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~subject:"Stochastischer Prozess"
~person:"Yu, Jun"
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Search: subject_exact:"Trend-cycle estimation"
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Stochastischer Prozess
Time series analysis
33
Zeitreihenanalyse
33
Theorie
21
Theory
21
Stochastic process
12
Bubbles
8
Estimation theory
8
Schätztheorie
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5
Maximum likelihood estimation
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Nichtparametrisches Verfahren
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Markov-Kette
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Bayes-Statistik
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Yu, Jun
Phillips, Peter C. B.
37
Koopman, Siem Jan
35
Gao, Jiti
26
Gil-Alaña, Luis A.
26
Chan, Joshua
22
McAleer, Michael
21
Tauchen, George Eugene
15
Todorov, Viktor
15
Bos, Charles S.
14
Caporale, Guglielmo Maria
14
Lucas, André
14
Asai, Manabu
13
Blasques, Francisco
12
Marcellino, Massimiliano
11
Taylor, Robert
11
Härdle, Wolfgang
10
Zhang, Bo
10
Benth, Fred Espen
9
Clark, Todd E.
9
Hafner, Christian M.
9
Harvey, Andrew C.
9
Kilian, Lutz
9
Shephard, Neil G.
9
Carriero, Andrea
8
Cross, Jamie
8
Dong, Chaohua
8
Gonçalves, Sílvia
8
Lieberman, Offer
8
Busetti, Fabio
7
Lacroix, Renaud
7
Li, Jia
7
Robinson, Peter M.
7
Rodriguez, Gabriel
7
Schorfheide, Frank
7
Strachan, Rodney W.
7
Caporin, Massimiliano
6
Dette, Holger
6
Lux, Thomas
6
Martin, Gael M.
6
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Journal of econometrics
4
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3
Annals of economics and finance
1
Econometric reviews
1
Econometric theory
1
Economics letters
1
Working paper series / Department of Economics, Auckland Business School, The University of Auckland
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ECONIS (ZBW)
12
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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
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:
5
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:
6
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:
7
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
Saved in:
8
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
Saved in:
9
Editorial: Recent advances in nonstationary time series : a festschrift in honor of Peter C.B. Phillips
Mariano, Roberto S.
;
Xiao, Zhijie
;
Yu, Jun
- In:
Journal of econometrics
169
(
2012
)
2
,
pp. 139-141
Persistent link: https://www.econbiz.de/10009671398
Saved in:
10
Empirical characteristic functions estimation and its applications
Yu, Jun
- In:
Econometric reviews
23
(
2004
)
2
,
pp. 93-123
Persistent link: https://www.econbiz.de/10002131153
Saved in:
11
Empirical characteristic function in time series estimation
Knight, John L.
;
Yu, Jun
- In:
Econometric theory
18
(
2002
)
3
,
pp. 691-721
Persistent link: https://www.econbiz.de/10001673452
Saved in:
12
Empirical characteristic function in time series estimation
Knight, John L.
;
Yu, Jun
-
1999
Persistent link: https://www.econbiz.de/10001435272
Saved in:
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