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~person:"Yu, Jun"
~subject:"Forecasting model"
~subject:"Long memory"
~subject:"Stochastischer Prozess"
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Search: subject_exact:"Trend-cycle estimation"
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Long memory
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Yu, Jun
Koopman, Siem Jan
75
Franses, Philip Hans
69
Hyndman, Rob J.
68
Gil-Alaña, Luis A.
62
Gupta, Rangan
56
McAleer, Michael
56
Ravazzolo, Francesco
56
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55
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49
Pesaran, M. Hashem
49
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47
Swanson, Norman R.
43
Timmermann, Allan
41
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39
Gao, Jiti
37
Caporale, Guglielmo Maria
35
Clements, Michael P.
34
Hendry, David F.
33
Athanasopoulos, George
32
Chan, Joshua
30
Clark, Todd E.
30
Proietti, Tommaso
29
Dijk, Herman K. van
28
Lux, Thomas
28
Kunst, Robert M.
27
Schorfheide, Frank
26
Dijk, Dick van
25
Grassi, Stefano
25
Lucas, André
25
Makridakis, Spyros G.
25
Stock, James H.
25
Casarin, Roberto
24
Croux, Christophe
24
Petropoulos, Fotios
24
Giannone, Domenico
23
Blasques, Francisco
22
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22
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22
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22
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1
Multivariate stochastic volatility models based on generalized Fisher transformation
Chen, Han
;
Fei, Yijie
;
Yu, Jun
-
2023
Persistent link: https://www.econbiz.de/10014329798
Saved in:
2
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
Saved in:
3
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/10013326614
Saved in:
4
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/10013464259
Saved in:
5
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
Saved in:
6
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
Saved in:
7
On the optimal forecast with the fractional Brownian motion
Wang, Xiaohu
;
Zhang, Chen
;
Yu, Jun
-
2022
Persistent link: https://www.econbiz.de/10013542217
Saved in:
8
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
Saved in:
9
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
Saved in:
10
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
Saved in:
1
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