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Weak identification of long memory with implications for inference
Li, Jia; Phillips, Peter C. B.; Shi, Shuping; Yu, Jun - 2022
Persistent link: https://www.econbiz.de/10013542193
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Multivariate stochastic volatility models based on generalized Fisher transformation
Chen, Han; Fei, Yijie; Yu, Jun - 2023
Persistent link: https://www.econbiz.de/10014329798
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On the spectral density of fractional Ornstein-Uhlenbeck process : approximation, estimation, and model comparison
Shi, Shuping; Yu, Jun; Zhang, Chen - 2023
Persistent link: https://www.econbiz.de/10014320456
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Robust testing for explosive behavior with strongly dependent errors
Lui, Yiu Lim; Phillips, Peter C. B.; Yu, Jun - 2022
Persistent link: https://www.econbiz.de/10013542210
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On the optimal forecast with the fractional Brownian motion
Wang, Xiaohu; Zhang, Chen; Yu, Jun - 2022
Persistent link: https://www.econbiz.de/10013542217