Access Statistics for Jun Yu

Author contact details at EconPapers.

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 4 5 9 105
A Class of Nonlinear Stochastic Volatility Models 0 0 0 3 1 2 7 38
A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options 0 0 0 484 5 8 16 1,205
A Conversation with Eric Ghysels Co-President of the Society for Financial Econometrics 0 0 0 16 1 1 7 107
A New Bayesian Unit Root Test in Stochastic Volatility Models 0 0 0 50 3 3 8 255
A New Bayesian Unit Root Test in Stochastic Volatility Models 0 0 0 37 0 1 5 105
A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market 1 1 2 32 4 6 20 145
A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market 0 0 1 40 3 6 17 116
A New Wald Test for Hypothesis Testing Based on MCMC outputs 0 0 0 41 1 2 5 35
A Note on AIC and TIC for Model Selection 0 0 5 16 2 4 38 56
A Panel Clustering Approach to Analyzing Bubble Behavior 0 0 0 62 7 7 13 88
A Panel Clustering Approach to Analyzing Bubble Behavior 0 0 0 18 0 2 25 65
A Posterior-Based Wald-Type Statistic for Hypothesis Testing 0 0 0 35 4 6 16 68
A Quantile-based Asset Pricing Model 0 0 1 66 1 3 13 110
A Semiparametric Stochastic Volatility Model 0 0 0 7 2 2 7 55
A Specification Test based on the MCMC Output 0 0 0 19 1 1 7 95
A Test Statistic and Its Application in Modelling Daily Stock Returns 0 0 0 0 1 3 6 24
A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete 0 0 0 9 2 3 13 91
A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations 0 0 0 243 1 3 9 618
Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility 0 0 0 87 2 2 7 270
Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes 0 0 0 23 0 1 4 81
Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes 0 0 0 18 1 2 10 87
Asymptotic Properties of Least Squares Estimator in Local to Unity Processes with Fractional Gaussian Noises 0 0 0 21 1 2 4 30
Asymptotic Theory for Estimating Drift Parameters in the Fractional Vasicek Model 0 0 1 28 3 4 13 58
Asymptotic Theory for Estimating the Persistent Parameter in the Fractional Vasicek Model 0 0 0 47 1 1 7 26
Asymptotic Theory for Rough Fractional Vasicek Models 0 0 0 44 5 6 15 108
Automated Likelihood Based Inference for Stochastic Volatility Models 0 0 1 3 0 1 5 55
Automated Likelihood Based Inference for Stochastic Volatility Models 0 0 0 27 2 2 6 116
Automated Likelihood Based Inference for Stochastic Volatility Models 0 0 1 1 1 6 22 59
BUGS for a Bayesian Analysis of Stochastic Volatility Models 0 0 0 12 2 3 14 73
Bayesian Analysis of Bubbles in Asset Prices 0 0 0 64 4 7 24 129
Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises 0 0 0 17 2 3 13 149
Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises 0 1 1 11 0 1 7 83
Bayesian Hypothesis Testing in Latent Variable Models 0 0 0 45 1 4 15 194
Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility 0 0 0 46 2 2 6 230
Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility 0 0 0 5 2 5 9 30
Bias in Estimating Multivariate and Univariate Diffusions 0 0 0 43 3 5 10 199
Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models 0 0 0 26 1 4 18 173
Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models 0 0 0 3 0 1 9 71
Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models 0 0 0 11 0 1 7 124
Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Levy Processes 0 0 0 45 0 1 10 61
Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Lévy Processes 0 0 0 44 0 1 9 125
Boosting Store Sales Through Ensemble Learning-Informed Promotional Decisions 1 1 4 11 3 9 24 38
Bubble Testing under Deterministic Trends 0 0 0 32 1 1 6 73
Comment on “Realized Variance and Market Microstructure Noise†by Peter R. Hansen and Asger Lunde 0 0 0 0 2 2 2 106
Comment on “Realized Variance and Market Microstructure Noise” by Peter R. Hansen and Asger Lunde 0 0 0 92 3 4 9 326
Comments on “A selective overview of nonparametric methods in financial econometrics†0 0 0 2 7 7 10 109
Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan 0 0 0 42 3 3 7 187
Corrigendum to “A Gaussian Approach for Continuous Time Models of the Short Term Interest Rate" 0 0 0 28 3 3 9 78
Dating the Timeline of Financial Bubbles During the Subprime Crisis 0 0 0 18 2 3 10 105
Dating the Timeline of Financial Bubbles During the Subprime Crisis 0 0 1 168 2 3 7 439
Dating the Timeline of Financial Bubbles During the Subprime Crisis 0 0 0 45 1 2 14 253
Dating the Timeline of Financial Bubbles during the Subprime Crisis 0 0 0 297 4 8 48 1,006
Detecting Bubbles in Hong Kong Residential Property Market 0 0 0 70 2 3 9 253
Detecting Bubbles in Hong Kong Residential Property Market 0 0 0 13 2 3 8 55
Deviance Information Criterion as a Model Comparison Criterion for Stochastic Volatility Models 0 0 0 8 1 3 11 66
Deviance Information Criterion for Bayesian Model Selection: Justification and Variation 0 0 2 28 4 5 19 119
Deviance Information Criterion for Comparing VAR Models 0 0 0 109 1 2 7 87
Deviance Information Criterion for Model Selection:Theoretical Justification and Applications 2 2 4 7 8 15 30 48
Different Strokes for Different Folks: Long Memory and Roughness 0 0 0 19 1 3 8 22
Do Topics Diffuse from Core to Periphery Journals? 0 0 0 4 0 0 6 45
Double Asymptotics for Explosive Continuous Time Models 0 0 0 41 3 4 9 105
Double Asymptotics for an Explosive Continuous Time Model 0 0 0 11 3 5 6 60
Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results 0 0 0 83 1 2 8 145
Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results 0 0 0 4 3 4 9 66
Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips’ Work and Some New Results 0 0 0 19 3 5 14 145
Econometric Methods and Data Science Techniques: A Review of Two Strands of Literature and an Introduction to Hybrid Methods 0 0 1 106 1 3 12 99
Efficient Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method 0 0 1 8 1 1 11 35
Empirical Characteristic Function in Time Series Estimation 0 0 1 10 7 9 20 71
Estimating the GARCH Diffusion: Simulated Maximum Likelihood in Continuous Time 0 0 0 34 1 3 7 86
Estimation and Inference of Fractional Continuous-Time Model with Discrete-Sampled Data 0 1 1 26 2 3 7 44
Estimation of Hyperbolic Diffusion Using MCMC Method 0 0 0 198 2 3 12 686
Estimation of Hyperbolic Diffusion using MCMC Method 0 0 1 2 1 4 13 51
Estimation of a Self-Exciting Poisson Jump Diffusion Model by the Empirical Characteristic Function Method 0 0 1 7 2 3 15 35
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 0 1 9 34
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 0 2 289 5 6 20 991
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 1 1 157 4 9 18 410
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 0 0 32 3 4 10 188
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 2 2 80 6 11 22 357
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 0 0 11 2 3 7 87
FORECASTING REALIZED VOLATILITY USING A NONNEGATIVE SEMIPARAMETRIC MODEL 0 0 0 3 1 2 9 45
Finite Sample Comparison of Alternative Estimators for Fractional Gaussian Noise 0 0 0 13 0 1 8 51
Forecast combinations in machine learning 0 1 2 145 4 5 12 265
Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks 0 0 1 71 2 3 11 136
Forecasting Realized Volatility Using A Nonnegative Semiparametric Model 0 0 0 50 3 4 11 107
Forecasting Realized Volatility Using A Nonnegative Semiparametric Model 0 0 0 12 1 1 9 116
Forecasting Singapore GDP using the SPF data 0 0 1 21 1 3 10 56
Forecasting Volatility in the New Zealand Stock Market 0 0 1 9 2 3 15 67
Forecasting Volatility:Evidence from the German Stock Market 0 0 0 13 1 2 14 103
Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate 0 0 0 331 4 5 16 1,032
Housing Equity and Household Consumption in Retirement: Evidence from the Singapore Life Panel 0 0 0 29 2 4 9 91
Improved Marginal Likelihood Estimation via Power Posteriors and Importance Sampling 0 0 0 35 3 7 10 51
In-fill Asymptotic Theory for Structural Break Point in Autoregression: A Unified Theory 0 0 0 36 1 2 4 72
Indirect Inference for Dynamic Panel Models 0 0 0 324 2 7 69 901
Indirect Inference for Dynamic Panel Models 0 0 0 17 0 1 7 125
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 34 1 2 9 167
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 41 2 2 4 170
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 97 2 4 7 599
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 3 5 8 87
Investigating Impacts of Self-Exciting Jumps in Returns and Volatility: A Bayesian Learning Approach 0 0 0 18 4 11 16 106
Jackknifing Bond Option Prices 0 0 0 459 3 4 10 1,630
Jackknifing Bond Option Prices 0 0 0 52 1 3 6 288
Jacknifing Bond Option Prices 0 0 0 1 1 2 4 48
Latent Local-to-Unity Models 0 0 0 21 2 13 22 59
Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods in Time Series Data 0 0 0 21 1 1 4 91
Limit Theory for an Explosive Autoregressive Process 0 0 0 46 1 1 11 100
Local Powers of Least-Squares-Based Test for Panel Fractional Ornstein-Uhlenbeck Process 0 0 0 29 1 2 5 21
MCMC Methods for Estimating Stochastic Volatility Models with Liverage Effects: Comments on Jacquier, Polson and Rossi (2002) 0 0 0 10 1 4 9 41
Maximum Likelihood Estimation for the Fractional Vasicek Model 0 0 0 85 6 7 13 186
Maximum Likelihood Estimation of Fractional Ornstein-Uhlenbeck Process with Discretely Sampled Data 3 3 15 33 11 21 58 88
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance 0 0 0 2 0 2 6 53
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance 0 0 0 15 2 5 10 107
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance 0 0 0 518 1 4 8 1,821
Measurement and High Finance 0 0 0 22 0 1 5 71
Mild-explosive and Local-to-mild-explosive Autoregressions with Serially Correlated Errors 0 0 0 25 0 0 4 37
Model Selection for Explosive Models 0 0 0 22 2 3 10 37
Model Selection for Explosive Models 0 0 0 1 2 4 4 11
Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion 0 0 24 24 3 7 18 19
Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion 0 1 21 21 6 17 61 62
Multivariate Stochastic Volatility 0 0 1 36 3 3 22 210
Multivariate Stochastic Volatility Model with Block Correlations 5 13 13 13 3 5 5 5
Multivariate Stochastic Volatility Models based on Generalized Fisher Transformation 0 0 2 10 1 1 16 39
Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison 0 0 0 330 1 3 16 735
On Bias in the Estimation of Structural Break Points 0 0 0 32 1 4 9 51
On Leverage in a Stochastic Volatility Model 0 0 0 126 4 8 16 369
On Leverage in a Stochastic Volatility Model 0 0 0 1 0 0 10 463
On leverage in a stochastic volatility model 0 0 0 0 1 3 15 335
On the Optimal Forecast with the Fractional Brownian Motion 0 0 1 35 4 5 10 36
On the Spectral Density of Fractional Ornstein-Uhlenbeck Processes 1 1 2 25 4 9 23 44
Optimal Estimation for General Gaussian Processed 0 0 3 3 1 3 35 35
Optimal Estimation for General Gaussian Processes 0 0 4 4 2 5 15 15
Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models 0 0 0 15 2 2 9 78
Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models 0 0 0 43 1 1 6 94
Persistent and Rough Volatility 0 1 4 86 3 5 17 203
Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour 0 0 0 7 3 4 15 70
Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour 0 0 0 23 1 3 8 78
Realized Volatility Forecasting: Continuous versus Discrete Time Models 0 3 26 26 7 33 101 101
Risk of Predictive Distributions and Bayesian Model Comparison of Misspecified Models 0 1 7 7 2 9 27 27
Robust Deviance Information Criterion for Latent Variable Models 0 0 0 56 1 1 12 222
Robust Deviance Information Criterion for Latent Variable Models 0 0 0 3 0 3 6 35
Robust Testing for Explosive Behavior with Strongly Dependent Errors 0 0 0 42 2 4 21 41
Robust Testing for Explosive Behavior with Strongly Dependent Errors 0 0 0 4 1 1 7 22
Shrinkage Estimation of Covariance Matrix for Portfolio Choice with High Frequency Data 0 0 0 23 2 3 8 46
Simulated Maximum Likelihood Estimation for Latent Diffusion Models 0 0 1 3 1 1 10 41
Simulated Maximum Likelihood Estimation for Latent Diffusion Models 0 0 1 35 1 2 7 93
Simulated Maximum Likelihood Estimation for Latent Diffusion Models 0 0 0 19 2 2 5 87
Simulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models 0 0 0 7 2 3 7 58
Simulation-based Estimation Methods for Financial Time Series Models 0 0 0 99 0 1 5 178
Simulation-based Estimation of Contingent Claims Prices 0 0 0 4 2 2 6 65
Simulation-based Estimation of Contingent-claims Prices 0 0 0 171 2 2 8 621
Simulation-based Estimation of Contingent-claims Prices 0 0 0 5 2 3 9 94
Speci cation Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 0 2 1 2 3 43
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 7 291
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 0 47 0 0 6 158
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 1 23 1 2 8 126
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 0 78 3 4 14 312
SpeciÖcation Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles 0 0 0 4 1 2 5 29
Stimulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models 0 0 0 19 2 3 6 92
Teaching Financial Econometrics to Students Converting to Finance 0 1 7 36 1 4 31 81
Temporal Aggregation and Risk-Return Relation 0 0 0 15 1 2 6 77
Testing Predictability in the Presence of Persistent Errors 0 0 2 13 3 7 22 49
Testing for Multiple Bubbles 0 1 3 17 3 5 15 74
Testing for Multiple Bubbles 0 1 2 246 6 11 25 814
Testing for Multiple Bubbles 0 1 2 108 3 5 23 377
Testing for Multiple Bubbles 0 0 2 196 4 9 54 578
Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500 0 1 1 299 4 10 19 496
Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors 0 0 0 37 7 8 15 92
Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors 0 0 0 117 3 8 22 270
Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500 1 4 4 334 8 21 95 891
Testing for Multiple Bubbles: Limit Theory of Real Time Detectors 0 0 1 121 6 8 22 453
Testing for an Explosive Bubble using High-Frequency Volatility 0 0 1 16 3 7 17 48
Testing for an Explosive Bubble using High-Frequency Volatility 0 0 3 10 4 8 27 52
The Grid Bootstrap for Continuous Time Models 0 0 0 35 1 1 6 69
The Time-varying Zone-like and Asymmetric Preference of Central Banks: Evidence from China 0 1 2 4 4 7 52 67
Weak Identification of Long Memory with Implications for Inference 0 0 0 7 6 7 15 30
Weak Identification of Long Memory with Implications for Inference 0 0 0 122 5 12 24 153
Total Working Papers 14 43 196 10,083 401 758 2,524 32,614
4 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 4 8 18 146
A Gaussian approach for continuous time models of the short-term interest rate 0 0 0 14 5 7 13 446
A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR 0 1 1 6 7 10 17 38
A class of nonlinear stochastic volatility models and its implications for pricing currency options 0 0 0 37 1 7 11 188
A flexible and automated likelihood based framework for inference in stochastic volatility models 0 0 0 4 2 2 5 40
A new approach to Bayesian hypothesis testing 0 0 0 30 5 10 16 151
A semiparametric stochastic volatility model 0 0 0 41 1 2 102 232
A two-stage realized volatility approach to estimation of diffusion processes with discrete data 0 0 0 32 0 2 9 139
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 1 2 7 53
Asymptotic theory for linear diffusions under alternative sampling schemes 0 0 0 3 3 6 9 51
Asymptotic theory for rough fractional Vasicek models 0 0 0 1 4 4 11 65
BUGS for a Bayesian analysis of stochastic volatility models 0 0 0 32 2 4 8 1,266
Bayesian Analysis of Bubbles in Asset Prices 0 0 0 7 0 3 7 61
Bayesian analysis of structural credit risk models with microstructure noises 0 0 0 26 2 4 10 130
Bayesian hypothesis testing in latent variable models 0 0 0 28 1 2 6 186
Bias in estimating multivariate and univariate diffusions 0 0 0 22 0 1 11 120
Bias in the estimation of mean reversion in continuous-time Lévy processes 0 0 0 3 8 10 17 48
Bias in the estimation of the mean reversion parameter in continuous time models 0 0 0 66 3 6 19 386
Bubble testing under polynomial trends 0 0 0 0 1 4 10 10
CTE Solvability, Nonlocal Symmetry, and Interaction Solutions of Coupled Integrable Dispersionless System 0 0 0 0 1 2 2 2
Comment 0 0 0 11 0 1 5 110
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 2 2 9 36
Dating the timeline of financial bubbles during the subprime crisis 1 2 3 99 5 8 24 332
Detecting bubbles in Hong Kong residential property market 0 1 2 45 3 6 25 233
Deviance Information Criterion for Comparing Stochastic Volatility Models 0 0 0 0 3 6 12 576
Deviance information criterion for latent variable models and misspecified models 0 0 0 20 4 5 16 117
Do Stock Returns Follow a Finite Variance Distribution? 0 0 0 25 3 3 5 202
Double asymptotics for explosive continuous time models 0 0 0 12 1 5 18 86
ECONOMETRIC ANALYSIS OF CONTINUOUS TIME MODELS: A SURVEY OF PETER PHILLIPS’S WORK AND SOME NEW RESULTS 0 0 0 11 2 2 8 74
EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION 0 1 1 35 3 7 11 164
EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES? 0 0 0 0 8 19 36 732
Editorial 0 0 0 2 2 3 23 77
Empirical Characteristic Function Estimation and Its Applications 0 0 1 293 2 3 14 713
Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method 0 0 0 4 3 3 9 37
Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks* 0 0 0 2 1 2 6 15
Forecasting Realized Volatility Using a Nonnegative Semiparametric Model 0 0 0 2 2 3 14 36
Forecasting volatility in the New Zealand stock market 0 0 0 246 3 5 7 720
Fractional Gaussian Noise: Spectral Density and Estimation Methods 3 5 6 6 7 12 19 19
Fractional stochastic volatility model 0 0 0 0 3 6 11 13
Housing equity and household consumption in retirement: evidence from the Singapore Life Panel© 0 0 0 0 1 2 7 16
Improved marginal likelihood estimation via power posteriors and importance sampling 0 0 0 6 7 16 25 50
In-fill asymptotic theory for structural break point in autoregressions 0 0 0 0 2 3 19 25
Indirect inference for dynamic panel models 0 0 0 213 2 3 13 545
Inference in continuous systems with mildly explosive regressors 0 0 0 8 0 0 3 66
Information loss in volatility measurement with flat price trading 0 0 0 1 1 4 24 38
Jackknifing Bond Option Prices 0 0 0 81 2 3 10 306
Latent local-to-unity models 0 0 0 1 1 1 9 14
Limit theory for an explosive autoregressive process 0 0 0 8 0 1 8 74
Local powers of least‐squares‐based test for panel fractional Ornstein–Uhlenbeck process 0 0 0 0 0 1 15 15
Maximum Likelihood Estimation for the Fractional Vasicek Model 0 0 0 4 2 4 15 41
Maximum likelihood estimation of partially observed diffusion models 0 0 0 10 4 4 15 109
Mildly Explosive Autoregression with Anti‐persistent Errors 0 0 0 3 1 2 10 23
Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process 1 1 5 21 4 10 30 69
Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison 1 2 3 65 1 4 15 238
Multivariate Stochastic Volatility: A Review 0 1 1 132 0 4 16 362
Multivariate stochastic volatility models based on generalized Fisher transformation 0 1 4 4 0 7 25 25
New distribution theory for the estimation of structural break point in mean 0 0 0 12 4 6 10 56
New methodology for constructing real estate price indices applied to the Singapore residential market 2 2 6 29 7 9 21 144
On leverage in a stochastic volatility model 0 0 1 261 7 7 27 587
On stiffness in affine asset pricing models 0 0 0 0 1 1 4 5
On the optimal forecast with the fractional Brownian motion 0 0 1 6 3 4 9 22
On the spectral density of fractional Ornstein–Uhlenbeck processes 0 0 0 0 3 9 23 28
Optimal jackknife for unit root models 0 0 0 2 1 4 7 32
Posterior-based Wald-type statistics for hypothesis testing 0 0 1 4 3 8 23 36
Random coefficient continuous systems: Testing for extreme sample path behavior 0 0 0 5 3 5 16 69
Realized Daily Variance of S&P 500 Cash Index: A Revaluation of Stylized Facts 0 0 2 28 3 6 22 308
Robust testing for explosive behavior with strongly dependent errors 0 0 2 3 8 11 24 34
SPECIAL ISSUE OF ECONOMETRIC THEORY ON SETA 2010: EDITORS’ INTRODUCTION 0 0 0 9 0 0 5 64
Self-Exciting Jumps, Learning, and Asset Pricing Implications 0 0 1 24 0 3 13 117
Simulation-Based Estimation of Contingent-Claims Prices 0 0 0 29 2 2 15 118
Single-cell and spatially resolved omics reveal transcriptional and metabolic signatures of ovarian endometriomas 0 0 0 0 3 6 7 7
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour 0 0 0 34 3 5 15 147
Specification tests based on MCMC output 0 0 0 1 3 4 14 53
Structure of ATTRv-F64S fibrils isolated from skin tissue of a living patient 0 1 10 10 1 3 16 16
TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500 0 7 24 58 13 53 129 266
TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL‐TIME DETECTORS 0 1 5 13 11 18 43 78
Targeting TNK2/ACK1 reverses the immunosuppressive tumor microenvironment and synergizes with immunochemotherapy in pancreatic cancer 0 0 6 6 2 5 15 15
Targeting of the m6A eraser ALKBH5 suppresses stemness and chemoresistance of colorectal cancer 0 0 5 5 1 3 19 19
Temporal aggregation and risk-return relation 0 0 0 14 2 4 8 79
Testing the expectations theory of the term structure for New Zealand 0 0 0 11 2 5 14 55
The Grid Bootstrap for Continuous Time Models 0 0 0 2 1 1 10 24
The time-varying zone-like and asymmetric preference of central banks: Evidence from China 0 0 0 0 7 29 51 51
Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method 0 0 0 101 1 1 6 239
Volatility Puzzle: Long Memory or Antipersistency 0 1 1 10 7 10 20 45
Total Journal Articles 8 27 92 2,419 238 488 1,428 12,807

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 0 1 1 1 1 8 10
Deviance Information Criterion for Comparing VAR Models 0 0 1 2 5 6 19 48
Information loss in volatility measurement with flat price trading 0 0 0 0 2 2 13 14
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance 0 0 0 0 0 0 4 4
Model Selection for Explosive Models 0 0 0 1 2 2 8 31
Nonparametric and Probabilistic Classification Using NN-balls with Environmental and Remote Sensing Applications 0 0 0 0 2 2 6 6
Simulated maximum likelihood estimation of continuous time stochastic volatility models 0 0 0 1 1 1 7 11
Total Chapters 0 0 2 5 13 14 65 124
3 registered items for which data could not be found
logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage statistics for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Since October 2025, abstract view statistics are potentially heavily influenced by traffic from AI bots and tools that we could not eliminate despite our best efforts.

Statistics updated 2026-05-06