downloads
  6. Persistent and Rough Volatility
    Economics and Statistics Working Papers, Singapore Management University, School of Economics Downloads View citations (2)

2019

  1. A Quantile-based Asset Pricing Model
    Economics and Statistics Working Papers, Singapore Management University, School of Economics Downloads
  2. Estimation and Inference of Fractional Continuous-Time Model with Discrete-Sampled Data
    Economics and Statistics Working Papers, Singapore Management University, School of Economics Downloads View citations (2)
  3. Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks
    Economics and Statistics Working Papers, Singapore Management University, School of Economics Downloads
    See also Journal Article Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks*, Journal of Financial Econometrics, Oxford University Press (2022) Downloads View citations (1) (2022)
  4. Housing Equity and Household Consumption in Retirement: Evidence from the Singapore Life Panel
    Economics and Statistics Working Papers, Singapore Management University, School of Economics Downloads
    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) Downloads (2021)
  5. Improved Marginal Likelihood Estimation via Power Posteriors and Importance Sampling
    Economics and Statistics Working Papers, Singapore Management University, School of Economics Downloads View citations (1)
    See also Journal Article Improved marginal likelihood estimation via power posteriors and importance sampling, Journal of Econometrics, Elsevier (2023) Downloads (2023)
  6. Maximum Likelihood Estimation for the Fractional Vasicek Model
    Economics and Statistics Working Papers, Singapore Management University, School of Economics Downloads View citations (3)
    See also Journal Article Maximum Likelihood Estimation for the Fractional Vasicek Model, Econometrics, MDPI (2020) Downloads View citations (1) (2020)

2018

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

2017

  1. A Specification Test based on the MCMC Output
    Economics and Statistics Working Papers, Singapore Management University, School of Economics Downloads
    See also Journal Article Specification tests based on MCMC output, Journal of Econometrics, Elsevier (2018) Downloads View citations (2) (2018)
  2. Asymptotic Theory for Estimating Drift Parameters in the Fractional Vasicek Model
    Economics and Statistics Working Papers, Singapore Management University, School of Economics Downloads
    See also Journal Article ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL, Econometric Theory, Cambridge University Press (2019) Downloads View citations (9) (2019)
  3. Bubble Testing under Deterministic Trends
    Economics and Statistics Working Papers, Singapore Management University, School of Economics Downloads View citations (1)
  4. Deviance Information Criterion for Bayesian Model Selection: Justification and Variation
    Economics and Statistics Working Papers, Singapore Management University, School of Economics Downloads View citations (3)
  5. In-fill Asymptotic Theory for Structural Break Point in Autoregression: A Unified Theory
    Economics and Statistics Working Papers, Singapore Management University, School of Economics Downloads View citations (5)
  6. Model Selection for Explosive Models
    Papers, arXiv.org Downloads
    Also in Economics and Statistics Working Papers, Singapore Management University, School of Economics (2016) Downloads

    See also Chapter Model Selection for Explosive Models, Advances in Econometrics, Emerald Group Publishing Limited (2020) Downloads View citations (1) (2020)
  7. Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    Also in Economics and Statistics Working Papers, Singapore Management University, School of Economics (2017) Downloads View citations (3)

    See also Journal Article Random coefficient continuous systems: Testing for extreme sample path behavior, Journal of Econometrics, Elsevier (2019) Downloads View citations (7) (2019)

2016

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

2014

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

2013

  1. 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 Downloads
    Also in Working Papers, Singapore Management University, School of Economics (2013) Downloads View citations (2)
  2. Limit Theory for an Explosive Autoregressive Process
    Working Papers, Singapore Management University, School of Economics Downloads View citations (1)
    See also Journal Article Limit theory for an explosive autoregressive process, Economics Letters, Elsevier (2015) Downloads View citations (17) (2015)
  3. Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500
    Working Papers, Singapore Management University, School of Economics Downloads View citations (92)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2013) Downloads View citations (85)

    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) Downloads View citations (128) (2015)
  4. Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors
    Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics Downloads
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2013) Downloads View citations (5)
    Working Papers, Singapore Management University, School of Economics (2013) Downloads 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) Downloads View citations (71) (2015)

2012

  1. A New Bayesian Unit Root Test in Stochastic Volatility Models
    Working Papers, Singapore Management University, School of Economics Downloads
    Also in Working Papers, Singapore Management University, School of Economics (2010) Downloads View citations (3)
  2. Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes
    Working Papers, Singapore Management University, School of Economics Downloads
    Also in Working Papers, Singapore Management University, School of Economics (2010) Downloads View citations (8)
  3. Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility
    Working Papers, Singapore Management University, School of Economics Downloads View citations (2)
    Also in Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2011) Downloads
  4. Detecting Bubbles in Hong Kong Residential Property Market
    Working Papers, Singapore Management University, School of Economics Downloads View citations (10)
    Also in Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2012) Downloads

    See also Journal Article Detecting bubbles in Hong Kong residential property market, Journal of Asian Economics, Elsevier (2013) Downloads View citations (75) (2013)
  5. Double Asymptotics for Explosive Continuous Time Models
    Working Papers, Singapore Management University, School of Economics Downloads
    Also in Working Papers, Singapore Management University, School of Economics (2011) Downloads View citations (11)

    See also Journal Article Double asymptotics for explosive continuous time models, Journal of Econometrics, Elsevier (2016) Downloads View citations (17) (2016)
  6. 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 Downloads View citations (2)
  7. Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models
    Working Papers, Singapore Management University, School of Economics Downloads
    Also in Working Papers, Singapore Management University, School of Economics (2011) Downloads View citations (1)
  8. Robust Deviance Information Criterion for Latent Variable Models
    Working Papers, Singapore Management University, School of Economics Downloads View citations (18)
    Also in Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics Downloads
  9. Simulated Maximum Likelihood Estimation for Latent Diffusion Models
    Working Papers, Singapore Management University, School of Economics Downloads
    Also in Working Papers, Singapore Management University, School of Economics (2011) Downloads
    Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2011) Downloads
  10. Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)
    Also in Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2011) Downloads
    Working Papers, Singapore Management University, School of Economics (2011) Downloads View citations (8)
    Working Papers, Singapore Management University, School of Economics (2012) Downloads View citations (4)

    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) Downloads View citations (85) (2014)
  11. Testing for Multiple Bubbles
    Working Papers, Singapore Management University, School of Economics Downloads View citations (75)
    Also in Working Papers, Singapore Management University, School of Economics (2011) Downloads View citations (49)
    Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2011) Downloads
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2012) Downloads View citations (48)

2011

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

2010

  1. A Conversation with Eric Ghysels Co-President of the Society for Financial Econometrics
    Working Papers, Singapore Management University, School of Economics Downloads
  2. Corrigendum to “A Gaussian Approach for Continuous Time Models of the Short Term Interest Rate"
    Working Papers, Singapore Management University, School of Economics Downloads
  3. Dating the Timeline of Financial Bubbles during the Subprime Crisis
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (15)
    Also in Working Papers, Singapore Management University, School of Economics (2009) Downloads View citations (13)
    Finance Working Papers, East Asian Bureau of Economic Research (2009) Downloads View citations (13)
    Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2009) Downloads

    See also Journal Article Dating the timeline of financial bubbles during the subprime crisis, Quantitative Economics, Econometric Society (2011) Downloads View citations (321) (2011)
  4. Estimating the GARCH Diffusion: Simulated Maximum Likelihood in Continuous Time
    Working Papers, Singapore Management University, School of Economics Downloads View citations (1)
  5. Measurement and High Finance
    Working Papers, Singapore Management University, School of Economics Downloads
  6. Simulation-based Estimation Methods for Financial Time Series Models
    Working Papers, Singapore Management University, School of Economics Downloads View citations (1)

2009

  1. Automated Likelihood Based Inference for Stochastic Volatility Models
    Working Papers, Singapore Management University, School of Economics Downloads View citations (1)
    Also in Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2007) Downloads
    Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2007) Downloads
  2. Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises
    Finance Working Papers, East Asian Bureau of Economic Research Downloads
    Also in Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics Downloads

    See also Journal Article Bayesian analysis of structural credit risk models with microstructure noises, Journal of Economic Dynamics and Control, Elsevier (2010) Downloads View citations (16) (2010)
  3. Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models
    Working Papers, Singapore Management University, School of Economics Downloads View citations (1)
    Also in Microeconomics Working Papers, East Asian Bureau of Economic Research (2009) Downloads View citations (1)
    Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2008) Downloads

    See also Journal Article Bias in the estimation of the mean reversion parameter in continuous time models, Journal of Econometrics, Elsevier (2012) Downloads View citations (28) (2012)
  4. Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results
    Working Papers, Singapore Management University, School of Economics Downloads
    Also in Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2009) Downloads

    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) Downloads View citations (8) (2014)
  5. 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 Downloads
  6. Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?
    Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics Downloads
    Also in Working Papers, Hong Kong Institute for Monetary Research (2007) Downloads View citations (9)
    Finance Working Papers, East Asian Bureau of Economic Research (2009) Downloads View citations (24)
    Working Papers, Singapore Management University, School of Economics (2009) Downloads View citations (28)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2009) Downloads View citations (24)

    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 (552) (2011)
  7. Forecasting Realized Volatility Using A Nonnegative Semiparametric Model
    Finance Working Papers, East Asian Bureau of Economic Research Downloads
    Also in Working Papers, Singapore Management University, School of Economics (2009) Downloads View citations (1)
    Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics Downloads View citations (2)

    See also Journal Article Forecasting Realized Volatility Using a Nonnegative Semiparametric Model, JRFM, MDPI (2019) Downloads View citations (4) (2019)
  8. Information Loss in Volatility Measurement with Flat Price Trading
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University Downloads View citations (1)
    Also in Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2008) Downloads
    Levine's Bibliography, UCLA Department of Economics (2007) Downloads View citations (5)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2007) Downloads View citations (4)

    See also Journal Article Information loss in volatility measurement with flat price trading, Empirical Economics, Springer (2023) Downloads View citations (1) (2023)
  9. Simulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models
    Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics Downloads View citations (1)
    Also in Working Papers, Singapore Management University, School of Economics (2009) Downloads

    See also Chapter Simulated maximum likelihood estimation of continuous time stochastic volatility models, Advances in Econometrics, Emerald Group Publishing Limited (2010) Downloads (2010)

2008

  1. A Semiparametric Stochastic Volatility Model
    Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics Downloads
    See also Journal Article A semiparametric stochastic volatility model, Journal of Econometrics, Elsevier (2012) Downloads View citations (36) (2012)
  2. Simulation-based Estimation of Contingent-claims Prices
    Finance Working Papers, East Asian Bureau of Economic Research Downloads View citations (1)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2007) Downloads View citations (2)
    Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics Downloads

    See also Journal Article Simulation-Based Estimation of Contingent-Claims Prices, The Review of Financial Studies, Society for Financial Studies (2009) Downloads View citations (18) (2009)

2007

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

2006

  1. A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete
    Macroeconomics Working Papers, East Asian Bureau of Economic Research Downloads
  2. Indirect Inference for Dynamic Panel Models
    Development Economics Working Papers, East Asian Bureau of Economic Research Downloads View citations (2)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2006) Downloads View citations (2)

    See also Journal Article Indirect inference for dynamic panel models, Journal of Econometrics, Elsevier (2010) Downloads View citations (76) (2010)
  3. Multivariate Stochastic Volatility
    Microeconomics Working Papers, East Asian Bureau of Economic Research Downloads View citations (247)
  4. Temporal Aggregation and Risk-Return Relation
    Working Papers, Singapore Management University, School of Economics Downloads
    See also Journal Article Temporal aggregation and risk-return relation, Finance Research Letters, Elsevier (2007) Downloads (2007)

2005

  1. 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 Downloads View citations (8)
  2. Comment on “Realized Variance and Market Microstructure Noise†by Peter R. Hansen and Asger Lunde
    Finance Working Papers, East Asian Bureau of Economic Research Downloads
  3. Comment on “Realized Variance and Market Microstructure Noise” by Peter R. Hansen and Asger Lunde
    Working Papers, Singapore Management University, School of Economics Downloads
  4. Comments on “A selective overview of nonparametric methods in financial econometricsâ€Â
    Finance Working Papers, East Asian Bureau of Economic Research Downloads View citations (3)
  5. Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan
    Working Papers, Singapore Management University, School of Economics Downloads View citations (6)

2004

  1. Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility
    Working Papers, Singapore Management University, School of Economics Downloads View citations (4)
  2. Jackknifing Bond Option Prices
    Econometric Society 2004 North American Winter Meetings, Econometric Society Downloads View citations (2)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) Downloads View citations (3)
    Working Papers, Department of Economics, The University of Auckland (2002) Downloads

    See also Journal Article Jackknifing Bond Option Prices, The Review of Financial Studies, Society for Financial Studies (2005) Downloads View citations (62) (2005)
  3. Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
    Working Papers, Singapore Management University, School of Economics Downloads View citations (1)
    See also Journal Article Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison, Econometric Reviews, Taylor & Francis Journals (2006) Downloads View citations (78) (2006)
  4. On Leverage in a Stochastic Volatility Model
    Working Papers, Singapore Management University, School of Economics Downloads View citations (7)
    Also in Econometric Society 2004 Far Eastern Meetings, Econometric Society (2004) View citations (7)
    Econometric Society 2004 Far Eastern Meetings, Econometric Society (2004) View citations (7)

    See also Journal Article On leverage in a stochastic volatility model, Journal of Econometrics, Elsevier (2005) Downloads View citations (210) (2005)

2002

  1. A Class of Nonlinear Stochastic Volatility Models
    Working Papers, Department of Economics, The University of Auckland Downloads View citations (9)
  2. 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 Downloads 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) Downloads View citations (27) (2006)
  3. Deviance Information Criterion as a Model Comparison Criterion for Stochastic Volatility Models
    Working Papers, Department of Economics, The University of Auckland Downloads
  4. Estimation of Hyperbolic Diffusion Using MCMC Method
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (12)
    Also in Working Papers, Department of Economics, The University of Auckland (2002) Downloads
  5. 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 Downloads View citations (8)

2001

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

2000

  1. BUGS for a Bayesian Analysis of Stochastic Volatility Models
    Working Papers, Department of Economics, The University of Auckland Downloads 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)
  2. 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 Downloads

1999

  1. A Test Statistic and Its Application in Modelling Daily Stock Returns
    Working Papers, Department of Economics, The University of Auckland Downloads
  2. Do Topics Diffuse from Core to Periphery Journals?
    Working Papers, Department of Economics, The University of Auckland Downloads
  3. Efficient Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method
    Working Papers, Department of Economics, The University of Auckland Downloads
  4. Empirical Characteristic Function in Time Series Estimation
    Working Papers, Department of Economics, The University of Auckland Downloads View citations (1)
    See also Journal Article EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION, Econometric Theory, Cambridge University Press (2002) Downloads View citations (40) (2002)
  5. Estimation of a Self-Exciting Poisson Jump Diffusion Model by the Empirical Characteristic Function Method
    Working Papers, Department of Economics, The University of Auckland Downloads
  6. Forecasting Volatility in the New Zealand Stock Market
    Working Papers, Department of Economics, The University of Auckland Downloads View citations (1)
    See also Journal Article Forecasting volatility in the New Zealand stock market, Applied Financial Economics, Taylor & Francis Journals (2002) Downloads View citations (68) (2002)

Undated

  1. 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 Downloads

Journal Articles

2024

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

2023

  1. A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR
    International Economic Review, 2023, 64, (4), 1347-1395 Downloads
    See also Working Paper A Panel Clustering Approach to Analyzing Bubble Behavior, Cowles Foundation Discussion Papers (2022) Downloads View citations (1) (2022)
  2. Bubble testing under polynomial trends
    The Econometrics Journal, 2023, 26, (1), 25-44 Downloads
  3. Improved marginal likelihood estimation via power posteriors and importance sampling
    Journal of Econometrics, 2023, 234, (1), 28-52 Downloads
    See also Working Paper Improved Marginal Likelihood Estimation via Power Posteriors and Importance Sampling, Economics and Statistics Working Papers (2019) Downloads View citations (1) (2019)
  4. Information loss in volatility measurement with flat price trading
    Empirical Economics, 2023, 64, (6), 2957-2999 Downloads View citations (1)
    See also Working Paper Information Loss in Volatility Measurement with Flat Price Trading, Global COE Hi-Stat Discussion Paper Series (2009) Downloads View citations (1) (2009)
  5. Latent local-to-unity models
    Econometric Reviews, 2023, 42, (7), 586-611 Downloads
    See also Working Paper Latent Local-to-Unity Models, Economics and Statistics Working Papers (2021) Downloads View citations (1) (2021)
  6. Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process
    Journal of Econometrics, 2023, 232, (2), 389-415 Downloads View citations (3)
  7. Volatility Puzzle: Long Memory or Antipersistency
    Management Science, 2023, 69, (7), 3861-3883 Downloads

2022

  1. 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 Downloads View citations (1)
    See also Working Paper Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks, Economics and Statistics Working Papers (2019) Downloads (2019)
  2. Posterior-based Wald-type statistics for hypothesis testing
    Journal of Econometrics, 2022, 230, (1), 83-113 Downloads View citations (1)
    See also Working Paper A Posterior-Based Wald-Type Statistic for Hypothesis Testing, Economics and Statistics Working Papers (2018) Downloads (2018)
  3. The Grid Bootstrap for Continuous Time Models
    Journal of Business & Economic Statistics, 2022, 40, (3), 1390-1402 Downloads
    See also Working Paper The Grid Bootstrap for Continuous Time Models, Economics and Statistics Working Papers (2018) Downloads (2018)

2021

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

2020

  1. Deviance information criterion for latent variable models and misspecified models
    Journal of Econometrics, 2020, 216, (2), 450-493 Downloads View citations (12)
  2. In-fill asymptotic theory for structural break point in autoregressions
    Econometric Reviews, 2020, 40, (4), 359-386 Downloads View citations (1)
  3. Maximum Likelihood Estimation for the Fractional Vasicek Model
    Econometrics, 2020, 8, (3), 1-28 Downloads View citations (1)
    See also Working Paper Maximum Likelihood Estimation for the Fractional Vasicek Model, Economics and Statistics Working Papers (2019) Downloads View citations (3) (2019)

2019

  1. ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL
    Econometric Theory, 2019, 35, (1), 198-231 Downloads View citations (9)
    See also Working Paper Asymptotic Theory for Estimating Drift Parameters in the Fractional Vasicek Model, Economics and Statistics Working Papers (2017) Downloads (2017)
  2. An Improved Bayesian Unit Root Test in Stochastic Volatility Models
    Annals of Economics and Finance, 2019, 20, (1), 103-122 Downloads
  3. Asymptotic theory for rough fractional Vasicek models
    Economics Letters, 2019, 177, (C), 26-29 Downloads View citations (5)
    See also Working Paper Asymptotic Theory for Rough Fractional Vasicek Models, Economics and Statistics Working Papers (2018) Downloads View citations (1) (2018)
  4. Forecasting Realized Volatility Using a Nonnegative Semiparametric Model
    JRFM, 2019, 12, (3), 1-23 Downloads View citations (4)
    See also Working Paper Forecasting Realized Volatility Using A Nonnegative Semiparametric Model, Finance Working Papers (2009) Downloads (2009)
  5. Random coefficient continuous systems: Testing for extreme sample path behavior
    Journal of Econometrics, 2019, 209, (2), 208-237 Downloads View citations (7)
    See also Working Paper Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour, Cowles Foundation Discussion Papers (2017) Downloads View citations (2) (2017)

2018

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

2017

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

2016

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

2015

  1. A Bayesian chi-squared test for hypothesis testing
    Journal of Econometrics, 2015, 189, (1), 54-69 Downloads View citations (13)
    See also Working Paper A Bayesian Chi-Squared Test for Hypothesis Testing, Working Papers (2014) Downloads (2014)
  2. Asymptotic theory for linear diffusions under alternative sampling schemes
    Economics Letters, 2015, 128, (C), 1-5 Downloads View citations (12)
  3. Bias in the estimation of mean reversion in continuous-time Lévy processes
    Economics Letters, 2015, 134, (C), 16-19 Downloads View citations (2)
  4. Editorial
    Spatial Economic Analysis, 2015, 10, (1), 1-10 Downloads
  5. Limit theory for an explosive autoregressive process
    Economics Letters, 2015, 126, (C), 176-180 Downloads View citations (17)
    See also Working Paper Limit Theory for an Explosive Autoregressive Process, Working Papers (2013) Downloads View citations (1) (2013)
  6. New methodology for constructing real estate price indices applied to the Singapore residential market
    Journal of Banking & Finance, 2015, 61, (S2), S121-S131 Downloads View citations (20)
  7. Optimal jackknife for unit root models
    Statistics & Probability Letters, 2015, 99, (C), 135-142 Downloads View citations (5)
  8. Self-Exciting Jumps, Learning, and Asset Pricing Implications
    The Review of Financial Studies, 2015, 28, (3), 876-912 Downloads View citations (25)
  9. TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500
    International Economic Review, 2015, 56, (4), 1043-1078 Downloads View citations (128)
    See also Working Paper Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500, Working Papers (2013) Downloads View citations (92) (2013)
  10. TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL‐TIME DETECTORS
    International Economic Review, 2015, 56, (4), 1079-1134 Downloads View citations (71)
    See also Working Paper Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors, Working Papers (2013) Downloads (2013)

2014

  1. A flexible and automated likelihood based framework for inference in stochastic volatility models
    Computational Statistics & Data Analysis, 2014, 76, (C), 642-654 Downloads View citations (2)
  2. A new approach to Bayesian hypothesis testing
    Journal of Econometrics, 2014, 178, (P3), 602-612 Downloads View citations (18)
  3. ECONOMETRIC ANALYSIS OF CONTINUOUS TIME MODELS: A SURVEY OF PETER PHILLIPS’S WORK AND SOME NEW RESULTS
    Econometric Theory, 2014, 30, (4), 737-774 Downloads View citations (8)
    See also Working Paper Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results, Working Papers (2009) Downloads (2009)
  4. Maximum likelihood estimation of partially observed diffusion models
    Journal of Econometrics, 2014, 180, (1), 73-80 Downloads View citations (1)
  5. SPECIAL ISSUE OF ECONOMETRIC THEORY ON SETA 2010: EDITORS’ INTRODUCTION
    Econometric Theory, 2014, 30, (1), 1-2 Downloads
  6. Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour
    Oxford Bulletin of Economics and Statistics, 2014, 76, (3), 315-333 Downloads View citations (85)
    See also Working Paper Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior, Cowles Foundation Discussion Papers (2012) Downloads View citations (3) (2012)

2013

  1. Detecting bubbles in Hong Kong residential property market
    Journal of Asian Economics, 2013, 28, (C), 115-124 Downloads View citations (75)
    See also Working Paper Detecting Bubbles in Hong Kong Residential Property Market, Working Papers (2012) Downloads View citations (10) (2012)

2012

  1. A semiparametric stochastic volatility model
    Journal of Econometrics, 2012, 167, (2), 473-482 Downloads View citations (36)
    See also Working Paper A Semiparametric Stochastic Volatility Model, Working Papers (2008) Downloads (2008)
  2. Bayesian hypothesis testing in latent variable models
    Journal of Econometrics, 2012, 166, (2), 237-246 Downloads View citations (25)
    See also Working Paper Bayesian Hypothesis Testing in Latent Variable Models, Working Papers (2011) Downloads View citations (1) (2011)
  3. Bias in the estimation of the mean reversion parameter in continuous time models
    Journal of Econometrics, 2012, 169, (1), 114-122 Downloads View citations (28)
    See also Working Paper Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models, Working Papers (2009) Downloads View citations (1) (2009)

2011

  1. Bias in estimating multivariate and univariate diffusions
    Journal of Econometrics, 2011, 161, (2), 228-245 Downloads View citations (12)
    See also Working Paper Bias in Estimating Multivariate and Univariate Diffusions, Cowles Foundation Discussion Papers (2011) Downloads View citations (13) (2011)
  2. 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 Downloads
  3. Dating the timeline of financial bubbles during the subprime crisis
    Quantitative Economics, 2011, 2, (3), 455-491 Downloads View citations (321)
    See also Working Paper Dating the Timeline of Financial Bubbles during the Subprime Crisis, Cowles Foundation Discussion Papers (2010) Downloads View citations (15) (2010)
  4. EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?
    International Economic Review, 2011, 52, (1), 201-226 View citations (552)
    See also Working Paper Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?, Working Papers (2009) Downloads (2009)

2010

  1. Bayesian analysis of structural credit risk models with microstructure noises
    Journal of Economic Dynamics and Control, 2010, 34, (11), 2259-2272 Downloads View citations (16)
    See also Working Paper Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises, Finance Working Papers (2009) Downloads (2009)
  2. Indirect inference for dynamic panel models
    Journal of Econometrics, 2010, 157, (1), 68-77 Downloads View citations (76)
    See also Working Paper Indirect Inference for Dynamic Panel Models, Development Economics Working Papers (2006) Downloads View citations (2) (2006)

2009

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

2007

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

2006

  1. A class of nonlinear stochastic volatility models and its implications for pricing currency options
    Computational Statistics & Data Analysis, 2006, 51, (4), 2218-2231 Downloads View citations (27)
    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) Downloads View citations (8) (2002)
  2. Comment
    Journal of Business & Economic Statistics, 2006, 24, 202-208 Downloads
  3. Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
    Econometric Reviews, 2006, 25, (2-3), 361-384 Downloads View citations (78)
    See also Working Paper Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison, Working Papers (2004) Downloads View citations (1) (2004)
  4. Multivariate Stochastic Volatility: A Review
    Econometric Reviews, 2006, 25, (2-3), 145-175 Downloads View citations (229)

2005

  1. Jackknifing Bond Option Prices
    The Review of Financial Studies, 2005, 18, (2), 707-742 Downloads View citations (62)
    See also Working Paper Jackknifing Bond Option Prices, Econometric Society 2004 North American Winter Meetings (2004) Downloads View citations (2) (2004)
  2. On leverage in a stochastic volatility model
    Journal of Econometrics, 2005, 127, (2), 165-178 Downloads View citations (210)
    See also Working Paper On Leverage in a Stochastic Volatility Model, Working Papers (2004) Downloads View citations (7) (2004)

2004

  1. Deviance Information Criterion for Comparing Stochastic Volatility Models
    Journal of Business & Economic Statistics, 2004, 22, (1), 107-20 View citations (102)
  2. Empirical Characteristic Function Estimation and Its Applications
    Econometric Reviews, 2004, 23, (2), 93-123 Downloads View citations (49)
  3. Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method
    Quantitative Finance, 2004, 4, (2), 158-169 Downloads View citations (14)

2002

  1. EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION
    Econometric Theory, 2002, 18, (3), 691-721 Downloads View citations (40)
    See also Working Paper Empirical Characteristic Function in Time Series Estimation, Working Papers (1999) Downloads View citations (1) (1999)
  2. Forecasting volatility in the New Zealand stock market
    Applied Financial Economics, 2002, 12, (3), 193-202 Downloads View citations (68)
    See also Working Paper Forecasting Volatility in the New Zealand Stock Market, Working Papers (1999) Downloads View citations (1) (1999)
  3. 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 Downloads View citations (20)

2001

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

2000

  1. 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) Downloads View citations (78) (2000)

1999

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

Chapters

2023

  1. 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 Downloads
    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) Downloads (2020)

2020

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

2014

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

2010

  1. Simulated maximum likelihood estimation of continuous time stochastic volatility models
    A chapter in Maximum Simulated Likelihood Methods and Applications, 2010, pp 137-161 Downloads
    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) Downloads View citations (1) (2009)
 
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