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 2 4 98
A Class of Nonlinear Stochastic Volatility Models 0 0 0 3 1 1 6 33
A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options 0 0 0 484 1 2 6 1,192
A Conversation with Eric Ghysels Co-President of the Society for Financial Econometrics 0 0 0 16 0 1 1 101
A New Bayesian Unit Root Test in Stochastic Volatility Models 0 0 0 37 1 2 4 104
A New Bayesian Unit Root Test in Stochastic Volatility Models 0 0 0 50 1 3 3 250
A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market 0 1 1 31 2 4 7 131
A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market 0 1 1 40 1 4 4 103
A New Wald Test for Hypothesis Testing Based on MCMC outputs 0 0 0 41 1 1 1 31
A Note on AIC and TIC for Model Selection 0 2 7 15 13 20 35 45
A Panel Clustering Approach to Analyzing Bubble Behavior 0 0 0 62 1 1 2 77
A Panel Clustering Approach to Analyzing Bubble Behavior 0 0 2 18 2 3 8 43
A Posterior-Based Wald-Type Statistic for Hypothesis Testing 0 0 0 35 2 4 8 59
A Quantile-based Asset Pricing Model 0 1 1 66 3 6 7 104
A Semiparametric Stochastic Volatility Model 0 0 0 7 1 1 1 49
A Specification Test based on the MCMC Output 0 0 0 19 1 3 4 92
A Test Statistic and Its Application in Modelling Daily Stock Returns 0 0 0 0 0 0 1 18
A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete 0 0 0 9 2 7 7 85
A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations 0 0 0 243 1 3 4 613
Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility 0 0 0 87 1 4 7 267
Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes 0 0 0 18 2 3 3 80
Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes 0 0 0 23 0 0 2 77
Asymptotic Properties of Least Squares Estimator in Local to Unity Processes with Fractional Gaussian Noises 0 0 0 21 0 0 1 26
Asymptotic Theory for Estimating Drift Parameters in the Fractional Vasicek Model 0 0 1 27 3 4 6 49
Asymptotic Theory for Estimating the Persistent Parameter in the Fractional Vasicek Model 0 0 0 47 2 5 5 24
Asymptotic Theory for Rough Fractional Vasicek Models 0 0 0 44 1 6 8 100
Automated Likelihood Based Inference for Stochastic Volatility Models 0 0 0 27 0 2 4 113
Automated Likelihood Based Inference for Stochastic Volatility Models 0 0 0 2 0 0 12 50
Automated Likelihood Based Inference for Stochastic Volatility Models 1 1 1 1 1 4 7 43
BUGS for a Bayesian Analysis of Stochastic Volatility Models 0 0 0 12 1 6 11 68
Bayesian Analysis of Bubbles in Asset Prices 0 0 0 64 6 15 18 120
Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises 0 0 0 10 0 0 4 79
Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises 0 0 0 17 2 6 8 144
Bayesian Hypothesis Testing in Latent Variable Models 0 0 0 45 2 6 8 187
Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility 0 0 0 5 3 4 4 25
Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility 0 0 0 46 0 1 2 225
Bias in Estimating Multivariate and Univariate Diffusions 0 0 0 43 0 1 3 192
Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models 0 0 0 11 1 2 4 120
Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models 0 0 0 3 3 5 6 67
Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models 0 0 0 26 2 7 9 164
Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Levy Processes 0 0 0 45 1 1 3 53
Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Lévy Processes 0 0 0 44 1 3 5 120
Boosting Store Sales Through Ensemble Learning-Informed Promotional Decisions 1 2 9 9 3 7 25 25
Bubble Testing under Deterministic Trends 0 0 1 32 1 3 6 71
Comment on “Realized Variance and Market Microstructure Noise†by Peter R. Hansen and Asger Lunde 0 0 0 0 0 0 1 104
Comment on “Realized Variance and Market Microstructure Noise” by Peter R. Hansen and Asger Lunde 0 0 0 92 2 2 2 319
Comments on “A selective overview of nonparametric methods in financial econometrics†0 0 0 2 0 0 4 101
Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan 0 0 0 42 0 1 2 182
Corrigendum to “A Gaussian Approach for Continuous Time Models of the Short Term Interest Rate" 0 0 0 28 1 2 2 71
Dating the Timeline of Financial Bubbles During the Subprime Crisis 0 0 1 168 1 2 4 435
Dating the Timeline of Financial Bubbles During the Subprime Crisis 0 0 0 45 3 5 7 245
Dating the Timeline of Financial Bubbles During the Subprime Crisis 0 0 0 18 1 3 4 99
Dating the Timeline of Financial Bubbles during the Subprime Crisis 0 0 0 297 4 6 10 965
Detecting Bubbles in Hong Kong Residential Property Market 0 0 0 13 0 2 2 49
Detecting Bubbles in Hong Kong Residential Property Market 0 0 0 70 0 0 1 244
Deviance Information Criterion as a Model Comparison Criterion for Stochastic Volatility Models 0 0 0 8 6 7 9 62
Deviance Information Criterion for Bayesian Model Selection: Justification and Variation 0 0 2 28 5 9 15 112
Deviance Information Criterion for Comparing VAR Models 0 0 0 109 0 2 2 82
Deviance Information Criterion for Model Selection:Theoretical Justification and Applications 0 0 2 5 5 6 20 30
Different Strokes for Different Folks: Long Memory and Roughness 0 0 0 19 0 3 3 17
Do Topics Diffuse from Core to Periphery Journals? 0 0 1 4 0 2 5 42
Double Asymptotics for Explosive Continuous Time Models 0 0 0 41 0 1 4 98
Double Asymptotics for an Explosive Continuous Time Model 0 0 0 11 0 0 3 54
Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results 0 0 0 83 2 3 4 140
Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results 0 0 0 4 1 1 1 58
Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips’ Work and Some New Results 0 0 0 19 2 3 7 136
Econometric Methods and Data Science Techniques: A Review of Two Strands of Literature and an Introduction to Hybrid Methods 0 0 2 106 0 1 7 91
Efficient Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method 0 0 4 8 1 4 9 29
Empirical Characteristic Function in Time Series Estimation 0 0 1 10 3 6 9 58
Estimating the GARCH Diffusion: Simulated Maximum Likelihood in Continuous Time 0 0 0 34 2 3 3 82
Estimation and Inference of Fractional Continuous-Time Model with Discrete-Sampled Data 0 0 0 25 2 2 3 39
Estimation of Hyperbolic Diffusion Using MCMC Method 0 0 0 198 0 2 4 677
Estimation of Hyperbolic Diffusion using MCMC Method 0 0 0 1 2 2 3 40
Estimation of a Self-Exciting Poisson Jump Diffusion Model by the Empirical Characteristic Function Method 1 1 1 7 6 7 8 28
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 4 4 5 29
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 0 0 11 0 0 1 81
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 0 0 156 1 4 8 399
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 0 0 32 2 4 6 183
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 0 0 78 2 5 7 341
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 1 6 289 4 5 15 981
FORECASTING REALIZED VOLATILITY USING A NONNEGATIVE SEMIPARAMETRIC MODEL 0 0 0 3 0 2 4 39
Finite Sample Comparison of Alternative Estimators for Fractional Gaussian Noise 0 0 0 13 0 0 3 45
Forecast combinations in machine learning 0 0 1 144 1 1 8 256
Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks 1 1 1 71 5 6 10 132
Forecasting Realized Volatility Using A Nonnegative Semiparametric Model 0 0 0 12 1 3 4 110
Forecasting Realized Volatility Using A Nonnegative Semiparametric Model 0 0 0 50 0 5 7 101
Forecasting Singapore GDP using the SPF data 0 0 1 21 2 2 5 50
Forecasting Volatility in the New Zealand Stock Market 0 0 1 9 1 3 12 59
Forecasting Volatility:Evidence from the German Stock Market 0 0 3 13 2 4 16 97
Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate 0 0 0 331 2 4 5 1,020
Housing Equity and Household Consumption in Retirement: Evidence from the Singapore Life Panel 0 0 0 29 1 2 4 84
Improved Marginal Likelihood Estimation via Power Posteriors and Importance Sampling 0 0 0 35 1 1 2 42
In-fill Asymptotic Theory for Structural Break Point in Autoregression: A Unified Theory 0 0 0 36 0 1 1 69
Indirect Inference for Dynamic Panel Models 0 0 0 17 0 3 5 122
Indirect Inference for Dynamic Panel Models 0 0 0 324 49 52 52 884
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 2 2 3 3 48
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 34 0 1 4 160
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 97 0 1 1 593
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 41 0 0 2 167
Integrated Deviance Information Criterion for Latent Variable Models 0 0 0 42 2 3 3 82
Investigating Impacts of Self-Exciting Jumps in Returns and Volatility: A Bayesian Learning Approach 0 0 0 18 2 3 4 94
Jackknifing Bond Option Prices 0 0 0 459 2 3 5 1,623
Jackknifing Bond Option Prices 0 0 0 52 1 1 2 283
Jacknifing Bond Option Prices 0 0 0 1 1 1 3 45
Latent Local-to-Unity Models 0 0 0 21 2 3 4 40
Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods in Time Series Data 0 0 0 21 1 2 3 89
Limit Theory for an Explosive Autoregressive Process 0 0 1 46 2 5 6 94
Local Powers of Least-Squares-Based Test for Panel Fractional Ornstein-Uhlenbeck Process 0 0 0 29 0 2 3 18
MCMC Methods for Estimating Stochastic Volatility Models with Liverage Effects: Comments on Jacquier, Polson and Rossi (2002) 0 0 0 10 0 2 4 34
Maximum Likelihood Estimation for the Fractional Vasicek Model 0 0 0 85 2 3 6 177
Maximum Likelihood Estimation of Fractional Ornstein-Uhlenbeck Process with Discretely Sampled Data 0 4 29 29 3 13 57 57
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance 0 0 0 518 1 4 4 1,817
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance 0 0 0 15 1 2 2 99
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance 0 0 0 2 1 2 2 49
Measurement and High Finance 0 0 0 22 0 2 2 68
Mild-explosive and Local-to-mild-explosive Autoregressions with Serially Correlated Errors 0 0 0 25 0 0 2 34
Model Selection for Explosive Models 0 0 0 1 0 0 0 7
Model Selection for Explosive Models 0 0 0 22 3 3 4 30
Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion 0 1 20 20 7 18 35 35
Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion 0 0 24 24 1 1 11 11
Multivariate Stochastic Volatility 0 0 1 36 4 12 16 202
Multivariate Stochastic Volatility Models based on Generalized Fisher Transformation 0 1 3 10 2 7 16 33
Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison 0 0 0 330 2 6 9 728
On Bias in the Estimation of Structural Break Points 0 0 0 32 0 0 0 42
On Leverage in a Stochastic Volatility Model 0 0 0 126 2 4 5 357
On Leverage in a Stochastic Volatility Model 0 0 0 1 2 8 11 462
On leverage in a stochastic volatility model 0 0 0 0 6 6 9 329
On the Optimal Forecast with the Fractional Brownian Motion 0 1 1 35 0 2 2 28
On the Spectral Density of Fractional Ornstein-Uhlenbeck Processes 0 1 1 24 3 5 11 29
Optimal Estimation for General Gaussian Processed 0 3 3 3 19 28 28 28
Optimal Estimation for General Gaussian Processes 0 4 4 4 1 6 7 7
Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models 0 0 0 15 2 5 5 74
Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models 0 0 0 43 1 2 2 90
Persistent and Rough Volatility 0 0 4 85 2 3 9 192
Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour 0 0 0 23 0 4 4 74
Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour 0 0 0 7 0 1 1 56
Realized Volatility Forecasting: Continuous versus Discrete Time Models 2 22 22 22 26 41 41 41
Risk of Predictive Distributions and Bayesian Model Comparison of Misspecified Models 0 6 6 6 3 16 16 16
Robust Deviance Information Criterion for Latent Variable Models 0 0 1 56 1 2 4 212
Robust Deviance Information Criterion for Latent Variable Models 0 0 1 3 0 1 3 31
Robust Testing for Explosive Behavior with Strongly Dependent Errors 0 0 0 4 0 0 3 17
Robust Testing for Explosive Behavior with Strongly Dependent Errors 0 0 0 42 0 0 1 20
Shrinkage Estimation of Covariance Matrix for Portfolio Choice with High Frequency Data 0 0 0 23 0 2 5 42
Simulated Maximum Likelihood Estimation for Latent Diffusion Models 0 0 0 19 1 1 1 83
Simulated Maximum Likelihood Estimation for Latent Diffusion Models 0 1 1 35 1 3 5 90
Simulated Maximum Likelihood Estimation for Latent Diffusion Models 1 1 1 3 2 3 5 36
Simulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models 0 0 0 7 0 2 3 54
Simulation-based Estimation Methods for Financial Time Series Models 0 0 0 99 2 2 4 176
Simulation-based Estimation of Contingent Claims Prices 0 0 0 4 0 1 3 60
Simulation-based Estimation of Contingent-claims Prices 0 0 0 171 0 4 5 618
Simulation-based Estimation of Contingent-claims Prices 0 0 0 5 0 2 3 88
Speci cation Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 0 2 0 0 2 41
Speci fication Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles 0 0 0 35 0 2 2 104
Specification Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles 0 0 0 117 2 4 7 290
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 0 78 2 5 6 304
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 1 1 23 1 4 6 123
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 0 47 2 4 5 157
SpeciÖcation Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles 0 0 0 4 1 2 3 27
Stimulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models 0 0 0 19 0 2 2 88
Teaching Financial Econometrics to Students Converting to Finance 0 0 17 34 2 4 41 69
Temporal Aggregation and Risk-Return Relation 0 0 0 15 0 3 3 74
Testing Predictability in the Presence of Persistent Errors 0 1 4 13 0 4 17 36
Testing for Multiple Bubbles 0 0 2 245 4 6 14 798
Testing for Multiple Bubbles 0 0 3 15 2 6 11 66
Testing for Multiple Bubbles 0 0 3 195 25 32 53 561
Testing for Multiple Bubbles 0 1 1 107 2 6 12 364
Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500 0 0 2 298 2 7 12 485
Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors 0 0 0 117 0 8 11 257
Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors 0 0 0 37 1 2 6 80
Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500 0 0 0 330 46 53 59 853
Testing for Multiple Bubbles: Limit Theory of Real Time Detectors 0 0 1 121 1 4 8 439
Testing for an Explosive Bubble using High-Frequency Volatility 0 0 2 16 2 2 6 35
Testing for an Explosive Bubble using High-Frequency Volatility 0 1 2 9 3 9 15 37
The Grid Bootstrap for Continuous Time Models 0 0 0 35 0 2 3 66
The Time-varying Zone-like and Asymmetric Preference of Central Banks: Evidence from China 0 1 2 3 10 14 29 33
Weak Identification of Long Memory with Implications for Inference 0 0 1 122 0 4 22 137
Weak Identification of Long Memory with Implications for Inference 0 0 0 7 1 4 6 21
Total Working Papers 7 61 215 10,029 422 811 1,392 31,144
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 5 9 137
A Gaussian approach for continuous time models of the short-term interest rate 0 0 0 14 2 2 4 436
A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR 0 0 1 5 2 3 10 25
A class of nonlinear stochastic volatility models and its implications for pricing currency options 0 0 0 37 0 2 5 180
A flexible and automated likelihood based framework for inference in stochastic volatility models 0 0 0 4 0 2 4 38
A new approach to Bayesian hypothesis testing 0 0 0 30 1 3 4 139
A semiparametric stochastic volatility model 0 0 0 41 68 68 71 200
A two-stage realized volatility approach to estimation of diffusion processes with discrete data 0 0 0 32 0 1 3 133
ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL 0 0 0 3 1 2 2 26
An Improved Bayesian Unit Root Test in Stochastic Volatility Models 0 0 0 6 0 1 1 47
Asymptotic theory for linear diffusions under alternative sampling schemes 0 0 0 3 1 3 3 45
Asymptotic theory for rough fractional Vasicek models 0 0 0 1 1 3 5 59
BUGS for a Bayesian analysis of stochastic volatility models 0 0 0 32 0 0 5 1,262
Bayesian Analysis of Bubbles in Asset Prices 0 0 0 7 0 1 4 56
Bayesian analysis of structural credit risk models with microstructure noises 0 0 0 26 1 2 6 123
Bayesian hypothesis testing in latent variable models 0 0 0 28 0 1 3 183
Bias in estimating multivariate and univariate diffusions 0 0 0 22 0 5 5 114
Bias in the estimation of mean reversion in continuous-time Lévy processes 0 0 0 3 2 5 7 37
Bias in the estimation of the mean reversion parameter in continuous time models 0 0 0 66 2 6 8 374
Bubble testing under polynomial trends 0 0 0 0 1 1 1 1
Comment 0 0 0 11 0 1 1 106
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 1 3 3 30
Dating the timeline of financial bubbles during the subprime crisis 0 0 1 97 1 7 13 320
Detecting bubbles in Hong Kong residential property market 0 0 1 44 2 5 13 217
Deviance Information Criterion for Comparing Stochastic Volatility Models 0 0 0 0 1 5 5 569
Deviance information criterion for latent variable models and misspecified models 0 0 0 20 2 4 7 106
Do Stock Returns Follow a Finite Variance Distribution? 0 0 0 25 1 1 2 199
Double asymptotics for explosive continuous time models 0 0 0 12 0 1 3 70
ECONOMETRIC ANALYSIS OF CONTINUOUS TIME MODELS: A SURVEY OF PETER PHILLIPS’S WORK AND SOME NEW RESULTS 0 0 0 11 1 1 4 69
EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION 0 0 0 34 1 3 3 156
EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES? 0 0 0 0 4 6 12 704
Editorial 0 0 0 2 17 18 20 73
Empirical Characteristic Function Estimation and Its Applications 0 0 1 293 3 7 11 708
Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method 0 0 1 4 0 1 3 29
Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks* 0 0 0 2 0 1 1 10
Forecasting Realized Volatility Using a Nonnegative Semiparametric Model 0 0 0 2 1 5 6 28
Forecasting volatility in the New Zealand stock market 0 0 0 246 0 0 0 713
Fractional Gaussian Noise: Spectral Density and Estimation Methods 0 0 0 0 3 3 3 3
Fractional stochastic volatility model 0 0 0 0 1 2 5 5
Housing equity and household consumption in retirement: evidence from the Singapore Life Panel© 0 0 0 0 1 2 5 12
Improved marginal likelihood estimation via power posteriors and importance sampling 0 0 0 6 3 4 7 31
In-fill asymptotic theory for structural break point in autoregressions 0 0 0 0 3 5 7 12
Indirect inference for dynamic panel models 0 0 0 213 1 3 7 538
Inference in continuous systems with mildly explosive regressors 0 0 0 8 1 2 3 66
Information loss in volatility measurement with flat price trading 0 0 0 1 3 12 18 27
Jackknifing Bond Option Prices 0 0 0 81 1 2 3 298
Latent local-to-unity models 0 0 0 1 0 2 5 8
Limit theory for an explosive autoregressive process 0 0 0 8 3 4 8 71
Local powers of least‐squares‐based test for panel fractional Ornstein–Uhlenbeck process 0 0 0 0 7 7 7 7
Maximum Likelihood Estimation for the Fractional Vasicek Model 0 0 0 4 0 2 3 29
Maximum likelihood estimation of partially observed diffusion models 0 0 0 10 2 2 6 99
Mildly Explosive Autoregression with Anti‐persistent Errors 0 0 0 3 2 4 6 19
Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process 0 2 4 20 5 13 19 56
Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison 0 0 1 63 1 2 7 229
Multivariate Stochastic Volatility: A Review 0 0 1 131 3 8 12 356
Multivariate stochastic volatility models based on generalized Fisher transformation 0 3 3 3 5 13 15 15
New distribution theory for the estimation of structural break point in mean 0 0 0 12 2 3 3 49
New methodology for constructing real estate price indices applied to the Singapore residential market 1 2 5 27 1 2 11 131
On leverage in a stochastic volatility model 0 1 1 261 1 7 15 574
On stiffness in affine asset pricing models 0 0 0 0 0 1 2 2
On the optimal forecast with the fractional Brownian motion 0 0 1 6 1 1 7 18
On the spectral density of fractional Ornstein–Uhlenbeck processes 0 0 0 0 1 3 9 10
Optimal jackknife for unit root models 0 0 1 2 0 0 2 25
Posterior-based Wald-type statistics for hypothesis testing 0 0 1 4 2 5 8 21
Random coefficient continuous systems: Testing for extreme sample path behavior 0 0 0 5 0 2 5 58
Realized Daily Variance of S&P 500 Cash Index: A Revaluation of Stylized Facts 0 0 1 27 3 8 16 298
Robust testing for explosive behavior with strongly dependent errors 0 1 2 3 2 7 10 19
SPECIAL ISSUE OF ECONOMETRIC THEORY ON SETA 2010: EDITORS’ INTRODUCTION 0 0 0 9 1 1 2 61
Self-Exciting Jumps, Learning, and Asset Pricing Implications 0 0 0 23 0 0 4 108
Simulation-Based Estimation of Contingent-Claims Prices 0 0 1 29 1 3 6 107
Single-cell and spatially resolved omics reveal transcriptional and metabolic signatures of ovarian endometriomas 0 0 0 0 0 0 0 0
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour 0 0 0 34 1 3 5 137
Specification tests based on MCMC output 0 0 0 1 1 5 5 44
TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500 4 9 20 49 10 27 72 192
TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL‐TIME DETECTORS 0 1 5 11 1 9 23 53
Temporal aggregation and risk-return relation 0 0 0 14 3 4 5 75
Testing the expectations theory of the term structure for New Zealand 0 0 0 11 2 3 3 44
The Grid Bootstrap for Continuous Time Models 0 0 0 2 3 5 8 20
The time-varying zone-like and asymmetric preference of central banks: Evidence from China 0 0 0 0 12 12 12 12
Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method 0 0 0 101 1 2 4 237
Volatility Puzzle: Long Memory or Antipersistency 0 0 2 9 0 4 12 32
Total Journal Articles 5 19 54 2,366 211 394 662 11,930

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 0 2 4 5
Deviance Information Criterion for Comparing VAR Models 0 0 1 2 1 7 12 39
Information loss in volatility measurement with flat price trading 0 0 0 0 2 4 6 6
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance 0 0 0 0 0 1 1 1
Model Selection for Explosive Models 0 0 0 1 0 3 5 28
Nonparametric and Probabilistic Classification Using NN-balls with Environmental and Remote Sensing Applications 0 0 0 0 1 1 1 1
Simulated maximum likelihood estimation of continuous time stochastic volatility models 0 0 0 1 1 1 3 6
Total Chapters 0 0 2 5 5 19 32 86
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