Jun Yu

Available identifiers

zbMath Open yu.jun.1WikidataQ30071792 ScholiaQ30071792MaRDI QIDQ262830

List of research outcomes

Publication	Date of Publication	Type
A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR	2024-03-27	Paper
Robust testing for explosive behavior with strongly dependent errors	2024-02-13	Paper
Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process	2023-02-01	Paper
Posterior-based Wald-type statistics for hypothesis testing	2022-07-15	Paper
In-fill asymptotic theory for structural break point in autoregressions	2022-03-04	Paper
Deviance Information Criterion for Comparing VAR Models	2020-11-10	Paper
Hypothesis testing, specification testing, and model selection based on the MCMC output using R	2020-08-18	Paper
Simulated maximum likelihood estimation of continuous time stochastic volatility models	2020-07-10	Paper
Deviance information criterion for latent variable models and misspecified models	2020-04-22	Paper
Random coefficient continuous systems: testing for extreme sample path behavior	2019-04-30	Paper
Asymptotic theory for rough fractional Vasicek models	2019-04-18	Paper
ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL	2019-03-27	Paper
Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method	2019-01-15	Paper
A flexible and automated likelihood based framework for inference in stochastic volatility models	2018-11-23	Paper
Specification tests based on MCMC output	2018-10-12	Paper
New distribution theory for the estimation of structural break point in mean	2018-05-31	Paper
Inference in continuous systems with mildly explosive regressors	2017-11-07	Paper
Bias in the estimation of mean reversion in continuous-time Lévy processes	2017-06-09	Paper
Bias in the estimation of the mean reversion parameter in continuous time models	2017-05-12	Paper
Bayesian hypothesis testing in latent variable models	2016-08-15	Paper
A semiparametric stochastic volatility model	2016-08-15	Paper
Bias in estimating multivariate and univariate diffusions	2016-08-10	Paper
Indirect inference for dynamic panel models	2016-08-01	Paper
A two-stage realized volatility approach to estimation of diffusion processes with discrete data	2016-07-04	Paper
Double asymptotics for explosive continuous time models	2016-05-18	Paper
On leverage in a stochastic volatility model	2016-03-30	Paper
TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500	2016-02-10	Paper
TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL‐TIME DETECTORS	2016-02-10	Paper
Limit theory for an explosive autoregressive process	2015-09-29	Paper
Asymptotic theory for linear diffusions under alternative sampling schemes	2015-09-29	Paper
A Bayesian chi-squared test for hypothesis testing	2015-09-18	Paper
Optimal jackknife for unit root models	2015-05-18	Paper
Maximum likelihood estimation of partially observed diffusion models	2014-11-11	Paper
Fine gradings of complex simple Lie algebras and Finite Root Systems	2014-10-29	Paper
ECONOMETRIC ANALYSIS OF CONTINUOUS TIME MODELS: A SURVEY OF PETER PHILLIPS’S WORK AND SOME NEW RESULTS	2014-09-05	Paper
A new approach to Bayesian hypothesis testing	2014-08-07	Paper
SPECIAL ISSUE OF ECONOMETRIC THEORY ON SETA 2010: EDITORS’ INTRODUCTION	2014-06-20	Paper
Dating the timeline of financial bubbles during the subprime crisis	2012-03-02	Paper
An efficient method for maximum likelihood estimation of a stochastic volatility model	2012-01-25	Paper
Simulation-Based Estimation Methods for Financial Time Series Models	2012-01-10	Paper
Corrigendum to ‘A Gaussian approach for continuous time models of short‐term interest rates’	2011-07-27	Paper
Bayesian analysis of structural credit risk models with microstructure noises	2010-12-01	Paper
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance	2009-11-27	Paper
A class of nonlinear stochastic volatility models and its implications for pricing currency options	2009-04-06	Paper
Comment: A selective overview of nonparametric methods in financial econometrics	2007-09-18	Paper
Multivariate Stochastic Volatility: A Review	2006-08-28	Paper
Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison	2006-08-28	Paper
Empirical Characteristic Function Estimation and Its Applications	2005-01-19	Paper
Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method	2003-10-21	Paper
EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION	2003-05-18	Paper
BUGS for a Bayesian analysis of stochastic volatility models	2001-04-04	Paper
A Gaussian approach for continuous time models of the short-term interest rate	2001-01-01	Paper

Research outcomes over time

Doctoral students

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