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~person:"Yu, Jun"
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Search: subject:"Stochastischer Prozess"
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Stochastic process
39
Stochastischer Prozess
39
Theorie
29
Theory
29
Volatility
19
Volatilität
19
Time series analysis
12
Zeitreihenanalyse
12
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7
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Yu, Jun
McAleer, Michael
100
Phillips, Peter C. B.
75
Koopman, Siem Jan
70
Chiarella, Carl
57
Platen, Eckhard
52
Sethi, Suresh
49
Ferrari, Giorgio
45
Barndorff-Nielsen, Ole E.
44
Cui, Zhenyu
44
Escudero, Laureano F.
44
Asai, Manabu
42
Post, Thierry
41
Takahashi, Akihiko
41
Madan, Dilip B.
38
Benth, Fred Espen
37
Fabozzi, Frank J.
37
Shephard, Neil G.
37
Gao, Jiti
35
Chan, Joshua
34
Todorov, Viktor
34
Escobar, Marcos
33
Linton, Oliver
33
Kohlmann, Michael
32
Elliott, Robert J.
31
Hainaut, Donatien
30
Gil-Alaña, Luis A.
29
Wong, Hoi Ying
29
Clark, Todd E.
28
Gendreau, Michel
28
Račev, Svetlozar T.
28
Siu, Tak Kuen
28
Stein, Jerome L.
28
Carr, Peter
27
Wong, Wing Keung
27
Batabyal, Amitrajeet A.
26
Bos, Charles S.
26
Topaloglou, Nikolas
26
Mumtaz, Haroon
25
Nguyen, Duy
25
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Working paper series / Department of Economics, Auckland Business School, The University of Auckland
8
Journal of econometrics
6
Econometric reviews
4
Working paper
4
Global COE Hi-Stat discussion paper series
2
Working paper / Department of Econometrics and Business Statistics, Monash University
2
Annals of economics and finance
1
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1
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1
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1
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1
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1
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1
Empirical economics : a quarterly journal of the Institute for Advanced Studies
1
Essays in honor of Joon Y. Park : econometric theory
1
Handbook of financial time series
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ECONIS (ZBW)
39
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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
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:
4
Finite sample comparison of alternative estimators for fractional Gaussian noise
Shi, Shuping
;
Yu, Jun
;
Zhang, Chen
-
2022
Persistent link: https://www.econbiz.de/10013542219
Saved in:
5
Information loss in volatility measurement with flat price trading
Phillips, Peter C. B.
;
Yu, Jun
- In:
Empirical economics : a quarterly journal of the …
64
(
2023
)
6
,
pp. 2957-2999
Persistent link: https://www.econbiz.de/10014329021
Saved in:
6
Asymptotic properties of the least squares estimator in local to unity processes with fractional Gaussian noise
Wang, Xiaohu
;
Xiao, Weilin
;
Yu, Jun
- In:
Essays in honor of Joon Y. Park : econometric theory
,
(pp. 73-95)
.
2023
Persistent link: https://www.econbiz.de/10014313249
Saved in:
7
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
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:
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