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Robust testing for explosive behavior with strongly dependent errors
Lui, Yiu Lim; Phillips, Peter C. B.; Yu, Jun - In: Journal of econometrics 238 (2024) 2, pp. 1-25
Persistent link: https://www.econbiz.de/10015073913
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Editorial: Recent advances in panel data, nonlinear and nonparametric models : a festschrift in honor of Peter C.B. Phillips
Mariano, Roberto S.; Xiao, Zhijie; Yu, Jun - In: Journal of econometrics 169 (2012) 1, pp. 1-3
Persistent link: https://www.econbiz.de/10009666784
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Recent Advances in panel data, nonlinear and nonparametric models : a Festschrift in honor of Peter C. B. Phillips
Mariano, Roberto S. (contributor);  … - 2012
Persistent link: https://www.econbiz.de/10009666881
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A semiparametric stochastic volatility model
Yu, Jun - In: Journal of econometrics 167 (2012) 2, pp. 473-482
Persistent link: https://www.econbiz.de/10009613920
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Editorial: Recent advances in nonstationary time series : a festschrift in honor of Peter C.B. Phillips
Mariano, Roberto S.; Xiao, Zhijie; Yu, Jun - In: Journal of econometrics 169 (2012) 2, pp. 139-141
Persistent link: https://www.econbiz.de/10009671398
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Recent Advances in nonstationary time series : a Festschrift in honor of Peter C. B. Phillips
Mariano, Roberto S. (contributor);  … - 2012
Persistent link: https://www.econbiz.de/10009671554
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Random coefficient continuous systems : testing for extreme sample path behavior
Tao, Yubo; Phillips, Peter C. B.; Yu, Jun - In: Journal of econometrics 209 (2019) 2, pp. 208-237
Persistent link: https://www.econbiz.de/10012302568
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Double asymptotics for explosive continuous time models
Wang, XiaoHu; Yu, Jun - In: Journal of econometrics 193 (2016) 1, pp. 35-53
Persistent link: https://www.econbiz.de/10011704761
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Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
Wang, Xiaohu; Xiao, Weilin; Yu, Jun - In: Journal of econometrics 232 (2023) 2, pp. 389-415
Persistent link: https://www.econbiz.de/10014339985
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Bayesian analysis of structural credit risk models with microstructure noises
Huang, Shirley J.; Yu, Jun - In: Journal of economic dynamics & control 34 (2010) 11, pp. 2259-2272
Persistent link: https://www.econbiz.de/10009008893