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 1 20 0 0 2 92
A Class of Nonlinear Stochastic Volatility Models 0 1 1 3 0 1 3 26
A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options 0 0 0 484 0 0 5 1,184
A Conversation with Eric Ghysels Co-President of the Society for Financial Econometrics 0 0 0 16 0 0 2 97
A New Bayesian Unit Root Test in Stochastic Volatility Models 0 0 0 37 0 0 0 100
A New Bayesian Unit Root Test in Stochastic Volatility Models 0 0 0 50 1 1 1 247
A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market 0 0 0 30 0 0 2 124
A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market 0 0 0 39 1 1 2 98
A New Wald Test for Hypothesis Testing Based on MCMC outputs 0 0 0 41 0 0 1 30
A Panel Clustering Approach to Analyzing Bubble Behavior 0 0 4 61 0 0 11 51
A Panel Clustering Approach to Analyzing Bubble Behavior 0 1 3 15 3 7 11 33
A Posterior-Based Wald-Type Statistic for Hypothesis Testing 0 0 0 35 0 0 0 50
A Quantile-based Asset Pricing Model 0 0 1 65 0 1 3 88
A Semiparametric Stochastic Volatility Model 0 0 1 7 0 0 1 48
A Specification Test based on the MCMC Output 0 0 0 19 0 0 2 88
A Test Statistic and Its Application in Modelling Daily Stock Returns 0 0 0 0 0 0 1 16
A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete 0 0 0 9 0 0 2 78
A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations 0 0 1 243 0 0 2 608
Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility 0 0 0 87 0 0 0 258
Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes 0 0 0 18 0 0 2 76
Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes 0 0 1 23 0 0 3 75
Asymptotic Properties of Least Squares Estimator in Local to Unity Processes with Fractional Gaussian Noises 0 0 2 21 1 1 4 25
Asymptotic Theory for Estimating Drift Parameters in the Fractional Vasicek Model 0 1 2 25 1 2 4 40
Asymptotic Theory for Estimating the Persistent Parameter in the Fractional Vasicek Model 0 0 0 47 0 0 1 19
Asymptotic Theory for Rough Fractional Vasicek Models 0 0 0 44 0 0 1 90
Automated Likelihood Based Inference for Stochastic Volatility Models 0 0 0 27 0 0 2 108
Automated Likelihood Based Inference for Stochastic Volatility Models 0 0 1 2 0 0 2 38
Automated Likelihood Based Inference for Stochastic Volatility Models 0 0 0 0 0 0 0 36
BUGS for a Bayesian Analysis of Stochastic Volatility Models 0 0 0 12 0 1 5 57
Bayesian Analysis of Bubbles in Asset Prices 0 0 0 64 0 0 1 102
Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises 0 0 0 9 0 0 2 73
Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises 0 0 0 17 0 0 0 136
Bayesian Hypothesis Testing in Latent Variable Models 0 0 1 44 0 0 2 178
Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility 1 1 1 3 1 1 2 17
Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility 0 0 0 46 0 1 2 221
Bias in Estimating Multivariate and Univariate Diffusions 0 0 0 43 0 0 1 189
Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models 0 0 0 11 0 0 0 116
Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models 0 0 0 26 0 0 1 155
Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models 0 0 0 3 1 1 2 61
Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Levy Processes 0 0 0 45 0 0 1 50
Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Lévy Processes 0 0 0 44 0 0 2 115
Bubble Testing under Deterministic Trends 0 0 1 31 0 0 3 64
Comment on “Realized Variance and Market Microstructure Noise†by Peter R. Hansen and Asger Lunde 0 0 0 0 0 0 1 103
Comment on “Realized Variance and Market Microstructure Noise” by Peter R. Hansen and Asger Lunde 0 0 0 90 1 1 2 312
Comments on “A selective overview of nonparametric methods in financial econometrics†0 0 0 2 0 0 2 97
Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan 0 0 0 42 0 0 2 179
Corrigendum to “A Gaussian Approach for Continuous Time Models of the Short Term Interest Rate" 0 0 0 28 0 0 1 69
Dating the Timeline of Financial Bubbles During the Subprime Crisis 0 0 1 18 1 1 4 91
Dating the Timeline of Financial Bubbles During the Subprime Crisis 0 0 0 45 0 1 5 235
Dating the Timeline of Financial Bubbles During the Subprime Crisis 0 0 0 167 0 0 1 431
Dating the Timeline of Financial Bubbles during the Subprime Crisis 0 0 0 296 0 0 1 954
Detecting Bubbles in Hong Kong Residential Property Market 0 0 0 70 2 2 7 242
Detecting Bubbles in Hong Kong Residential Property Market 0 0 1 13 0 0 1 47
Deviance Information Criterion as a Model Comparison Criterion for Stochastic Volatility Models 0 0 1 8 0 0 3 53
Deviance Information Criterion for Bayesian Model Selection: Justification and Variation 0 0 1 26 4 8 19 93
Deviance Information Criterion for Comparing VAR Models 0 0 1 109 0 0 2 80
Different Strokes for Different Folks: Long Memory and Roughness 0 0 0 18 0 0 1 13
Do Topics Diffuse from Core to Periphery Journals? 0 0 0 3 0 1 4 35
Double Asymptotics for Explosive Continuous Time Models 0 0 0 41 0 0 0 94
Double Asymptotics for an Explosive Continuous Time Model 0 0 1 11 0 0 3 51
Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results 0 0 0 4 0 2 3 56
Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results 0 0 0 82 0 1 3 135
Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips’ Work and Some New Results 0 0 0 19 0 0 5 118
Econometric Methods and Data Science Techniques: A Review of Two Strands of Literature and an Introduction to Hybrid Methods 1 2 4 102 1 3 11 80
Efficient Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method 0 0 0 4 0 0 1 20
Empirical Characteristic Function in Time Series Estimation 1 1 1 7 1 1 5 46
Estimating the GARCH Diffusion: Simulated Maximum Likelihood in Continuous Time 0 0 0 34 0 0 1 79
Estimation and Inference of Fractional Continuous-Time Model with Discrete-Sampled Data 0 0 0 25 0 0 0 35
Estimation of Hyperbolic Diffusion Using MCMC Method 0 0 0 198 0 0 0 673
Estimation of Hyperbolic Diffusion using MCMC Method 0 0 0 1 0 0 3 36
Estimation of a Self-Exciting Poisson Jump Diffusion Model by the Empirical Characteristic Function Method 0 0 0 6 0 0 1 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 0 1 24
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 0 1 11 1 1 5 80
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 0 4 156 0 0 7 386
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 0 1 32 0 0 3 177
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 1 3 282 1 2 15 958
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 0 1 78 0 0 5 328
FORECASTING REALIZED VOLATILITY USING A NONNEGATIVE SEMIPARAMETRIC MODEL 0 0 0 3 0 1 3 35
Finite Sample Comparison of Alternative Estimators for Fractional Gaussian Noise 0 1 3 13 2 3 8 23
Forecast combinations in machine learning 0 3 10 141 1 5 22 239
Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks 0 0 0 70 1 1 2 122
Forecasting Realized Volatility Using A Nonnegative Semiparametric Model 0 0 0 50 0 0 0 93
Forecasting Realized Volatility Using A Nonnegative Semiparametric Model 0 0 0 12 0 0 1 105
Forecasting Singapore GDP using the SPF data 0 0 0 20 1 1 2 38
Forecasting Volatility in the New Zealand Stock Market 0 0 1 7 0 0 5 46
Forecasting Volatility:Evidence from the German Stock Market 0 0 2 10 0 4 12 77
Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate 0 0 0 331 0 0 4 1,014
Housing Equity and Household Consumption in Retirement: Evidence from the Singapore Life Panel 0 0 0 29 0 0 0 79
Improved Marginal Likelihood Estimation via Power Posteriors and Importance Sampling 0 0 0 35 0 0 2 40
In-fill Asymptotic Theory for Structural Break Point in Autoregression: A Unified Theory 0 0 0 36 2 3 6 65
Indirect Inference for Dynamic Panel Models 0 0 0 17 0 0 1 116
Indirect Inference for Dynamic Panel Models 0 0 1 324 0 0 4 832
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 97 0 0 2 592
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 41 0 0 1 165
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 34 0 0 1 155
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 2 0 0 1 45
Integrated Deviance Information Criterion for Latent Variable Models 0 0 2 42 0 0 4 78
Investigating Impacts of Self-Exciting Jumps in Returns and Volatility: A Bayesian Learning Approach 0 0 0 18 0 0 2 89
Jackknifing Bond Option Prices 0 0 0 459 0 0 2 1,618
Jackknifing Bond Option Prices 0 0 0 52 0 0 1 280
Jacknifing Bond Option Prices 0 0 0 1 0 0 3 41
Latent Local-to-Unity Models 0 0 0 21 0 0 0 36
Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods in Time Series Data 0 0 1 21 0 1 5 86
Limit Theory for an Explosive Autoregressive Process 0 0 0 45 0 0 3 88
Local Powers of Least-Squares-Based Test for Panel Fractional Ornstein-Uhlenbeck Process 0 0 0 29 1 1 1 15
MCMC Methods for Estimating Stochastic Volatility Models with Liverage Effects: Comments on Jacquier, Polson and Rossi (2002) 0 0 1 10 0 0 1 29
Maximum Likelihood Estimation for the Fractional Vasicek Model 2 2 6 81 3 5 12 163
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance 0 0 0 15 0 1 2 97
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance 0 0 0 518 0 0 2 1,813
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance 0 0 0 2 0 0 1 47
Measurement and High Finance 0 0 0 22 0 0 1 66
Mild-explosive and Local-to-mild-explosive Autoregressions with Serially Correlated Errors 0 0 0 25 0 0 1 32
Model Selection for Explosive Models 0 0 0 22 1 1 3 24
Model Selection for Explosive Models 0 0 0 1 1 1 2 6
Multivariate Stochastic Volatility 0 0 0 35 0 1 3 186
Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison 0 0 0 330 0 0 3 718
On Bias in the Estimation of Structural Break Points 0 0 0 32 1 2 2 42
On Leverage in a Stochastic Volatility Model 0 0 0 1 0 0 0 451
On Leverage in a Stochastic Volatility Model 0 0 0 126 0 0 0 352
On leverage in a stochastic volatility model 0 0 0 0 0 0 4 320
On the Optimal Forecast with the Fractional Brownian Motion 0 2 7 32 0 4 12 22
Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models 0 0 0 43 0 0 0 88
Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models 0 0 0 15 0 0 0 68
Persistent and Rough Volatility 0 0 2 81 0 1 9 181
Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour 0 0 0 7 0 0 1 55
Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour 0 0 0 23 0 0 1 70
Robust Deviance Information Criterion for Latent Variable Models 0 1 1 55 0 1 5 208
Robust Deviance Information Criterion for Latent Variable Models 0 0 0 2 0 0 0 27
Robust Testing for Explosive Behavior with Strongly Dependent Errors 0 0 0 41 0 0 7 17
Robust Testing for Explosive Behavior with Strongly Dependent Errors 0 0 2 4 0 0 4 14
Shrinkage Estimation of Covariance Matrix for Portfolio Choice with High Frequency Data 0 0 0 23 0 0 2 37
Simulated Maximum Likelihood Estimation for Latent Diffusion Models 0 1 1 19 0 1 3 82
Simulated Maximum Likelihood Estimation for Latent Diffusion Models 0 0 0 34 0 1 1 85
Simulated Maximum Likelihood Estimation for Latent Diffusion Models 0 0 0 2 0 0 0 31
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 0 0 171
Simulation-based Estimation of Contingent Claims Prices 0 0 0 4 0 0 1 57
Simulation-based Estimation of Contingent-claims Prices 0 0 0 171 0 0 2 612
Simulation-based Estimation of Contingent-claims Prices 0 0 0 5 1 1 3 84
Speci cation Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 0 2 1 1 2 38
Speci fication Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles 0 0 0 35 0 1 4 102
Specification Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles 0 0 0 117 0 0 2 282
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 0 78 0 0 2 297
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 0 22 0 0 1 117
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 0 47 0 0 1 152
SpeciÖcation Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles 0 0 0 3 0 0 1 23
Stimulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models 1 1 1 19 1 1 1 85
Temporal Aggregation and Risk-Return Relation 0 0 0 15 0 0 1 70
Testing for Multiple Bubbles 0 0 1 189 1 4 9 497
Testing for Multiple Bubbles 0 0 0 242 0 0 2 783
Testing for Multiple Bubbles 0 0 2 11 0 1 4 53
Testing for Multiple Bubbles 0 0 0 105 1 2 4 349
Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500 0 1 2 295 4 6 11 470
Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors 0 0 0 117 0 1 4 239
Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors 0 0 0 37 1 1 2 73
Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500 0 0 7 327 3 6 35 787
Testing for Multiple Bubbles: Limit Theory of Real Time Detectors 1 1 2 119 1 4 11 429
Testing for an Explosive Bubble using High-Frequency Volatility 1 1 1 1 3 3 3 3
The Grid Bootstrap for Continuous Time Models 0 0 0 35 0 0 3 62
Weak Identification of Long Memory with Implications for Inference 0 0 1 121 0 4 10 108
Weak Identification of Long Memory with Implications for Inference 0 0 2 7 0 1 6 11
Total Working Papers 8 22 101 9,687 52 118 527 29,335
3 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 0 126
A Gaussian approach for continuous time models of the short-term interest rate 0 0 0 14 0 0 2 432
A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR 0 0 1 1 0 2 6 6
A class of nonlinear stochastic volatility models and its implications for pricing currency options 0 0 0 37 0 0 1 174
A flexible and automated likelihood based framework for inference in stochastic volatility models 0 0 0 4 0 0 0 33
A new approach to Bayesian hypothesis testing 0 0 0 29 0 1 2 134
A semiparametric stochastic volatility model 0 0 0 41 0 0 1 127
A two-stage realized volatility approach to estimation of diffusion processes with discrete data 0 0 0 32 0 0 1 129
ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL 0 0 0 3 0 0 1 24
An Improved Bayesian Unit Root Test in Stochastic Volatility Models 0 0 0 6 0 0 1 46
Asymptotic theory for linear diffusions under alternative sampling schemes 0 0 0 3 0 0 4 40
Asymptotic theory for rough fractional Vasicek models 0 0 0 0 1 1 2 52
BUGS for a Bayesian analysis of stochastic volatility models 0 0 0 32 1 1 1 1,257
Bayesian Analysis of Bubbles in Asset Prices 0 0 0 7 0 0 2 51
Bayesian analysis of structural credit risk models with microstructure noises 0 0 0 26 0 0 2 115
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 2 109
Bias in the estimation of mean reversion in continuous-time Lévy processes 0 0 0 3 0 0 0 29
Bias in the estimation of the mean reversion parameter in continuous time models 0 0 0 65 0 0 1 364
Bubble testing under polynomial trends 0 0 0 0 0 0 0 0
Comment 0 0 1 10 0 0 2 101
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 0 94 0 0 9 298
Detecting bubbles in Hong Kong residential property market 0 1 3 42 1 2 10 201
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 2 20 1 1 7 97
Do Stock Returns Follow a Finite Variance Distribution? 0 0 0 25 0 0 0 195
Double asymptotics for explosive continuous time models 0 0 1 12 0 0 3 67
ECONOMETRIC ANALYSIS OF CONTINUOUS TIME MODELS: A SURVEY OF PETER PHILLIPS’S WORK AND SOME NEW RESULTS 0 1 1 11 0 1 3 64
EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION 0 0 1 32 0 0 3 149
EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES? 0 0 0 0 1 2 16 686
Editorial 0 0 0 2 0 0 0 50
Empirical Characteristic Function Estimation and Its Applications 1 1 1 292 1 1 1 697
Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method 0 0 0 3 0 0 0 26
Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks* 0 0 1 2 0 1 5 8
Forecasting Realized Volatility Using a Nonnegative Semiparametric Model 0 0 0 2 0 0 0 21
Forecasting volatility in the New Zealand stock market 0 0 0 246 0 0 0 713
Housing equity and household consumption in retirement: evidence from the Singapore Life Panel© 0 0 0 0 0 0 1 7
Improved marginal likelihood estimation via power posteriors and importance sampling 0 0 5 6 0 1 13 17
In-fill asymptotic theory for structural break point in autoregressions 0 0 0 0 1 1 2 5
Indirect inference for dynamic panel models 1 1 1 212 1 4 6 529
Inference in continuous systems with mildly explosive regressors 2 2 2 8 2 2 5 63
Information loss in volatility measurement with flat price trading 0 0 0 0 1 2 5 5
Jackknifing Bond Option Prices 0 0 0 81 0 1 2 293
Latent local-to-unity models 0 0 1 1 1 1 3 3
Limit theory for an explosive autoregressive process 0 0 1 8 1 1 3 62
Maximum Likelihood Estimation for the Fractional Vasicek Model 0 0 0 4 0 0 1 21
Maximum likelihood estimation of partially observed diffusion models 0 0 1 10 0 0 2 91
Mildly Explosive Autoregression with Anti‐persistent Errors 0 0 0 3 0 0 2 12
Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process 0 0 8 11 1 2 19 28
Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison 0 0 0 62 1 1 1 220
Multivariate Stochastic Volatility: A Review 0 1 3 126 1 3 7 338
New distribution theory for the estimation of structural break point in mean 0 0 1 12 0 0 2 45
New methodology for constructing real estate price indices applied to the Singapore residential market 1 1 1 21 2 3 9 116
On leverage in a stochastic volatility model 0 0 2 260 0 0 6 558
On the optimal forecast with the fractional Brownian motion 0 0 0 0 3 3 3 3
Optimal jackknife for unit root models 0 0 0 1 0 0 0 23
Posterior-based Wald-type statistics for hypothesis testing 0 0 3 3 1 1 8 13
Random coefficient continuous systems: Testing for extreme sample path behavior 0 0 0 5 0 0 3 51
Realized Daily Variance of S&P 500 Cash Index: A Revaluation of Stylized Facts 0 0 0 25 0 0 2 279
Robust testing for explosive behavior with strongly dependent errors 0 0 0 0 1 1 3 3
SPECIAL ISSUE OF ECONOMETRIC THEORY ON SETA 2010: EDITORS’ INTRODUCTION 0 0 0 9 0 0 1 59
Self-Exciting Jumps, Learning, and Asset Pricing Implications 0 0 1 23 0 0 4 101
Simulation-Based Estimation of Contingent-Claims Prices 0 0 0 28 0 0 1 101
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour 0 1 3 34 0 1 8 131
Specification tests based on MCMC output 0 0 0 1 0 0 1 38
TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500 1 5 11 17 12 24 49 80
TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL‐TIME DETECTORS 0 1 1 5 2 6 9 26
Temporal aggregation and risk-return relation 0 0 1 14 0 0 1 69
Testing the expectations theory of the term structure for New Zealand 0 0 0 11 0 0 1 41
The Grid Bootstrap for Continuous Time Models 0 0 1 2 0 0 8 11
Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method 0 0 0 101 0 0 1 232
Volatility Puzzle: Long Memory or Antipersistency 0 0 4 4 0 1 10 10
Total Journal Articles 6 15 63 2,265 37 72 290 11,076


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 0 1 1
Deviance Information Criterion for Comparing VAR Models 0 0 0 0 0 0 1 26
Model Selection for Explosive Models 0 0 0 1 0 0 0 22
Simulated maximum likelihood estimation of continuous time stochastic volatility models 1 1 1 1 1 1 2 2
Total Chapters 1 1 1 2 1 1 4 51
3 registered items for which data could not be found


Statistics updated 2024-06-06