Details about Yang Zu

Access statistics for papers by Yang Zu.

Last updated 2023-05-08. Update your information in the RePEc Author Service.

Short-id: pzu85

Working Papers

2019

1. Adaptive Testing for Cointegration with Nonstationary Volatility
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
   See also Journal Article Adaptive Testing for Cointegration With Nonstationary Volatility, Journal of Business & Economic Statistics, Taylor & Francis Journals (2022) View citations (2) (2022)

2018

2. Testing explosive bubbles with time-varying volatility
   Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics View citations (4)
   See also Journal Article Testing explosive bubbles with time-varying volatility, Econometric Reviews, Taylor & Francis Journals (2019) View citations (11) (2019)

Journal Articles

2023

1. CUSUM-Based Monitoring for Explosive Episodes in Financial Data in the Presence of Time-Varying Volatility*
   Journal of Financial Econometrics, 2023, 21, (1), 187-227
2. Estimation of the variance function in structural break autoregressive models with non‐stationary and explosive segments
   Journal of Time Series Analysis, 2023, 44, (2), 181-205

2022

3. Adaptive Testing for Cointegration With Nonstationary Volatility
   Journal of Business & Economic Statistics, 2022, 40, (2), 744-755 View citations (2)
   See also Working Paper Adaptive Testing for Cointegration with Nonstationary Volatility, Tinbergen Institute Discussion Papers (2019) View citations (2) (2019)

2020

4. SIGN-BASED UNIT ROOT TESTS FOR EXPLOSIVE FINANCIAL BUBBLES IN THE PRESENCE OF DETERMINISTICALLY TIME-VARYING VOLATILITY
   Econometric Theory, 2020, 36, (1), 122-169 View citations (15)

2019

5. Testing explosive bubbles with time-varying volatility
   Econometric Reviews, 2019, 38, (10), 1131-1151 View citations (11)
   See also Working Paper Testing explosive bubbles with time-varying volatility, Discussion Papers (2018) View citations (4) (2018)

2018

6. Adaptive wild bootstrap tests for a unit root with non‐stationary volatility
   Econometrics Journal, 2018, 21, (2), 87-113 View citations (4)

2017

7. Consistent nonparametric specification tests for stochastic volatility models based on the return distribution
   Journal of Empirical Finance, 2017, 41, (C), 53-75

2015

8. A Note on the Asymptotic Normality of the Kernel Deconvolution Density Estimator with Logarithmic Chi-Square Noise
   Econometrics, 2015, 3, (3), 1-16
9. Nonparametric specification tests for stochastic volatility models based on volatility density
   Journal of Econometrics, 2015, 187, (1), 323-344 View citations (4)

2014

10. Estimating spot volatility with high-frequency financial data
    Journal of Econometrics, 2014, 181, (2), 117-135 View citations (36)