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Limit theory for an explosive autoregressive process
Wang, XiaoHu; Yu, Jun - In: Economics letters 126 (2015), pp. 176-180
Persistent link: https://www.econbiz.de/10011377248
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New distribution theory for the estimation of structural break point in mean
Jiang, Liang; Wang, XiaoHu; Yu, Jun - In: Journal of econometrics 205 (2018) 1, pp. 156-176
Persistent link: https://www.econbiz.de/10012110250
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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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In-fill asymptotic theory for structural break point in autoregressions
Jiang, Liang; Wang, Xiaohu; Yu, Jun - In: Econometric reviews 40 (2021) 4, pp. 359-386
Persistent link: https://www.econbiz.de/10012515605
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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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Latent local-to-unity models
Wang, Xiaohu; Yu, Jun - In: Econometric reviews 42 (2023) 7, pp. 586-611
Persistent link: https://www.econbiz.de/10014321656
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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
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Bubble testing under polynomial trends
Wang, Xiaohu; Yu, Jun - In: The econometrics journal 26 (2023) 1, pp. 25-44
Persistent link: https://www.econbiz.de/10013543273
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On the optimal forecast with the fractional Brownian motion
Wang, Xiaohu; Yu, Jun; Zhang, Chen - In: Quantitative finance 24 (2024) 2, pp. 337-346
Persistent link: https://www.econbiz.de/10014552006