Access Statistics for Jun Yu

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Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Bayesian Chi-Squared Test for Hypothesis Testing 0 0 0 20 0 0 10 106
A Class of Nonlinear Stochastic Volatility Models 0 0 0 3 0 1 7 39
A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options 0 0 0 484 0 0 17 1,207
A Conversation with Eric Ghysels Co-President of the Society for Financial Econometrics 1 1 1 17 2 2 12 112
A New Bayesian Unit Root Test in Stochastic Volatility Models 0 0 0 37 0 0 3 105
A New Bayesian Unit Root Test in Stochastic Volatility Models 0 0 0 50 0 1 9 256
A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market 0 0 2 41 0 0 19 118
A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market 0 0 3 33 0 1 21 148
A New Wald Test for Hypothesis Testing Based on MCMC outputs 0 0 0 41 0 2 9 39
A Note on AIC and TIC for Model Selection 0 0 3 16 2 9 43 68
A Panel Clustering Approach to Analyzing Bubble Behavior 0 0 0 18 0 0 25 65
A Panel Clustering Approach to Analyzing Bubble Behavior 0 0 0 62 0 0 14 90
A Posterior-Based Wald-Type Statistic for Hypothesis Testing 0 0 0 35 0 0 15 70
A Quantile-based Asset Pricing Model 1 1 2 67 1 1 16 114
A Semiparametric Stochastic Volatility Model 0 0 0 7 0 1 9 57
A Specification Test based on the MCMC Output 0 0 0 19 0 0 7 96
A Test Statistic and Its Application in Modelling Daily Stock Returns 0 0 0 0 1 2 8 26
A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete 0 0 0 9 0 0 13 91
A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations 0 0 0 243 1 3 11 621
Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility 0 0 0 87 0 0 12 275
Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes 0 0 0 18 2 4 14 91
Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes 0 0 0 23 0 0 4 81
Asymptotic Properties of Least Squares Estimator in Local to Unity Processes with Fractional Gaussian Noises 0 0 0 21 0 2 7 33
Asymptotic Theory for Estimating Drift Parameters in the Fractional Vasicek Model 0 0 1 28 0 0 16 61
Asymptotic Theory for Estimating the Persistent Parameter in the Fractional Vasicek Model 0 0 0 47 0 1 9 28
Asymptotic Theory for Rough Fractional Vasicek Models 0 0 0 44 0 1 15 109
Automated Likelihood Based Inference for Stochastic Volatility Models 0 0 0 27 0 0 6 117
Automated Likelihood Based Inference for Stochastic Volatility Models 0 0 1 3 0 1 7 57
Automated Likelihood Based Inference for Stochastic Volatility Models 0 0 1 1 0 0 22 61
BUGS for a Bayesian Analysis of Stochastic Volatility Models 0 0 0 12 1 3 14 76
Bayesian Analysis of Bubbles in Asset Prices 0 0 0 64 1 2 29 134
Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises 0 0 0 17 0 1 13 151
Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises 0 0 1 11 0 0 5 84
Bayesian Hypothesis Testing in Latent Variable Models 0 0 0 45 0 2 15 196
Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility 0 0 0 46 0 1 7 231
Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility 0 0 0 5 0 1 11 32
Bias in Estimating Multivariate and Univariate Diffusions 0 0 0 43 0 2 11 202
Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models 0 0 1 27 1 2 21 178
Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models 0 0 0 3 1 3 13 75
Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models 0 0 0 11 0 1 7 125
Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Levy Processes 0 0 0 45 1 1 11 63
Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Lévy Processes 0 0 0 44 1 1 10 127
Boosting Store Sales Through Ensemble Learning-Informed Promotional Decisions 1 1 5 12 1 2 22 40
Bubble Testing under Deterministic Trends 0 0 0 32 0 0 7 75
Comment on “Realized Variance and Market Microstructure Noise†by Peter R. Hansen and Asger Lunde 0 0 0 0 0 0 2 106
Comment on “Realized Variance and Market Microstructure Noise” by Peter R. Hansen and Asger Lunde 0 0 0 92 0 0 12 329
Comments on “A selective overview of nonparametric methods in financial econometrics†0 0 0 2 0 1 9 110
Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan 0 0 0 42 0 1 7 188
Corrigendum to “A Gaussian Approach for Continuous Time Models of the Short Term Interest Rate" 0 0 0 28 0 0 10 79
Dating the Timeline of Financial Bubbles During the Subprime Crisis 0 0 0 168 0 2 8 441
Dating the Timeline of Financial Bubbles During the Subprime Crisis 0 0 0 45 0 0 18 258
Dating the Timeline of Financial Bubbles During the Subprime Crisis 0 0 0 18 0 7 17 113
Dating the Timeline of Financial Bubbles during the Subprime Crisis 0 0 0 297 0 2 50 1,009
Detecting Bubbles in Hong Kong Residential Property Market 0 0 0 13 1 1 9 56
Detecting Bubbles in Hong Kong Residential Property Market 0 0 0 70 1 2 12 256
Deviance Information Criterion as a Model Comparison Criterion for Stochastic Volatility Models 0 0 0 8 0 1 12 67
Deviance Information Criterion for Bayesian Model Selection: Justification and Variation 0 0 0 28 1 6 25 128
Deviance Information Criterion for Comparing VAR Models 0 0 0 109 0 0 8 88
Deviance Information Criterion for Model Selection:Theoretical Justification and Applications 0 1 5 10 4 13 41 65
Different Strokes for Different Folks: Long Memory and Roughness 0 0 1 20 0 2 13 27
Do Topics Diffuse from Core to Periphery Journals? 0 0 0 4 0 1 6 46
Double Asymptotics for Explosive Continuous Time Models 0 0 0 41 0 0 8 105
Double Asymptotics for an Explosive Continuous Time Model 0 0 0 11 0 1 7 61
Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results 0 0 0 83 0 1 9 146
Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results 0 0 0 4 1 1 10 67
Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips’ Work and Some New Results 0 1 1 20 0 2 14 147
Econometric Methods and Data Science Techniques: A Review of Two Strands of Literature and an Introduction to Hybrid Methods 0 0 1 107 0 1 12 102
Efficient Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method 0 1 1 9 0 3 13 38
Empirical Characteristic Function in Time Series Estimation 0 0 0 10 0 4 23 75
Estimating the GARCH Diffusion: Simulated Maximum Likelihood in Continuous Time 0 0 0 34 0 0 7 86
Estimation and Inference of Fractional Continuous-Time Model with Discrete-Sampled Data 0 0 1 26 0 0 7 44
Estimation of Hyperbolic Diffusion Using MCMC Method 0 0 0 198 0 0 12 687
Estimation of Hyperbolic Diffusion using MCMC Method 0 0 1 2 0 1 14 52
Estimation of a Self-Exciting Poisson Jump Diffusion Model by the Empirical Characteristic Function Method 0 0 1 7 0 1 16 37
Exact Gaussian Estimation of Continuous Time Models of The Term Structure of Interest Rates Rankings of Economics Departments in New Zealand 0 0 0 2 1 2 14 39
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 1 2 3 291 1 5 21 997
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 0 0 11 2 4 12 93
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 0 0 32 0 3 12 191
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 0 2 80 1 4 31 367
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 1 2 158 2 5 22 417
FORECASTING REALIZED VOLATILITY USING A NONNEGATIVE SEMIPARAMETRIC MODEL 0 0 0 3 1 5 14 51
Finite Sample Comparison of Alternative Estimators for Fractional Gaussian Noise 0 0 0 13 0 0 7 52
Forecast combinations in machine learning 0 0 1 145 1 1 11 266
Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks 0 0 1 71 0 1 12 138
Forecasting Realized Volatility Using A Nonnegative Semiparametric Model 0 0 0 50 0 0 12 108
Forecasting Realized Volatility Using A Nonnegative Semiparametric Model 0 0 0 12 1 2 13 120
Forecasting Singapore GDP using the SPF data 0 0 1 22 0 0 10 58
Forecasting Volatility in the New Zealand Stock Market 0 0 0 9 0 2 14 70
Forecasting Volatility:Evidence from the German Stock Market 0 0 0 13 0 0 11 104
Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate 0 0 0 331 0 1 17 1,033
Housing Equity and Household Consumption in Retirement: Evidence from the Singapore Life Panel 0 0 0 29 0 2 11 93
Improved Marginal Likelihood Estimation via Power Posteriors and Importance Sampling 0 0 0 35 1 1 12 53
In-fill Asymptotic Theory for Structural Break Point in Autoregression: A Unified Theory 0 0 0 36 1 1 5 73
Indirect Inference for Dynamic Panel Models 0 0 0 17 0 0 6 125
Indirect Inference for Dynamic Panel Models 0 0 0 324 6 6 76 908
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 34 0 1 10 169
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 97 1 1 10 602
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 41 0 0 3 170
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 2 0 0 8 53
Integrated Deviance Information Criterion for Latent Variable Models 0 0 0 42 0 0 9 88
Investigating Impacts of Self-Exciting Jumps in Returns and Volatility: A Bayesian Learning Approach 0 0 0 18 0 1 16 107
Jackknifing Bond Option Prices 0 0 0 52 1 1 8 290
Jackknifing Bond Option Prices 0 0 0 459 0 3 14 1,634
Latent Local-to-Unity Models 0 0 0 21 0 0 24 61
Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods in Time Series Data 0 0 0 21 2 2 6 93
Limit Theory for an Explosive Autoregressive Process 0 0 0 46 1 1 12 101
Local Powers of Least-Squares-Based Test for Panel Fractional Ornstein-Uhlenbeck Process 0 0 0 29 0 1 6 22
MCMC Methods for Estimating Stochastic Volatility Models with Liverage Effects: Comments on Jacquier, Polson and Rossi (2002) 0 0 0 10 0 1 10 42
Maximum Likelihood Estimation for the Fractional Vasicek Model 0 0 1 86 0 1 15 189
Maximum Likelihood Estimation of Fractional Ornstein-Uhlenbeck Process with Discretely Sampled Data 1 1 11 36 6 12 65 109
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance 0 0 0 518 1 2 10 1,823
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance 0 0 0 15 0 1 11 108
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance 0 0 0 2 2 3 11 58
Measurement and High Finance 0 0 0 22 0 0 6 72
Mild-explosive and Local-to-mild-explosive Autoregressions with Serially Correlated Errors 0 0 0 25 1 2 5 39
Model Selection for Explosive Models 0 0 0 1 0 1 6 13
Model Selection for Explosive Models 0 0 0 22 0 1 11 38
Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion 0 1 3 22 0 2 49 66
Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion 0 0 0 24 1 2 15 25
Multivariate Stochastic Volatility 0 0 0 36 0 0 20 210
Multivariate Stochastic Volatility Model with Block Correlations 0 1 15 15 2 6 14 14
Multivariate Stochastic Volatility Models based on Generalized Fisher Transformation 0 0 1 10 0 1 15 41
Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison 0 0 0 330 0 1 14 736
On Bias in the Estimation of Structural Break Points 0 0 0 32 1 1 10 52
On Leverage in a Stochastic Volatility Model 0 0 0 1 0 0 10 464
On Leverage in a Stochastic Volatility Model 0 0 0 126 0 0 17 370
On leverage in a stochastic volatility model 0 0 0 0 0 2 15 338
On the Optimal Forecast with the Fractional Brownian Motion 0 0 1 35 1 3 14 40
On the Spectral Density of Fractional Ornstein-Uhlenbeck Processes 1 1 3 26 1 3 25 49
Optimal Estimation for General Gaussian Processed 0 0 3 3 2 2 37 37
Optimal Estimation for General Gaussian Processes 1 1 5 5 1 2 16 17
Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models 0 0 0 15 0 1 11 80
Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models 0 0 0 43 0 0 6 94
Persistent and Rough Volatility 0 0 1 86 0 1 16 205
Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour 0 0 0 7 1 1 16 71
Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour 0 0 0 23 0 0 11 81
Realized Volatility Forecasting: Continuous versus Discrete Time Models 0 0 26 26 4 6 116 116
Risk of Predictive Distributions and Bayesian Model Comparison of Misspecified Models 0 0 9 9 1 2 35 35
Robust Deviance Information Criterion for Latent Variable Models 0 0 0 56 0 2 15 225
Robust Deviance Information Criterion for Latent Variable Models 0 0 0 3 0 4 9 39
Robust Testing for Explosive Behavior with Strongly Dependent Errors 0 0 0 42 0 0 23 43
Robust Testing for Explosive Behavior with Strongly Dependent Errors 0 0 2 6 0 1 8 25
Shrinkage Estimation of Covariance Matrix for Portfolio Choice with High Frequency Data 0 0 0 23 0 0 9 49
Simulated Maximum Likelihood Estimation for Latent Diffusion Models 0 0 1 3 0 0 9 42
Simulated Maximum Likelihood Estimation for Latent Diffusion Models 0 0 0 19 1 2 7 89
Simulated Maximum Likelihood Estimation for Latent Diffusion Models 0 0 1 35 0 1 8 95
Simulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models 0 0 0 7 0 0 6 58
Simulation-based Estimation Methods for Financial Time Series Models 0 0 0 99 0 0 4 178
Simulation-based Estimation of Contingent Claims Prices 0 0 0 4 1 1 9 68
Simulation-based Estimation of Contingent-claims Prices 0 0 0 5 0 0 10 96
Simulation-based Estimation of Contingent-claims Prices 0 0 0 171 1 1 9 623
Speci cation Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 0 2 1 1 4 45
Speci fication Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles 0 0 0 35 0 0 7 109
Specification Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles 0 0 0 117 0 1 7 293
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 0 47 0 1 6 159
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 0 78 0 1 14 313
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 1 23 0 1 9 128
SpeciÖcation Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles 0 1 1 5 0 1 5 30
Stimulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models 0 0 0 19 0 0 8 94
Teaching Financial Econometrics to Students Converting to Finance 0 0 4 38 0 1 21 86
Temporal Aggregation and Risk-Return Relation 0 0 0 15 0 0 6 77
Testing Predictability in the Presence of Persistent Errors 0 0 1 13 2 5 23 55
Testing for Multiple Bubbles 0 0 2 197 0 2 62 591
Testing for Multiple Bubbles 0 0 2 108 0 0 21 379
Testing for Multiple Bubbles 0 0 3 18 1 3 19 79
Testing for Multiple Bubbles 0 0 2 247 0 2 27 819
Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500 0 0 2 300 1 3 26 504
Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors 0 1 1 118 1 3 25 274
Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors 0 0 0 37 0 0 15 93
Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500 0 0 4 334 2 2 95 895
Testing for Multiple Bubbles: Limit Theory of Real Time Detectors 0 0 0 121 1 3 24 459
Testing for an Explosive Bubble using High-Frequency Volatility 0 0 2 10 1 2 28 56
Testing for an Explosive Bubble using High-Frequency Volatility 0 0 0 16 0 1 19 52
The Grid Bootstrap for Continuous Time Models 0 0 0 35 0 0 5 69
The Time-varying Zone-like and Asymmetric Preference of Central Banks: Evidence from China 0 0 2 4 0 3 52 71
Weak Identification of Long Memory with Implications for Inference 0 0 0 7 0 2 15 32
Weak Identification of Long Memory with Implications for Inference 0 0 0 122 4 8 41 174
Total Working Papers 7 16 153 10,120 89 282 2,798 33,087
5 registered items for which data could not be found

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Bayesian chi-squared test for hypothesis testing 0 0 0 11 0 0 15 147
A Gaussian approach for continuous time models of the short-term interest rate 0 0 0 14 0 2 14 448
A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR 0 0 1 6 1 2 20 42
A class of nonlinear stochastic volatility models and its implications for pricing currency options 0 0 0 37 0 1 11 189
A flexible and automated likelihood based framework for inference in stochastic volatility models 0 0 0 4 1 1 7 43
A new approach to Bayesian hypothesis testing 0 0 0 30 0 0 15 151
A semiparametric stochastic volatility model 0 0 0 41 0 1 102 234
A two-stage realized volatility approach to estimation of diffusion processes with discrete data 0 0 0 32 0 0 7 139
ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL 0 0 0 3 0 0 3 27
An Improved Bayesian Unit Root Test in Stochastic Volatility Models 0 0 0 6 0 2 9 55
Asymptotic theory for linear diffusions under alternative sampling schemes 0 0 0 3 0 0 12 54
Asymptotic theory for rough fractional Vasicek models 0 0 0 1 0 0 11 67
BUGS for a Bayesian analysis of stochastic volatility models 0 0 0 32 0 1 5 1,267
Bayesian Analysis of Bubbles in Asset Prices 0 0 0 7 0 1 7 62
Bayesian analysis of structural credit risk models with microstructure noises 0 0 0 26 0 1 13 134
Bayesian hypothesis testing in latent variable models 0 0 0 28 0 1 6 188
Bias in estimating multivariate and univariate diffusions 0 0 1 23 0 0 15 124
Bias in the estimation of mean reversion in continuous-time Lévy processes 1 1 1 4 2 3 21 53
Bias in the estimation of the mean reversion parameter in continuous time models 0 0 0 66 5 8 30 398
Bubble testing under polynomial trends 0 0 0 0 0 0 11 11
Comment 0 0 0 11 0 1 6 111
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) 0 0 0 0 0 0 9 36
Dating the timeline of financial bubbles during the subprime crisis 0 0 2 99 1 1 23 336
Detecting bubbles in Hong Kong residential property market 0 0 1 45 3 7 29 241
Deviance Information Criterion for Bayesian model selection: Theoretical justification and applications 0 0 0 0 2 3 3 3
Deviance Information Criterion for Comparing Stochastic Volatility Models 0 0 0 0 0 1 14 578
Deviance information criterion for latent variable models and misspecified models 0 0 0 20 1 4 20 122
Do Stock Returns Follow a Finite Variance Distribution? 0 0 0 25 0 1 5 203
Double asymptotics for explosive continuous time models 0 0 0 12 0 0 17 86
ECONOMETRIC ANALYSIS OF CONTINUOUS TIME MODELS: A SURVEY OF PETER PHILLIPS’S WORK AND SOME NEW RESULTS 0 0 0 11 0 0 6 74
EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION 0 0 1 35 0 0 12 165
EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES? 0 0 0 0 1 7 45 743
Empirical Characteristic Function Estimation and Its Applications 0 0 1 294 0 0 15 716
Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method 0 0 0 4 1 1 10 38
Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks* 0 0 0 2 0 2 9 18
Forecasting Realized Volatility Using a Nonnegative Semiparametric Model 0 0 0 2 0 0 15 38
Forecasting volatility in the New Zealand stock market 0 0 0 246 0 1 9 722
Fractional Gaussian Noise: Spectral Density and Estimation Methods 0 1 9 9 1 6 29 29
Fractional stochastic volatility model 0 1 2 2 1 5 17 20
Housing equity and household consumption in retirement: evidence from the Singapore Life Panel© 0 0 1 1 0 0 8 18
Improved marginal likelihood estimation via power posteriors and importance sampling 0 0 0 6 2 3 28 55
In-fill asymptotic theory for structural break point in autoregressions 0 0 0 0 1 2 20 27
Indirect inference for dynamic panel models 0 0 0 213 1 1 12 547
Inference in continuous systems with mildly explosive regressors 0 0 0 8 1 1 6 70
Information loss in volatility measurement with flat price trading 1 1 1 2 2 4 30 45
Jackknifing Bond Option Prices 0 0 0 81 0 2 13 309
Latent local-to-unity models 1 1 1 2 1 2 11 17
Limit theory for an explosive autoregressive process 0 1 1 9 0 2 9 76
Local powers of least‐squares‐based test for panel fractional Ornstein–Uhlenbeck process 0 0 0 0 0 0 18 18
Maximum Likelihood Estimation for the Fractional Vasicek Model 0 0 0 4 0 0 14 41
Maximum likelihood estimation of partially observed diffusion models 0 0 0 10 2 2 15 112
Mildly Explosive Autoregression with Anti‐persistent Errors 0 0 0 3 0 0 9 24
Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process 0 3 8 26 1 22 52 95
Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison 0 0 2 65 1 4 16 243
Multivariate Stochastic Volatility: A Review 0 0 1 132 0 1 16 364
Multivariate stochastic volatility models based on generalized Fisher transformation 0 0 4 4 0 2 26 28
New distribution theory for the estimation of structural break point in mean 0 0 0 12 0 0 11 57
New methodology for constructing real estate price indices applied to the Singapore residential market 0 0 4 29 2 4 19 148
On leverage in a stochastic volatility model 0 0 1 261 1 2 24 591
On stiffness in affine asset pricing models 0 0 0 0 0 1 6 7
On the optimal forecast with the fractional Brownian motion 0 0 1 7 0 0 6 23
On the spectral density of fractional Ornstein–Uhlenbeck processes 1 1 2 2 1 2 25 32
Optimal jackknife for unit root models 0 0 0 2 0 0 7 32
Posterior-based Wald-type statistics for hypothesis testing 0 0 0 4 0 1 22 38
Random coefficient continuous systems: Testing for extreme sample path behavior 0 0 0 5 0 0 16 72
Realized Daily Variance of S&P 500 Cash Index: A Revaluation of Stylized Facts 0 0 1 28 1 1 21 311
Robust testing for explosive behavior with strongly dependent errors 0 0 1 3 0 0 22 34
SPECIAL ISSUE OF ECONOMETRIC THEORY ON SETA 2010: EDITORS’ INTRODUCTION 0 0 0 9 0 0 4 64
Self-Exciting Jumps, Learning, and Asset Pricing Implications 0 0 1 24 1 3 12 120
Simulation-Based Estimation of Contingent-Claims Prices 0 0 0 29 0 0 14 118
Single-cell and spatially resolved omics reveal transcriptional and metabolic signatures of ovarian endometriomas 0 0 0 0 0 0 7 7
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour 0 0 1 35 0 0 15 149
Specification tests based on MCMC output 0 0 0 1 1 1 15 54
Structure of ATTRv-F64S fibrils isolated from skin tissue of a living patient 0 0 10 10 0 2 18 18
TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500 1 2 21 61 6 13 130 295
TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL‐TIME DETECTORS 0 2 6 16 0 13 54 98
Temporal aggregation and risk-return relation 0 0 0 14 0 2 10 81
Testing the expectations theory of the term structure for New Zealand 0 0 0 11 0 1 16 57
The Grid Bootstrap for Continuous Time Models 0 0 0 2 0 1 10 25
The time-varying zone-like and asymmetric preference of central banks: Evidence from China 0 0 0 0 1 2 55 55
Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method 0 0 0 101 0 1 8 243
Volatility Puzzle: Long Memory or Antipersistency 0 0 1 10 1 2 21 49
Weak Identification of Long Memory with Implications for Volatility Modeling 0 0 0 0 0 0 0 0
Total Journal Articles 5 14 88 2,433 47 164 1,498 12,979

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Asymptotic Properties of the Least Squares Estimator in Local to Unity Processes with Fractional Gaussian Noise 0 1 1 2 0 1 9 12
Deviance Information Criterion for Comparing VAR Models 0 0 0 2 0 1 17 49
Information loss in volatility measurement with flat price trading 0 0 0 0 0 5 17 19
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance 0 0 0 0 1 3 7 7
Model Selection for Explosive Models 0 0 0 1 1 4 11 36
Nonparametric and Probabilistic Classification Using NN-balls with Environmental and Remote Sensing Applications 0 0 0 0 0 3 9 9
Simulated maximum likelihood estimation of continuous time stochastic volatility models 0 0 0 1 0 0 6 11
Total Chapters 0 1 1 6 2 17 76 143
3 registered items for which data could not be found
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