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An improved Bayesian unit root test in stochastic volatility models
Li, Yong; Yu, Jun - In: Annals of economics and finance 20 (2019) 1, pp. 103-122
Persistent link: https://www.econbiz.de/10012110029
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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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On leverage in a stochastic volatility model
Yu, Jun - In: Journal of econometrics 127 (2005) 2, pp. 165-178
Persistent link: https://www.econbiz.de/10002905096
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Forecasting volatility in the New Zealand stock market
Yu, Jun - In: Applied financial economics 12 (2002) 3, pp. 193-202
Persistent link: https://www.econbiz.de/10001640366
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Forecasting volatility in the New Zealand stock market
Yu, Jun - 1999
Persistent link: https://www.econbiz.de/10001435277
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Realized daily variance of S&P 500 cash index : a revaluation of stylized facts
Huang, Shirley J.; Liu, Qianqiu; Yu, Jun - In: Annals of economics and finance 8 (2007) 1, pp. 33-56
Persistent link: https://www.econbiz.de/10003714370
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Multivariate stochastic volatility : a review
Asai, Manabu; McAleer, Michael; Yu, Jun - In: Econometric reviews 25 (2006) 2/3, pp. 145-175
Persistent link: https://www.econbiz.de/10003355704
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Multivariate stochastic volatility models : Bayesian estimation and model comparison
Yu, Jun; Meyer, Renate - In: Econometric reviews 25 (2006) 2/3, pp. 361-384
Persistent link: https://www.econbiz.de/10003355796
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Information loss in volatility measurement with flat price trading
Phillips, Peter C. B.; Yu, Jun - 2009
Persistent link: https://www.econbiz.de/10003854432