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Jun Yu · Study
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Author
Jun Yu
43 works
· latest 2023
· 6 institutions
cluster: provisional
ORCID 0000-0003-2360-5873
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43
Citations
7,362
Works here
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Most cited in this library
EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?*
2009 · 1,130 citations
TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500
2015 · 1,123 citations
Dating the timeline of financial bubbles during the subprime crisis
2011 · 586 citations
Testing for multiple bubbles: limit theory of real-time detectors: Testing for multiple bubbles
2015 · 479 citations
On leverage in a stochastic volatility model
2004 · 411 citations
Works
43 shown
Information loss in volatility measurement with flat price trading
Empirical Economics
·
2023
·
2 authors
·
Open access
33
citations
Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process
Journal of Econometrics
·
2021
·
3 authors
·
Open access
80
citations
Leasing as a Mitigation of Financial Accelerator Effects
European Finance Review
·
2021
·
2 authors
·
Open access
17
citations
Asymptotic theory for rough fractional Vasicek models
Economics Letters
·
2019
·
2 authors
29
citations
ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL
Econometric Theory
·
2018
·
2 authors
62
citations
New distribution theory for the estimation of structural break point in mean
Journal of Econometrics
·
2018
·
3 authors
·
Open access
23
citations
Inference in continuous systems with mildly explosive regressors
Journal of Econometrics
·
2017
·
3 authors
·
Open access
20
citations
Testing for multiple bubbles: limit theory of real-time detectors: Testing for multiple bubbles
ePrints Soton (University of Southampton)
·
2015
·
3 authors
479
citations
TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500
International Economic Review
·
2015
·
3 authors
·
Open access
1,123
citations
Asymptotic theory for linear diffusions under alternative sampling schemes
Economics Letters
·
2015
·
2 authors
·
Open access
18
citations
Limit theory for an explosive autoregressive process
Economics Letters
·
2014
·
2 authors
·
Open access
29
citations
Self-Exciting Jumps, Learning, and Asset Pricing Implications
Review of Financial Studies
·
2014
·
3 authors
99
citations
Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500
RePEc: Research Papers in Economics
·
2013
·
3 authors
·
preprint
257
citations
Detecting bubbles in Hong Kong residential property market
Journal of Asian Economics
·
2013
·
2 authors
162
citations
Specification Sensitivity in Right‐Tailed Unit Root Testing for Explosive Behaviour
Oxford Bulletin of Economics and Statistics
·
2013
·
3 authors
162
citations
Testing for Multiple Bubbles: Limit Theory of Real Time Detectors
SSRN Electronic Journal
·
2013
·
3 authors
·
preprint
·
Open access
61
citations
Bias in the estimation of the mean reversion parameter in continuous time models
Journal of Econometrics
·
2012
·
1 author
79
citations
Testing for Multiple Bubbles
SSRN Electronic Journal
·
2012
·
3 authors
·
preprint
·
Open access
75
citations
Dating the timeline of financial bubbles during the subprime crisis
Quantitative Economics
·
2011
·
2 authors
·
Open access
586
citations
A semiparametric stochastic volatility model
Journal of Econometrics
·
2011
·
1 author
63
citations
Testing for Multiple Bubbles
SSRN Electronic Journal
·
2011
·
3 authors
·
preprint
·
Open access
121
citations
Bias in estimating multivariate and univariate diffusions
Journal of Econometrics
·
2010
·
3 authors
·
Open access
41
citations
Bayesian analysis of structural credit risk models with microstructure noises
Journal of Economic Dynamics and Control
·
2010
·
2 authors
36
citations
Indirect inference for dynamic panel models
Journal of Econometrics
·
2009
·
3 authors
·
Open access
125
citations
Simulation-Based Estimation of Contingent-Claims Prices
Review of Financial Studies
·
2009
·
2 authors
·
Open access
39
citations
EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?*
International Economic Review
·
2009
·
3 authors
·
Open access
1,130
citations
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance
Springer eBooks
·
2009
·
2 authors
·
chapter
91
citations
Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods in Time Series Data
Singapore Management University Institutional Knowledge (InK) (Singapore Management University)
·
2009
·
2 authors
·
report
·
Open access
40
citations
A two-stage realized volatility approach to estimation of diffusion processes with discrete data
Journal of Econometrics
·
2008
·
2 authors
·
Open access
41
citations
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance
RePEc: Research Papers in Economics
·
2007
·
2 authors
·
preprint
33
citations
A class of nonlinear stochastic volatility models and its implications for pricing currency options
Computational Statistics & Data Analysis
·
2006
·
3 authors
·
Open access
46
citations
Multivariate Stochastic Volatility: A Review
Econometric Reviews
·
2006
·
3 authors
375
citations
Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
Econometric Reviews
·
2006
·
2 authors
181
citations
Jackknifing Bond Option Prices
Review of Financial Studies
·
2005
·
2 authors
·
Open access
111
citations
On leverage in a stochastic volatility model
Journal of Econometrics
·
2004
·
1 author
411
citations
Empirical Characteristic Function Estimation and Its Applications
Econometric Reviews
·
2004
·
1 author
178
citations
Deviance Information Criterion for Comparing Stochastic Volatility Models
Journal of Business and Economic Statistics
·
2004
·
2 authors
·
Open access
292
citations
Empirical Characteristic Function Estimation and its Applications
SSRN Electronic Journal
·
2004
·
1 author
·
preprint
·
Open access
33
citations
Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method
Australian & New Zealand Journal of Statistics
·
2002
·
3 authors
·
Open access
45
citations
Forecasting volatility in the New Zealand stock market
Applied Financial Economics
·
2002
·
1 author
·
Open access
219
citations
A Gaussian approach for continuous time models of the short-term interest rate
Econometrics Journal
·
2001
·
2 authors
·
Open access
63
citations
Forecasting Volatility:Evidence from the German Stock Market
Singapore Management University Institutional Knowledge (InK) (Singapore Management University)
·
2001
·
2 authors
·
other
·
Open access
35
citations
BUGS for a Bayesian analysis of stochastic volatility models
Econometrics Journal
·
2000
·
2 authors
·
Open access
219
citations