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 1 4 96
A Class of Nonlinear Stochastic Volatility Models 0 0 0 3 1 1 5 31
A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options 0 0 0 484 2 2 5 1,189
A Conversation with Eric Ghysels Co-President of the Society for Financial Econometrics 0 0 0 16 0 0 3 100
A New Bayesian Unit Root Test in Stochastic Volatility Models 0 0 0 50 0 0 1 247
A New Bayesian Unit Root Test in Stochastic Volatility Models 0 0 0 37 0 0 0 100
A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market 0 0 0 39 0 0 2 99
A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market 0 0 0 30 0 1 1 125
A New Wald Test for Hypothesis Testing Based on MCMC outputs 0 0 0 41 0 0 0 30
A Note on AIC and TIC for Model Selection 0 2 11 11 1 5 18 18
A Panel Clustering Approach to Analyzing Bubble Behavior 0 1 3 18 0 3 10 40
A Panel Clustering Approach to Analyzing Bubble Behavior 0 0 1 62 0 0 24 75
A Posterior-Based Wald-Type Statistic for Hypothesis Testing 0 0 0 35 1 1 2 52
A Quantile-based Asset Pricing Model 0 0 0 65 0 0 9 97
A Semiparametric Stochastic Volatility Model 0 0 0 7 0 0 0 48
A Specification Test based on the MCMC Output 0 0 0 19 0 0 0 88
A Test Statistic and Its Application in Modelling Daily Stock Returns 0 0 0 0 0 1 2 18
A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete 0 0 0 9 0 0 0 78
A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations 0 0 0 243 0 0 1 609
Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility 0 0 0 87 0 2 5 263
Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes 0 0 0 18 0 0 1 77
Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes 0 0 0 23 0 2 2 77
Asymptotic Properties of Least Squares Estimator in Local to Unity Processes with Fractional Gaussian Noises 0 0 0 21 0 1 2 26
Asymptotic Theory for Estimating Drift Parameters in the Fractional Vasicek Model 1 1 2 27 1 2 6 45
Asymptotic Theory for Estimating the Persistent Parameter in the Fractional Vasicek Model 0 0 0 47 0 0 0 19
Asymptotic Theory for Rough Fractional Vasicek Models 0 0 0 44 0 1 3 93
Automated Likelihood Based Inference for Stochastic Volatility Models 0 0 0 27 0 1 2 110
Automated Likelihood Based Inference for Stochastic Volatility Models 0 0 0 0 0 1 1 37
Automated Likelihood Based Inference for Stochastic Volatility Models 0 0 0 2 1 12 12 50
BUGS for a Bayesian Analysis of Stochastic Volatility Models 0 0 0 12 0 2 2 59
Bayesian Analysis of Bubbles in Asset Prices 0 0 0 64 1 1 3 105
Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises 0 0 0 17 0 0 0 136
Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises 0 0 1 10 0 1 3 76
Bayesian Hypothesis Testing in Latent Variable Models 0 0 1 45 0 0 1 179
Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility 0 0 3 5 0 0 5 21
Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility 0 0 0 46 0 1 3 224
Bias in Estimating Multivariate and Univariate Diffusions 0 0 0 43 0 0 0 189
Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models 0 0 0 3 0 1 2 62
Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models 0 0 0 26 0 0 0 155
Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models 0 0 0 11 1 1 1 117
Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Levy Processes 0 0 0 45 0 0 1 51
Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Lévy Processes 0 0 0 44 0 1 1 116
Boosting Store Sales Through Ensemble Learning-Informed Promotional Decisions 5 7 7 7 9 14 14 14
Bubble Testing under Deterministic Trends 0 1 1 32 0 2 3 67
Comment on “Realized Variance and Market Microstructure Noise†by Peter R. Hansen and Asger Lunde 0 0 0 0 0 1 1 104
Comment on “Realized Variance and Market Microstructure Noise” by Peter R. Hansen and Asger Lunde 0 0 2 92 0 0 6 317
Comments on “A selective overview of nonparametric methods in financial econometrics†0 0 0 2 1 2 2 99
Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan 0 0 0 42 0 0 1 180
Corrigendum to “A Gaussian Approach for Continuous Time Models of the Short Term Interest Rate" 0 0 0 28 0 0 0 69
Dating the Timeline of Financial Bubbles During the Subprime Crisis 0 0 0 167 0 0 1 432
Dating the Timeline of Financial Bubbles During the Subprime Crisis 0 0 0 18 0 0 5 95
Dating the Timeline of Financial Bubbles During the Subprime Crisis 0 0 0 45 0 1 4 239
Dating the Timeline of Financial Bubbles during the Subprime Crisis 0 0 1 297 0 1 4 958
Detecting Bubbles in Hong Kong Residential Property Market 0 0 0 70 0 1 4 244
Detecting Bubbles in Hong Kong Residential Property Market 0 0 0 13 0 0 0 47
Deviance Information Criterion as a Model Comparison Criterion for Stochastic Volatility Models 0 0 0 8 1 2 2 55
Deviance Information Criterion for Bayesian Model Selection: Justification and Variation 0 0 0 26 2 3 11 100
Deviance Information Criterion for Comparing VAR Models 0 0 0 109 0 0 0 80
Deviance Information Criterion for Model Selection:Theoretical Justification and Applications 0 0 3 3 2 6 18 18
Different Strokes for Different Folks: Long Memory and Roughness 0 0 1 19 0 0 1 14
Do Topics Diffuse from Core to Periphery Journals? 0 1 1 4 1 2 4 39
Double Asymptotics for Explosive Continuous Time Models 0 0 0 41 0 2 2 96
Double Asymptotics for an Explosive Continuous Time Model 0 0 0 11 1 1 3 54
Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results 0 0 1 83 0 1 2 137
Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results 0 0 0 4 0 0 1 57
Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips’ Work and Some New Results 0 0 0 19 0 1 13 131
Econometric Methods and Data Science Techniques: A Review of Two Strands of Literature and an Introduction to Hybrid Methods 0 0 4 105 0 1 8 87
Efficient Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method 2 3 3 7 3 4 4 24
Empirical Characteristic Function in Time Series Estimation 0 0 3 9 0 1 6 51
Estimating the GARCH Diffusion: Simulated Maximum Likelihood in Continuous Time 0 0 0 34 0 0 0 79
Estimation and Inference of Fractional Continuous-Time Model with Discrete-Sampled Data 0 0 0 25 0 1 2 37
Estimation of Hyperbolic Diffusion Using MCMC Method 0 0 0 198 1 1 1 674
Estimation of Hyperbolic Diffusion using MCMC Method 0 0 0 1 0 1 2 38
Estimation of a Self-Exciting Poisson Jump Diffusion Model by the Empirical Characteristic Function Method 0 0 0 6 0 0 0 20
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 1 25
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 0 0 156 0 1 6 392
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 0 0 32 1 1 1 178
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 0 0 11 0 0 1 80
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 0 0 78 0 1 7 335
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 1 4 5 287 1 5 14 971
FORECASTING REALIZED VOLATILITY USING A NONNEGATIVE SEMIPARAMETRIC MODEL 0 0 0 3 0 1 1 36
Finite Sample Comparison of Alternative Estimators for Fractional Gaussian Noise 0 0 0 13 0 1 22 43
Forecast combinations in machine learning 0 0 2 143 0 2 15 253
Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks 0 0 0 70 0 3 4 125
Forecasting Realized Volatility Using A Nonnegative Semiparametric Model 0 0 0 12 0 1 2 107
Forecasting Realized Volatility Using A Nonnegative Semiparametric Model 0 0 0 50 0 2 3 96
Forecasting Singapore GDP using the SPF data 0 0 0 20 0 1 9 46
Forecasting Volatility in the New Zealand Stock Market 0 0 1 8 2 5 6 52
Forecasting Volatility:Evidence from the German Stock Market 0 2 3 13 1 4 12 89
Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate 0 0 0 331 0 0 2 1,016
Housing Equity and Household Consumption in Retirement: Evidence from the Singapore Life Panel 0 0 0 29 2 2 3 82
Improved Marginal Likelihood Estimation via Power Posteriors and Importance Sampling 0 0 0 35 0 1 1 41
In-fill Asymptotic Theory for Structural Break Point in Autoregression: A Unified Theory 0 0 0 36 0 0 5 68
Indirect Inference for Dynamic Panel Models 0 0 0 324 0 0 0 832
Indirect Inference for Dynamic Panel Models 0 0 0 17 1 1 2 118
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 2 0 0 0 45
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 34 0 2 3 158
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 97 0 0 0 592
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 41 0 1 1 166
Integrated Deviance Information Criterion for Latent Variable Models 0 0 0 42 0 0 1 79
Investigating Impacts of Self-Exciting Jumps in Returns and Volatility: A Bayesian Learning Approach 0 0 0 18 0 0 1 90
Jackknifing Bond Option Prices 0 0 0 459 1 2 2 1,620
Jackknifing Bond Option Prices 0 0 0 52 1 1 2 282
Jacknifing Bond Option Prices 0 0 0 1 1 2 3 44
Latent Local-to-Unity Models 0 0 0 21 0 1 1 37
Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods in Time Series Data 0 0 0 21 0 1 1 87
Limit Theory for an Explosive Autoregressive Process 0 1 1 46 0 1 1 89
Local Powers of Least-Squares-Based Test for Panel Fractional Ornstein-Uhlenbeck Process 0 0 0 29 0 1 2 16
MCMC Methods for Estimating Stochastic Volatility Models with Liverage Effects: Comments on Jacquier, Polson and Rossi (2002) 0 0 0 10 1 2 3 32
Maximum Likelihood Estimation for the Fractional Vasicek Model 0 0 6 85 0 2 13 173
Maximum Likelihood Estimation of Fractional Ornstein-Uhlenbeck Process with Discretely Sampled Data 11 18 18 18 18 30 30 30
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance 0 0 0 15 0 0 0 97
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance 0 0 0 2 0 0 0 47
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance 0 0 0 518 0 0 0 1,813
Measurement and High Finance 0 0 0 22 0 0 0 66
Mild-explosive and Local-to-mild-explosive Autoregressions with Serially Correlated Errors 0 0 0 25 0 1 1 33
Model Selection for Explosive Models 0 0 0 1 0 0 2 7
Model Selection for Explosive Models 0 0 0 22 0 1 4 27
Multivariate Stochastic Volatility 0 0 0 35 0 1 2 188
Multivariate Stochastic Volatility Models based on Generalized Fisher Transformation 1 1 8 8 1 4 23 23
Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison 0 0 0 330 0 0 1 719
On Bias in the Estimation of Structural Break Points 0 0 0 32 0 0 1 42
On Leverage in a Stochastic Volatility Model 0 0 0 1 1 2 2 453
On Leverage in a Stochastic Volatility Model 0 0 0 126 1 1 1 353
On leverage in a stochastic volatility model 0 0 0 0 0 0 0 320
On the Optimal Forecast with the Fractional Brownian Motion 0 0 2 34 0 0 4 26
On the Spectral Density of Fractional Ornstein-Uhlenbeck Processes 0 0 23 23 0 1 21 21
Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models 0 0 0 15 0 0 1 69
Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models 0 0 0 43 0 0 0 88
Persistent and Rough Volatility 0 0 1 82 0 2 5 186
Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour 0 0 0 7 0 0 0 55
Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour 0 0 0 23 0 0 0 70
Robust Deviance Information Criterion for Latent Variable Models 0 1 1 56 0 2 2 210
Robust Deviance Information Criterion for Latent Variable Models 0 1 1 3 0 1 2 29
Robust Testing for Explosive Behavior with Strongly Dependent Errors 0 0 1 42 0 1 3 20
Robust Testing for Explosive Behavior with Strongly Dependent Errors 0 0 0 4 0 1 1 15
Shrinkage Estimation of Covariance Matrix for Portfolio Choice with High Frequency Data 0 0 0 23 0 0 1 38
Simulated Maximum Likelihood Estimation for Latent Diffusion Models 0 0 0 34 0 1 1 86
Simulated Maximum Likelihood Estimation for Latent Diffusion Models 0 0 0 2 0 0 0 31
Simulated Maximum Likelihood Estimation for Latent Diffusion Models 0 0 0 19 0 0 0 82
Simulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models 0 0 0 7 0 0 0 51
Simulation-based Estimation Methods for Financial Time Series Models 0 0 0 99 0 1 2 173
Simulation-based Estimation of Contingent Claims Prices 0 0 0 4 0 1 2 59
Simulation-based Estimation of Contingent-claims Prices 0 0 0 5 0 0 2 85
Simulation-based Estimation of Contingent-claims Prices 0 0 0 171 0 0 1 613
Speci cation Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 0 2 0 1 3 40
Speci fication Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles 0 0 0 35 0 0 0 102
Specification Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles 0 0 0 117 0 1 2 284
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 0 78 0 0 1 298
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 0 47 0 0 0 152
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 0 22 0 0 1 118
SpeciÖcation Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles 0 0 1 4 0 0 1 24
Stimulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models 0 0 1 19 0 0 2 86
Teaching Financial Econometrics to Students Converting to Finance 2 10 29 29 2 16 50 50
Temporal Aggregation and Risk-Return Relation 0 0 0 15 0 0 1 71
Testing Predictability in the Presence of Persistent Errors 1 2 11 11 4 8 27 27
Testing for Multiple Bubbles 0 1 2 244 2 4 6 789
Testing for Multiple Bubbles 0 1 3 14 0 2 6 59
Testing for Multiple Bubbles 2 2 5 194 6 11 28 524
Testing for Multiple Bubbles 0 0 1 106 0 1 6 354
Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500 1 2 3 298 2 4 11 477
Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors 0 0 0 117 1 2 9 248
Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors 0 0 0 37 0 3 5 77
Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500 0 0 3 330 1 1 12 796
Testing for Multiple Bubbles: Limit Theory of Real Time Detectors 0 0 2 120 0 0 3 431
Testing for an Explosive Bubble using High-Frequency Volatility 0 0 15 15 0 0 31 31
Testing for an Explosive Bubble using High-Frequency Volatility 0 0 7 7 0 2 25 25
The Grid Bootstrap for Continuous Time Models 0 0 0 35 0 0 1 63
The Time-varying Zone-like and Asymmetric Preference of Central Banks: Evidence from China 0 0 2 2 1 6 15 15
Weak Identification of Long Memory with Implications for Inference 0 1 1 122 0 10 21 129
Weak Identification of Long Memory with Implications for Inference 0 0 0 7 0 0 4 15
Total Working Papers 27 63 208 9,887 82 266 805 30,088
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 0 0 2 128
A Gaussian approach for continuous time models of the short-term interest rate 0 0 0 14 0 1 1 433
A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR 0 1 4 5 1 4 15 21
A class of nonlinear stochastic volatility models and its implications for pricing currency options 0 0 0 37 0 1 3 177
A flexible and automated likelihood based framework for inference in stochastic volatility models 0 0 0 4 0 1 2 35
A new approach to Bayesian hypothesis testing 0 0 1 30 0 0 1 135
A semiparametric stochastic volatility model 0 0 0 41 0 1 3 130
A two-stage realized volatility approach to estimation of diffusion processes with discrete data 0 0 0 32 0 0 1 130
ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL 0 0 0 3 0 0 0 24
An Improved Bayesian Unit Root Test in Stochastic Volatility Models 0 0 0 6 0 0 0 46
Asymptotic theory for linear diffusions under alternative sampling schemes 0 0 0 3 0 0 2 42
Asymptotic theory for rough fractional Vasicek models 0 0 1 1 0 0 3 54
BUGS for a Bayesian analysis of stochastic volatility models 0 0 0 32 0 0 2 1,258
Bayesian Analysis of Bubbles in Asset Prices 0 0 0 7 0 1 3 54
Bayesian analysis of structural credit risk models with microstructure noises 0 0 0 26 0 1 5 120
Bayesian hypothesis testing in latent variable models 0 0 0 28 0 0 0 180
Bias in estimating multivariate and univariate diffusions 0 0 0 22 0 0 0 109
Bias in the estimation of mean reversion in continuous-time Lévy processes 0 0 0 3 0 1 2 31
Bias in the estimation of the mean reversion parameter in continuous time models 0 0 1 66 0 0 3 367
Bubble testing under polynomial trends 0 0 0 0 0 0 0 0
Comment 0 0 1 11 0 0 4 105
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 0 27
Dating the timeline of financial bubbles during the subprime crisis 0 0 2 96 0 1 10 308
Detecting bubbles in Hong Kong residential property market 0 0 1 43 1 2 8 208
Deviance Information Criterion for Comparing Stochastic Volatility Models 0 0 0 0 0 0 0 564
Deviance information criterion for latent variable models and misspecified models 0 0 0 20 0 1 5 101
Do Stock Returns Follow a Finite Variance Distribution? 0 0 0 25 0 0 2 197
Double asymptotics for explosive continuous time models 0 0 0 12 0 1 1 68
ECONOMETRIC ANALYSIS OF CONTINUOUS TIME MODELS: A SURVEY OF PETER PHILLIPS’S WORK AND SOME NEW RESULTS 0 0 0 11 0 1 2 66
EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION 0 0 2 34 0 0 4 153
EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES? 0 0 0 0 1 3 11 696
Editorial 0 0 0 2 0 0 4 54
Empirical Characteristic Function Estimation and Its Applications 0 0 1 292 0 1 3 699
Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method 0 0 1 4 0 1 2 28
Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks* 0 0 0 2 0 0 1 9
Forecasting Realized Volatility Using a Nonnegative Semiparametric Model 0 0 0 2 0 0 1 22
Forecasting volatility in the New Zealand stock market 0 0 0 246 0 0 0 713
Fractional stochastic volatility model 0 0 0 0 0 2 2 2
Housing equity and household consumption in retirement: evidence from the Singapore Life Panel© 0 0 0 0 0 1 2 9
Improved marginal likelihood estimation via power posteriors and importance sampling 0 0 0 6 0 1 8 25
In-fill asymptotic theory for structural break point in autoregressions 0 0 0 0 0 1 2 6
Indirect inference for dynamic panel models 0 0 2 213 1 1 4 532
Inference in continuous systems with mildly explosive regressors 0 0 2 8 0 0 2 63
Information loss in volatility measurement with flat price trading 0 0 1 1 2 4 10 14
Jackknifing Bond Option Prices 0 0 0 81 1 1 3 296
Latent local-to-unity models 0 0 0 1 0 2 3 5
Limit theory for an explosive autoregressive process 0 0 0 8 0 1 5 66
Maximum Likelihood Estimation for the Fractional Vasicek Model 0 0 0 4 0 0 5 26
Maximum likelihood estimation of partially observed diffusion models 0 0 0 10 0 1 3 94
Mildly Explosive Autoregression with Anti‐persistent Errors 0 0 0 3 0 0 1 13
Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process 0 0 5 16 1 2 12 39
Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison 0 0 0 62 0 1 4 223
Multivariate Stochastic Volatility: A Review 0 0 5 131 0 0 9 346
New distribution theory for the estimation of structural break point in mean 0 0 0 12 0 0 1 46
New methodology for constructing real estate price indices applied to the Singapore residential market 1 1 3 23 1 3 9 123
On leverage in a stochastic volatility model 0 0 0 260 0 0 2 560
On stiffness in affine asset pricing models 0 0 0 0 0 1 1 1
On the optimal forecast with the fractional Brownian motion 0 0 5 5 1 2 13 13
On the spectral density of fractional Ornstein–Uhlenbeck processes 0 0 0 0 1 4 5 5
Optimal jackknife for unit root models 0 1 1 2 0 1 2 25
Posterior-based Wald-type statistics for hypothesis testing 0 0 0 3 0 0 1 13
Random coefficient continuous systems: Testing for extreme sample path behavior 0 0 0 5 0 0 2 53
Realized Daily Variance of S&P 500 Cash Index: A Revaluation of Stylized Facts 0 0 1 26 1 4 7 286
Robust testing for explosive behavior with strongly dependent errors 0 0 1 1 0 1 8 10
SPECIAL ISSUE OF ECONOMETRIC THEORY ON SETA 2010: EDITORS’ INTRODUCTION 0 0 0 9 0 0 0 59
Self-Exciting Jumps, Learning, and Asset Pricing Implications 0 0 0 23 0 0 3 104
Simulation-Based Estimation of Contingent-Claims Prices 0 1 1 29 1 2 2 103
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour 0 0 0 34 0 0 1 132
Specification tests based on MCMC output 0 0 0 1 0 0 1 39
TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500 0 2 18 34 1 10 69 137
TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL‐TIME DETECTORS 0 1 3 8 0 3 11 35
Temporal aggregation and risk-return relation 0 0 0 14 1 1 2 71
Testing the expectations theory of the term structure for New Zealand 0 0 0 11 0 0 0 41
The Grid Bootstrap for Continuous Time Models 0 0 0 2 0 1 3 14
Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method 0 0 0 101 0 0 1 233
Volatility Puzzle: Long Memory or Antipersistency 0 2 5 9 0 5 15 25
Total Journal Articles 1 9 68 2,327 15 78 340 11,379

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 0 0 0 1 1 2
Deviance Information Criterion for Comparing VAR Models 0 0 1 1 1 2 3 29
Information loss in volatility measurement with flat price trading 0 0 0 0 0 0 1 1
Model Selection for Explosive Models 0 0 0 1 0 0 1 23
Simulated maximum likelihood estimation of continuous time stochastic volatility models 0 0 1 1 0 1 3 4
Total Chapters 0 0 2 3 1 4 9 59
3 registered items for which data could not be found
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Statistics updated 2025-05-12