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Investor sentiment and idiosyncratic risk puzzle
Gao, Xiaohui; Yu, Jianfeng; Yuan, Yu - 2010
Persistent link: https://www.econbiz.de/10009355428
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A Sentiment-Based Explanation of the Forward Premium Puzzle
Yu, Jianfeng - 2015
A sentiment-based model of the exchange rate is proposed to understand the forward premium puzzle. Agents over- or underestimate the growth rate of the economy. All else equal, when perceived domestic growth is higher than perceived foreign growth, the domestic interest rate is higher than the...
Persistent link: https://www.econbiz.de/10013039206
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Spatial nonstationarity and spurious regression : the case with row-normalized spatial weights matrix
Lee, Lung-fei; Yu, Jihai - In: Spatial economic analysis : the journal of the Regional … 4 (2009) 3, pp. 301-327
Persistent link: https://www.econbiz.de/10003888736
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Maximum likelihood and Gaussian estimation of continuous time models in finance
Phillips, Peter C. B. (contributor); Yu, Jun (contributor) - 2007
Persistent link: https://www.econbiz.de/10003462517
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Temporal aggregation and risk-return relation
Jin, Xing; Wang, Leping; Yu, Jun - In: Finance research letters 4 (2007) 2, pp. 104-115
Persistent link: https://www.econbiz.de/10003477216
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Dating the timeline of financial bubbles during the subprime crisis
Phillips, Peter C. B.; Yu, Jun - 2010
Persistent link: https://www.econbiz.de/10008656743
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Bias in the estimation of mean reversion in continuous-time Lévy processes
Bao, Yong; Ullah, Aman; Wang, Yun; Yu, Jun - In: Economics letters 134 (2015), pp. 16-19
Persistent link: https://www.econbiz.de/10011432138
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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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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