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 1 1 16 2 4 8 72
A Class of Nonlinear Stochastic Volatility Models 0 1 1 2 1 4 8 19
A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options 0 0 0 484 2 5 15 1,148
A Conversation with Eric Ghysels Co-President of the Society for Financial Econometrics 0 0 0 15 1 3 7 84
A New Bayesian Unit Root Test in Stochastic Volatility Models 0 0 1 36 0 1 5 88
A New Bayesian Unit Root Test in Stochastic Volatility Models 0 0 6 48 3 13 80 180
A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market 0 0 3 30 0 2 16 110
A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market 0 0 1 38 2 2 16 81
A New Wald Test for Hypothesis Testing Based on MCMC outputs 0 0 2 41 1 1 10 21
A Posterior-Based Wald-Type Statistic for Hypothesis Testing 0 0 3 34 1 1 15 42
A Quantile-based Asset Pricing Model 0 1 25 51 3 7 32 37
A Specification Test based on the MCMC Output 0 0 0 19 0 0 8 81
A Test Statistic and Its Application in Modelling Daily Stock Returns 0 0 0 0 1 2 7 14
A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete 0 0 0 8 2 2 9 69
A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations 0 0 0 242 0 0 3 601
Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility 0 0 0 86 0 1 5 249
Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes 0 0 0 21 0 0 3 64
Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes 0 0 0 17 0 1 2 70
Asymptotic Theory for Estimating Drift Parameters in the Fractional Vasicek Model 0 0 1 22 0 1 5 28
Asymptotic Theory for Estimating the Persistent Parameter in the Fractional Vasicek Model 0 0 0 47 0 0 2 14
Asymptotic Theory for Rough Fractional Vasicek Models 0 0 0 43 5 8 24 57
Automated Likelihood Based Inference for Stochastic Volatility Models 0 0 0 27 0 0 3 100
BUGS for a Bayesian Analysis of Stochastic Volatility Models 0 0 2 6 3 4 13 30
Bayesian Analysis of Bubbles in Asset Prices 0 0 0 64 0 1 6 94
Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises 0 0 0 17 2 3 11 131
Bayesian Hypothesis Testing in Latent Variable Models 0 1 1 43 1 3 8 171
Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility 1 1 3 46 2 4 12 150
Bias in Estimating Multivariate and Univariate Diffusions 0 0 0 43 0 0 3 182
Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models 0 0 1 26 2 2 8 148
Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models 0 0 0 11 0 0 6 109
Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Lévy Processes 0 0 0 44 2 3 7 109
Bubble Testing under Deterministic Trends 0 0 0 28 0 0 3 46
Comment on “Realized Variance and Market Microstructure Noise†by Peter R. Hansen and Asger Lunde 0 0 0 0 0 1 8 96
Comment on “Realized Variance and Market Microstructure Noise” by Peter R. Hansen and Asger Lunde 0 0 0 84 0 1 4 289
Comments on “A selective overview of nonparametric methods in financial econometrics†0 0 0 2 0 1 2 91
Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan 0 0 0 42 0 0 3 175
Corrigendum to “A Gaussian Approach for Continuous Time Models of the Short Term Interest Rate" 0 0 0 28 0 0 3 63
Dating the Timeline of Financial Bubbles During the Subprime Crisis 0 0 4 43 1 1 21 208
Dating the Timeline of Financial Bubbles During the Subprime Crisis 0 0 0 165 2 3 17 411
Dating the Timeline of Financial Bubbles during the Subprime Crisis 0 1 10 292 2 14 75 885
Detecting Bubbles in Hong Kong Residential Property Market 0 1 1 70 0 4 9 225
Deviance Information Criterion as a Model Comparison Criterion for Stochastic Volatility Models 0 0 0 3 1 2 3 26
Deviance Information Criterion for Bayesian Model Selection: Justification and Variation 0 1 7 23 0 1 19 43
Deviance Information Criterion for Comparing VAR Models 0 0 0 106 1 2 4 72
Do Topics Diffuse from Core to Periphery Journals? 0 0 0 1 3 4 9 24
Double Asymptotics for Explosive Continuous Time Models 0 0 0 40 0 1 2 86
Double Asymptotics for an Explosive Continuous Time Model 0 0 0 10 0 0 1 43
Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results 0 0 0 80 0 0 9 125
Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips’ Work and Some New Results 0 0 0 19 0 3 11 92
Econometric Methods and Data Science Techniques: A Review of Two Strands of Literature and an Introduction to Hybrid Methods 1 89 89 89 3 29 29 29
Efficient Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method 0 0 0 2 0 1 3 13
Empirical Characteristic Function in Time Series Estimation 0 0 1 3 1 3 11 30
Estimating the GARCH Diffusion: Simulated Maximum Likelihood in Continuous Time 0 0 0 34 0 0 2 75
Estimation and Inference of Fractional Continuous-Time Model with Discrete-Sampled Data 0 0 19 19 2 3 15 15
Estimation of Hyperbolic Diffusion Using MCMC Method 0 0 0 198 0 0 8 666
Estimation of Hyperbolic Diffusion using MCMC Method 0 0 0 1 3 4 9 27
Estimation of a Self-Exciting Poisson Jump Diffusion Model by the Empirical Characteristic Function Method 0 2 2 4 1 3 8 14
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 2 2 7 22
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 0 3 74 0 0 16 292
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 2 2 3 29 6 7 17 136
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 2 3 10 138 5 7 32 330
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 1 6 272 2 5 31 863
Forecast combinations in machine learning 1 63 64 64 2 21 23 23
Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks 0 1 3 57 2 7 22 38
Forecasting Realized Volatility Using A Nonnegative Semiparametric Model 0 0 0 50 0 0 5 84
Forecasting Realized Volatility Using A Nonnegative Semiparametric Model 0 0 0 12 2 3 7 96
Forecasting Singapore GDP using the SPF data 14 15 15 15 13 14 14 14
Forecasting Volatility in the New Zealand Stock Market 0 0 0 2 0 1 8 28
Forecasting Volatility:Evidence from the German Stock Market 0 1 1 4 3 5 14 42
Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate 0 0 0 331 1 1 7 1,001
Housing Equity and Household Consumption in Retirement: Evidence from the Singapore Life Panel 0 0 3 27 1 7 33 41
Improved Marginal Likelihood Estimation via Power Posteriors and Importance Sampling 0 0 7 29 1 2 11 17
In-fill Asymptotic Theory for Structural Break Point in Autoregression: A Unified Theory 0 2 2 36 2 6 18 45
Indirect Inference for Dynamic Panel Models 0 0 3 320 1 1 15 811
Indirect Inference for Dynamic Panel Models 0 0 0 16 2 2 8 110
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 38 1 2 8 153
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 34 0 0 4 152
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 96 0 3 6 586
Integrated Deviance Information Criterion for Latent Variable Models 0 0 3 36 1 1 18 57
Investigating Impacts of Self-Exciting Jumps in Returns and Volatility: A Bayesian Learning Approach 0 0 0 16 0 0 5 81
Jackknifing Bond Option Prices 0 0 0 51 0 0 11 270
Jackknifing Bond Option Prices 0 0 1 458 1 2 9 1,608
Jacknifing Bond Option Prices 0 0 1 1 3 4 10 29
Limit Theory for an Explosive Autoregressive Process 0 0 0 44 1 2 11 73
Local Powers of Least-Squares-Based Test for Panel Fractional Ornstein-Uhlenbeck Process 0 0 28 28 0 1 7 7
MCMC Methods for Estimating Stochastic Volatility Models with Liverage Effects: Comments on Jacquier, Polson and Rossi (2002) 0 0 1 6 1 1 8 19
Maximum Likelihood Estimation for the Fractional Vasicek Model 0 2 19 67 3 13 93 114
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance 0 0 2 515 0 0 9 1,796
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance 0 0 0 14 0 0 8 82
Measurement and High Finance 0 0 0 22 0 0 2 62
Mild-explosive and Local-to-mild-explosive Autoregressions with Serially Correlated Errors 0 0 0 25 0 1 7 19
Model Selection for Explosive Models 0 0 0 21 1 1 3 9
Multivariate Stochastic Volatility 0 0 1 33 1 5 25 164
Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison 0 0 2 329 1 1 8 703
On Bias in the Estimation of Structural Break Points 0 0 0 32 1 1 4 31
On Leverage in a Stochastic Volatility Model 0 0 0 1 1 1 4 442
On Leverage in a Stochastic Volatility Model 0 1 2 124 1 2 7 341
On leverage in a stochastic volatility model 0 0 0 0 2 3 8 310
Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models 0 0 0 43 0 0 2 85
Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models 0 1 2 14 0 2 5 64
Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour 0 0 0 7 1 6 16 34
Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour 0 0 1 21 2 5 17 57
Robust Deviance Information Criterion for Latent Variable Models 0 0 2 52 0 0 11 195
Shrinkage Estimation of Covariance Matrix for Portfolio Choice with High Frequency Data 0 1 1 23 2 3 9 29
Simulated Maximum Likelihood Estimation for Latent Diffusion Models 0 0 0 34 0 0 4 78
Simulated Maximum Likelihood Estimation for Latent Diffusion Models 0 0 0 17 0 0 1 75
Simulation-based Estimation Methods for Financial Time Series Models 0 0 3 97 0 1 7 161
Simulation-based Estimation of Contingent-claims Prices 0 0 0 170 0 0 5 595
Simulation-based Estimation of Contingent-claims Prices 0 0 0 4 3 4 8 73
Speci fication Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles 0 0 0 35 0 0 3 92
Specification Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles 0 0 1 115 2 4 13 239
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 0 46 1 2 10 129
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 1 21 0 0 8 106
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 1 1 74 2 6 26 270
Stimulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models 0 0 1 18 0 0 5 82
Temporal Aggregation and Risk-Return Relation 0 0 0 14 1 1 12 65
Testing for Multiple Bubbles 1 3 3 96 4 9 25 296
Testing for Multiple Bubbles 0 0 3 225 3 7 22 713
Testing for Multiple Bubbles 0 2 3 169 1 4 17 387
Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500 0 0 4 277 1 5 24 410
Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors 0 1 2 114 0 1 11 213
Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500 1 2 6 281 6 10 46 582
Testing for Multiple Bubbles: Limit Theory of Real Time Detectors 0 1 4 109 1 5 21 305
The Grid Bootstrap for Continuous Time Models 0 0 1 32 0 2 14 35
Total Working Papers 23 202 403 8,590 150 371 1,550 24,693
24 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 1 1 1 8 4 4 20 89
A Gaussian approach for continuous time models of the short-term interest rate 0 0 0 14 0 0 11 421
A class of nonlinear stochastic volatility models and its implications for pricing currency options 0 0 0 36 1 4 13 157
A flexible and automated likelihood based framework for inference in stochastic volatility models 0 0 0 4 0 0 4 28
A new approach to Bayesian hypothesis testing 0 0 2 26 2 3 10 121
A semiparametric stochastic volatility model 0 1 3 39 1 2 8 116
A two-stage realized volatility approach to estimation of diffusion processes with discrete data 0 0 0 31 2 2 7 120
ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL 0 0 0 0 0 1 3 7
An Improved Bayesian Unit Root Test in Stochastic Volatility Models 0 0 3 3 3 6 23 23
Asymptotic theory for linear diffusions under alternative sampling schemes 0 0 0 2 0 0 3 32
Asymptotic theory for rough fractional Vasicek models 0 0 0 0 5 6 22 30
BUGS for a Bayesian analysis of stochastic volatility models 0 0 0 32 1 3 8 1,245
Bayesian Analysis of Bubbles in Asset Prices 0 1 1 4 1 4 9 28
Bayesian analysis of structural credit risk models with microstructure noises 0 0 0 22 1 3 7 92
Bayesian hypothesis testing in latent variable models 0 0 0 28 1 2 13 172
Bias in estimating multivariate and univariate diffusions 0 0 0 21 0 0 7 97
Bias in the estimation of mean reversion in continuous-time Lévy processes 0 0 0 2 1 1 6 26
Bias in the estimation of the mean reversion parameter in continuous time models 0 0 1 64 2 2 8 354
Comment 0 0 0 9 0 0 1 90
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 1 24
Dating the timeline of financial bubbles during the subprime crisis 0 2 4 92 0 6 21 266
Detecting bubbles in Hong Kong residential property market 0 0 0 32 1 4 14 155
Deviance Information Criterion for Comparing Stochastic Volatility Models 0 0 0 0 0 1 6 552
Deviance information criterion for latent variable models and misspecified models 0 1 2 2 2 13 19 19
Do Stock Returns Follow a Finite Variance Distribution? 0 0 0 24 0 0 2 177
Double asymptotics for explosive continuous time models 0 0 0 9 0 0 3 49
ECONOMETRIC ANALYSIS OF CONTINUOUS TIME MODELS: A SURVEY OF PETER PHILLIPS’S WORK AND SOME NEW RESULTS 0 0 0 10 0 2 3 55
EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION 0 0 0 23 0 4 9 111
EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES? 0 0 0 0 7 19 51 597
Editorial 0 0 0 2 1 1 5 38
Empirical Characteristic Function Estimation and Its Applications 3 4 8 284 4 7 14 672
Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method 0 0 0 1 0 0 4 21
Forecasting Realized Volatility Using a Nonnegative Semiparametric Model 0 0 0 0 1 4 13 13
Forecasting volatility in the New Zealand stock market 0 0 0 246 0 3 9 705
Indirect inference for dynamic panel models 1 1 8 152 1 1 17 417
Inference in continuous systems with mildly explosive regressors 0 0 0 2 0 0 6 37
Jackknifing Bond Option Prices 0 0 0 78 0 1 6 276
Limit theory for an explosive autoregressive process 0 0 0 6 1 2 9 45
Maximum Likelihood Estimation for the Fractional Vasicek Model 0 0 0 0 3 3 3 3
Maximum likelihood estimation of partially observed diffusion models 0 0 3 6 0 1 9 76
Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison 0 0 1 62 1 2 12 209
Multivariate Stochastic Volatility: A Review 1 2 6 104 3 6 28 288
New distribution theory for the estimation of structural break point in mean 0 0 0 2 0 0 6 25
New methodology for constructing real estate price indices applied to the Singapore residential market 0 0 0 15 1 4 15 88
On leverage in a stochastic volatility model 1 3 8 249 5 14 33 505
Optimal jackknife for unit root models 0 0 0 1 0 0 2 22
Random coefficient continuous systems: Testing for extreme sample path behavior 0 0 3 4 1 5 22 37
Realized Daily Variance of S&P 500 Cash Index: A Revaluation of Stylized Facts 0 0 2 24 0 0 5 260
SPECIAL ISSUE OF ECONOMETRIC THEORY ON SETA 2010: EDITORS’ INTRODUCTION 0 0 0 9 0 1 2 56
Self-Exciting Jumps, Learning, and Asset Pricing Implications 1 1 3 17 2 3 13 74
Simulation-Based Estimation of Contingent-Claims Prices 0 0 0 28 0 0 5 93
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour 0 0 3 26 0 0 10 101
Specification tests based on MCMC output 0 0 0 1 0 0 7 27
TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500 2 2 4 37 5 9 43 159
TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL‐TIME DETECTORS 0 0 0 48 2 2 7 128
Temporal aggregation and risk-return relation 0 0 0 13 1 1 3 64
Testing the expectations theory of the term structure for New Zealand 0 0 0 11 0 0 1 39
Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method 0 0 0 100 0 1 4 220
Total Journal Articles 10 19 66 2,065 67 163 625 9,951

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Deviance Information Criterion for Comparing VAR Models 0 0 0 0 0 3 8 18
Model Selection for Explosive Models 0 0 0 0 2 3 5 5
Total Chapters 0 0 0 0 2 6 13 23

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Statistics updated 2020-09-04