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 0 10 106
A Class of Nonlinear Stochastic Volatility Models 0 0 0 3 1 1 7 39
A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options 0 0 0 484 0 0 18 1,207
A Conversation with Eric Ghysels Co-President of the Society for Financial Econometrics 0 0 0 16 0 2 10 110
A New Bayesian Unit Root Test in Stochastic Volatility Models 0 0 0 37 0 0 3 105
A New Bayesian Unit Root Test in Stochastic Volatility Models 0 0 0 50 0 1 9 256
A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market 0 0 2 41 0 1 19 118
A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market 0 0 3 33 1 1 21 148
A New Wald Test for Hypothesis Testing Based on MCMC outputs 0 0 0 41 2 3 9 39
A Note on AIC and TIC for Model Selection 0 0 4 16 2 7 46 66
A Panel Clustering Approach to Analyzing Bubble Behavior 0 0 0 18 0 0 25 65
A Panel Clustering Approach to Analyzing Bubble Behavior 0 0 0 62 0 0 14 90
A Posterior-Based Wald-Type Statistic for Hypothesis Testing 0 0 0 35 0 0 16 70
A Quantile-based Asset Pricing Model 0 0 1 66 0 1 15 113
A Semiparametric Stochastic Volatility Model 0 0 0 7 1 1 9 57
A Specification Test based on the MCMC Output 0 0 0 19 0 0 8 96
A Test Statistic and Its Application in Modelling Daily Stock Returns 0 0 0 0 1 1 7 25
A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete 0 0 0 9 0 0 13 91
A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations 0 0 0 243 2 2 11 620
Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility 0 0 0 87 0 0 12 275
Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes 0 0 0 23 0 0 4 81
Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes 0 0 0 18 0 2 12 89
Asymptotic Properties of Least Squares Estimator in Local to Unity Processes with Fractional Gaussian Noises 0 0 0 21 2 3 7 33
Asymptotic Theory for Estimating Drift Parameters in the Fractional Vasicek Model 0 0 1 28 0 1 16 61
Asymptotic Theory for Estimating the Persistent Parameter in the Fractional Vasicek Model 0 0 0 47 0 1 9 28
Asymptotic Theory for Rough Fractional Vasicek Models 0 0 0 44 0 1 15 109
Automated Likelihood Based Inference for Stochastic Volatility Models 0 0 1 3 1 2 7 57
Automated Likelihood Based Inference for Stochastic Volatility Models 0 0 0 27 0 0 6 117
Automated Likelihood Based Inference for Stochastic Volatility Models 0 0 1 1 0 1 22 61
BUGS for a Bayesian Analysis of Stochastic Volatility Models 0 0 0 12 2 2 13 75
Bayesian Analysis of Bubbles in Asset Prices 0 0 0 64 1 1 28 133
Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises 0 0 0 17 0 2 13 151
Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises 0 0 1 11 0 0 5 84
Bayesian Hypothesis Testing in Latent Variable Models 0 0 0 45 1 2 16 196
Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility 0 0 0 46 0 1 7 231
Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility 0 0 0 5 0 2 11 32
Bias in Estimating Multivariate and Univariate Diffusions 0 0 0 43 1 3 11 202
Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models 0 0 0 11 1 1 7 125
Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models 0 1 1 27 0 2 21 177
Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models 0 0 0 3 2 3 12 74
Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Levy Processes 0 0 0 45 0 0 10 62
Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Lévy Processes 0 0 0 44 0 1 9 126
Boosting Store Sales Through Ensemble Learning-Informed Promotional Decisions 0 0 4 11 1 1 22 39
Bubble Testing under Deterministic Trends 0 0 0 32 0 0 7 75
Comment on “Realized Variance and Market Microstructure Noise†by Peter R. Hansen and Asger Lunde 0 0 0 0 0 0 2 106
Comment on “Realized Variance and Market Microstructure Noise” by Peter R. Hansen and Asger Lunde 0 0 0 92 0 2 12 329
Comments on “A selective overview of nonparametric methods in financial econometrics†0 0 0 2 1 1 9 110
Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan 0 0 0 42 1 1 7 188
Corrigendum to “A Gaussian Approach for Continuous Time Models of the Short Term Interest Rate" 0 0 0 28 0 0 10 79
Dating the Timeline of Financial Bubbles During the Subprime Crisis 0 0 0 45 0 4 18 258
Dating the Timeline of Financial Bubbles During the Subprime Crisis 0 0 0 18 6 7 17 113
Dating the Timeline of Financial Bubbles During the Subprime Crisis 0 0 0 168 2 2 8 441
Dating the Timeline of Financial Bubbles during the Subprime Crisis 0 0 0 297 2 2 50 1,009
Detecting Bubbles in Hong Kong Residential Property Market 0 0 0 13 0 0 8 55
Detecting Bubbles in Hong Kong Residential Property Market 0 0 0 70 0 1 11 255
Deviance Information Criterion as a Model Comparison Criterion for Stochastic Volatility Models 0 0 0 8 1 1 12 67
Deviance Information Criterion for Bayesian Model Selection: Justification and Variation 0 0 0 28 2 5 24 127
Deviance Information Criterion for Comparing VAR Models 0 0 0 109 0 0 8 88
Deviance Information Criterion for Model Selection:Theoretical Justification and Applications 0 3 6 10 3 12 38 61
Different Strokes for Different Folks: Long Memory and Roughness 0 0 1 20 2 2 13 27
Do Topics Diffuse from Core to Periphery Journals? 0 0 0 4 1 1 6 46
Double Asymptotics for Explosive Continuous Time Models 0 0 0 41 0 0 9 105
Double Asymptotics for an Explosive Continuous Time Model 0 0 0 11 1 1 7 61
Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results 0 0 0 4 0 0 9 66
Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results 0 0 0 83 1 1 9 146
Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips’ Work and Some New Results 1 1 1 20 1 2 16 147
Econometric Methods and Data Science Techniques: A Review of Two Strands of Literature and an Introduction to Hybrid Methods 0 0 1 107 1 1 14 102
Efficient Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method 1 1 1 9 3 3 13 38
Empirical Characteristic Function in Time Series Estimation 0 0 0 10 4 4 23 75
Estimating the GARCH Diffusion: Simulated Maximum Likelihood in Continuous Time 0 0 0 34 0 0 7 86
Estimation and Inference of Fractional Continuous-Time Model with Discrete-Sampled Data 0 0 1 26 0 0 7 44
Estimation of Hyperbolic Diffusion Using MCMC Method 0 0 0 198 0 1 13 687
Estimation of Hyperbolic Diffusion using MCMC Method 0 0 1 2 1 1 14 52
Estimation of a Self-Exciting Poisson Jump Diffusion Model by the Empirical Characteristic Function Method 0 0 1 7 1 1 16 37
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 1 1 13 38
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 0 0 32 3 3 12 191
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 0 2 80 2 5 30 366
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 0 0 11 2 2 10 91
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 1 1 2 290 3 5 21 996
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 1 1 2 158 1 4 21 415
FORECASTING REALIZED VOLATILITY USING A NONNEGATIVE SEMIPARAMETRIC MODEL 0 0 0 3 4 4 13 50
Finite Sample Comparison of Alternative Estimators for Fractional Gaussian Noise 0 0 0 13 0 0 7 52
Forecast combinations in machine learning 0 0 1 145 0 0 10 265
Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks 0 0 1 71 0 2 12 138
Forecasting Realized Volatility Using A Nonnegative Semiparametric Model 0 0 0 50 0 1 12 108
Forecasting Realized Volatility Using A Nonnegative Semiparametric Model 0 0 0 12 1 1 12 119
Forecasting Singapore GDP using the SPF data 0 1 1 22 0 1 10 58
Forecasting Volatility in the New Zealand Stock Market 0 0 0 9 2 3 17 70
Forecasting Volatility:Evidence from the German Stock Market 0 0 0 13 0 0 12 104
Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate 0 0 0 331 1 1 17 1,033
Housing Equity and Household Consumption in Retirement: Evidence from the Singapore Life Panel 0 0 0 29 2 2 11 93
Improved Marginal Likelihood Estimation via Power Posteriors and Importance Sampling 0 0 0 35 0 0 11 52
In-fill Asymptotic Theory for Structural Break Point in Autoregression: A Unified Theory 0 0 0 36 0 0 4 72
Indirect Inference for Dynamic Panel Models 0 0 0 324 0 1 70 902
Indirect Inference for Dynamic Panel Models 0 0 0 17 0 0 6 125
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 41 0 0 3 170
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 2 0 0 8 53
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 97 0 2 9 601
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 34 1 2 11 169
Integrated Deviance Information Criterion for Latent Variable Models 0 0 0 42 0 1 9 88
Investigating Impacts of Self-Exciting Jumps in Returns and Volatility: A Bayesian Learning Approach 0 0 0 18 0 1 16 107
Jackknifing Bond Option Prices 0 0 0 52 0 0 7 289
Jackknifing Bond Option Prices 0 0 0 459 3 3 14 1,634
Latent Local-to-Unity Models 0 0 0 21 0 1 24 61
Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods in Time Series Data 0 0 0 21 0 0 4 91
Limit Theory for an Explosive Autoregressive Process 0 0 0 46 0 0 11 100
Local Powers of Least-Squares-Based Test for Panel Fractional Ornstein-Uhlenbeck Process 0 0 0 29 1 1 6 22
MCMC Methods for Estimating Stochastic Volatility Models with Liverage Effects: Comments on Jacquier, Polson and Rossi (2002) 0 0 0 10 1 1 10 42
Maximum Likelihood Estimation for the Fractional Vasicek Model 0 0 1 86 0 1 16 189
Maximum Likelihood Estimation of Fractional Ornstein-Uhlenbeck Process with Discretely Sampled Data 0 0 11 35 3 8 60 103
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance 0 0 0 15 1 1 11 108
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance 0 0 0 518 1 1 9 1,822
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance 0 0 0 2 1 1 9 56
Measurement and High Finance 0 0 0 22 0 1 6 72
Mild-explosive and Local-to-mild-explosive Autoregressions with Serially Correlated Errors 0 0 0 25 1 1 5 38
Model Selection for Explosive Models 0 0 0 1 1 1 6 13
Model Selection for Explosive Models 0 0 0 22 1 1 11 38
Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion 0 1 4 22 0 4 50 66
Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion 0 0 0 24 1 1 14 24
Multivariate Stochastic Volatility 0 0 0 36 0 0 21 210
Multivariate Stochastic Volatility Model with Block Correlations 0 2 15 15 2 6 12 12
Multivariate Stochastic Volatility Models based on Generalized Fisher Transformation 0 0 1 10 1 1 15 41
Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison 0 0 0 330 0 1 17 736
On Bias in the Estimation of Structural Break Points 0 0 0 32 0 0 9 51
On Leverage in a Stochastic Volatility Model 0 0 0 126 0 0 17 370
On Leverage in a Stochastic Volatility Model 0 0 0 1 0 0 10 464
On leverage in a stochastic volatility model 0 0 0 0 2 2 15 338
On the Optimal Forecast with the Fractional Brownian Motion 0 0 1 35 2 2 13 39
On the Spectral Density of Fractional Ornstein-Uhlenbeck Processes 0 0 2 25 1 2 26 48
Optimal Estimation for General Gaussian Processed 0 0 3 3 0 0 35 35
Optimal Estimation for General Gaussian Processes 0 0 4 4 1 1 16 16
Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models 0 0 0 15 1 1 11 80
Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models 0 0 0 43 0 0 6 94
Persistent and Rough Volatility 0 0 2 86 0 1 17 205
Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour 0 0 0 23 0 1 11 81
Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour 0 0 0 7 0 0 15 70
Realized Volatility Forecasting: Continuous versus Discrete Time Models 0 0 26 26 2 6 112 112
Risk of Predictive Distributions and Bayesian Model Comparison of Misspecified Models 0 1 9 9 0 3 34 34
Robust Deviance Information Criterion for Latent Variable Models 0 0 0 3 3 4 9 39
Robust Deviance Information Criterion for Latent Variable Models 0 0 0 56 2 2 15 225
Robust Testing for Explosive Behavior with Strongly Dependent Errors 0 0 0 42 0 1 23 43
Robust Testing for Explosive Behavior with Strongly Dependent Errors 0 0 2 6 1 1 8 25
Shrinkage Estimation of Covariance Matrix for Portfolio Choice with High Frequency Data 0 0 0 23 0 1 9 49
Simulated Maximum Likelihood Estimation for Latent Diffusion Models 0 0 1 35 1 2 8 95
Simulated Maximum Likelihood Estimation for Latent Diffusion Models 0 0 0 19 0 1 6 88
Simulated Maximum Likelihood Estimation for Latent Diffusion Models 0 0 1 3 0 0 9 42
Simulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models 0 0 0 7 0 0 7 58
Simulation-based Estimation Methods for Financial Time Series Models 0 0 0 99 0 0 4 178
Simulation-based Estimation of Contingent Claims Prices 0 0 0 4 0 0 8 67
Simulation-based Estimation of Contingent-claims Prices 0 0 0 5 0 0 11 96
Simulation-based Estimation of Contingent-claims Prices 0 0 0 171 0 0 8 622
Speci cation Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 0 2 0 1 3 44
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 2 8 293
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 0 47 1 1 6 159
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 0 78 1 1 15 313
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 1 23 0 2 9 128
SpeciÖcation Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles 0 1 1 5 0 1 6 30
Stimulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models 0 0 0 19 0 1 8 94
Teaching Financial Econometrics to Students Converting to Finance 0 1 5 38 1 2 25 86
Temporal Aggregation and Risk-Return Relation 0 0 0 15 0 0 6 77
Testing Predictability in the Presence of Persistent Errors 0 0 1 13 2 3 24 53
Testing for Multiple Bubbles 0 1 3 18 2 3 18 78
Testing for Multiple Bubbles 0 0 2 108 0 1 22 379
Testing for Multiple Bubbles 0 1 2 247 1 4 27 819
Testing for Multiple Bubbles 0 1 2 197 2 4 62 591
Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500 0 0 2 300 2 5 25 503
Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors 0 1 1 118 1 3 24 273
Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors 0 0 0 37 0 1 15 93
Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500 0 0 4 334 0 0 93 893
Testing for Multiple Bubbles: Limit Theory of Real Time Detectors 0 0 0 121 0 4 24 458
Testing for an Explosive Bubble using High-Frequency Volatility 0 0 0 16 1 3 19 52
Testing for an Explosive Bubble using High-Frequency Volatility 0 0 2 10 1 2 29 55
The Grid Bootstrap for Continuous Time Models 0 0 0 35 0 0 5 69
The Time-varying Zone-like and Asymmetric Preference of Central Banks: Evidence from China 0 0 2 4 3 3 52 71
Weak Identification of Long Memory with Implications for Inference 0 0 0 122 2 13 39 170
Weak Identification of Long Memory with Implications for Inference 0 0 0 7 2 2 16 32
Total Working Papers 4 19 152 10,113 135 279 2,766 32,998
5 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 15 147
A Gaussian approach for continuous time models of the short-term interest rate 0 0 0 14 0 2 15 448
A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR 0 0 1 6 1 1 19 41
A class of nonlinear stochastic volatility models and its implications for pricing currency options 0 0 0 37 1 1 11 189
A flexible and automated likelihood based framework for inference in stochastic volatility models 0 0 0 4 0 0 6 42
A new approach to Bayesian hypothesis testing 0 0 0 30 0 0 16 151
A semiparametric stochastic volatility model 0 0 0 41 1 1 102 234
A two-stage realized volatility approach to estimation of diffusion processes with discrete data 0 0 0 32 0 0 7 139
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 2 2 9 55
Asymptotic theory for linear diffusions under alternative sampling schemes 0 0 0 3 0 2 12 54
Asymptotic theory for rough fractional Vasicek models 0 0 0 1 0 0 11 67
BUGS for a Bayesian analysis of stochastic volatility models 0 0 0 32 0 1 6 1,267
Bayesian Analysis of Bubbles in Asset Prices 0 0 0 7 0 1 7 62
Bayesian analysis of structural credit risk models with microstructure noises 0 0 0 26 1 2 13 134
Bayesian hypothesis testing in latent variable models 0 0 0 28 0 1 6 188
Bias in estimating multivariate and univariate diffusions 0 1 1 23 0 3 15 124
Bias in the estimation of mean reversion in continuous-time Lévy processes 0 0 0 3 0 3 20 51
Bias in the estimation of the mean reversion parameter in continuous time models 0 0 0 66 1 6 26 393
Bubble testing under polynomial trends 0 0 0 0 0 0 11 11
Comment 0 0 0 11 0 1 6 111
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 9 36
Dating the timeline of financial bubbles during the subprime crisis 0 0 2 99 0 2 22 335
Detecting bubbles in Hong Kong residential property market 0 0 1 45 2 5 26 238
Deviance Information Criterion for Bayesian model selection: Theoretical justification and applications 0 0 0 0 0 1 1 1
Deviance Information Criterion for Comparing Stochastic Volatility Models 0 0 0 0 0 2 14 578
Deviance information criterion for latent variable models and misspecified models 0 0 0 20 2 4 19 121
Do Stock Returns Follow a Finite Variance Distribution? 0 0 0 25 1 1 5 203
Double asymptotics for explosive continuous time models 0 0 0 12 0 0 17 86
ECONOMETRIC ANALYSIS OF CONTINUOUS TIME MODELS: A SURVEY OF PETER PHILLIPS’S WORK AND SOME NEW RESULTS 0 0 0 11 0 0 7 74
EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION 0 0 1 35 0 0 12 165
EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES? 0 0 0 0 4 6 45 742
Empirical Characteristic Function Estimation and Its Applications 0 1 1 294 0 2 16 716
Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method 0 0 0 4 0 0 9 37
Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks* 0 0 0 2 0 2 9 18
Forecasting Realized Volatility Using a Nonnegative Semiparametric Model 0 0 0 2 0 1 15 38
Forecasting volatility in the New Zealand stock market 0 0 0 246 1 2 9 722
Fractional Gaussian Noise: Spectral Density and Estimation Methods 0 1 9 9 0 5 28 28
Fractional stochastic volatility model 1 2 2 2 2 5 16 19
Housing equity and household consumption in retirement: evidence from the Singapore Life Panel© 0 0 1 1 0 0 9 18
Improved marginal likelihood estimation via power posteriors and importance sampling 0 0 0 6 1 1 26 53
In-fill asymptotic theory for structural break point in autoregressions 0 0 0 0 0 1 20 26
Indirect inference for dynamic panel models 0 0 0 213 0 0 11 546
Inference in continuous systems with mildly explosive regressors 0 0 0 8 0 1 5 69
Information loss in volatility measurement with flat price trading 0 0 0 1 2 2 28 43
Jackknifing Bond Option Prices 0 0 0 81 0 2 13 309
Latent local-to-unity models 0 0 0 1 0 1 10 16
Limit theory for an explosive autoregressive process 0 1 1 9 1 2 9 76
Local powers of least‐squares‐based test for panel fractional Ornstein–Uhlenbeck process 0 0 0 0 0 1 18 18
Maximum Likelihood Estimation for the Fractional Vasicek Model 0 0 0 4 0 0 14 41
Maximum likelihood estimation of partially observed diffusion models 0 0 0 10 0 0 13 110
Mildly Explosive Autoregression with Anti‐persistent Errors 0 0 0 3 0 0 10 24
Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process 3 5 8 26 7 24 51 94
Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison 0 0 3 65 3 4 16 242
Multivariate Stochastic Volatility: A Review 0 0 1 132 0 2 17 364
Multivariate stochastic volatility models based on generalized Fisher transformation 0 0 4 4 2 3 28 28
New distribution theory for the estimation of structural break point in mean 0 0 0 12 0 1 11 57
New methodology for constructing real estate price indices applied to the Singapore residential market 0 0 4 29 2 2 19 146
On leverage in a stochastic volatility model 0 0 1 261 1 2 24 590
On stiffness in affine asset pricing models 0 0 0 0 1 1 6 7
On the optimal forecast with the fractional Brownian motion 0 0 1 7 0 0 6 23
On the spectral density of fractional Ornstein–Uhlenbeck processes 0 0 1 1 1 2 24 31
Optimal jackknife for unit root models 0 0 0 2 0 0 7 32
Posterior-based Wald-type statistics for hypothesis testing 0 0 1 4 0 1 23 38
Random coefficient continuous systems: Testing for extreme sample path behavior 0 0 0 5 0 0 16 72
Realized Daily Variance of S&P 500 Cash Index: A Revaluation of Stylized Facts 0 0 2 28 0 1 21 310
Robust testing for explosive behavior with strongly dependent errors 0 0 1 3 0 0 23 34
SPECIAL ISSUE OF ECONOMETRIC THEORY ON SETA 2010: EDITORS’ INTRODUCTION 0 0 0 9 0 0 4 64
Self-Exciting Jumps, Learning, and Asset Pricing Implications 0 0 1 24 0 2 11 119
Simulation-Based Estimation of Contingent-Claims Prices 0 0 0 29 0 0 14 118
Single-cell and spatially resolved omics reveal transcriptional and metabolic signatures of ovarian endometriomas 0 0 0 0 0 0 7 7
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour 0 0 1 35 0 0 15 149
Specification tests based on MCMC output 0 0 0 1 0 0 14 53
Structure of ATTRv-F64S fibrils isolated from skin tissue of a living patient 0 0 10 10 0 2 18 18
TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500 1 2 23 60 5 12 128 289
TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL‐TIME DETECTORS 2 3 6 16 5 16 55 98
Temporal aggregation and risk-return relation 0 0 0 14 2 2 10 81
Testing the expectations theory of the term structure for New Zealand 0 0 0 11 0 2 16 57
The Grid Bootstrap for Continuous Time Models 0 0 0 2 0 1 11 25
The time-varying zone-like and asymmetric preference of central banks: Evidence from China 0 0 0 0 0 2 54 54
Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method 0 0 0 101 1 3 8 243
Volatility Puzzle: Long Memory or Antipersistency 0 0 1 10 1 2 20 48
Weak Identification of Long Memory with Implications for Volatility Modeling 0 0 0 0 0 0 0 0
Total Journal Articles 7 16 89 2,428 54 163 1,478 12,932

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 1 1 2 0 1 9 12
Deviance Information Criterion for Comparing VAR Models 0 0 0 2 1 1 17 49
Information loss in volatility measurement with flat price trading 0 0 0 0 1 5 17 19
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance 0 0 0 0 1 2 6 6
Model Selection for Explosive Models 0 0 0 1 3 3 10 35
Nonparametric and Probabilistic Classification Using NN-balls with Environmental and Remote Sensing Applications 0 0 0 0 3 3 9 9
Simulated maximum likelihood estimation of continuous time stochastic volatility models 0 0 0 1 0 0 6 11
Total Chapters 0 1 1 6 9 15 74 141
3 registered items for which data could not be found
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