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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
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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
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New distribution theory for the estimation of structural break point in mean
Jiang, Liang; Wang, XiaoHu; Yu, Jun - In: Journal of econometrics 205 (2018) 1, pp. 156-176
Persistent link: https://www.econbiz.de/10012110250
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In-fill asymptotic theory for structural break point in autoregressions
Jiang, Liang; Wang, Xiaohu; Yu, Jun - In: Econometric reviews 40 (2021) 4, pp. 359-386
Persistent link: https://www.econbiz.de/10012515605
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On the optimal forecast with the fractional Brownian motion
Wang, Xiaohu; Yu, Jun; Zhang, Chen - In: Quantitative finance 24 (2024) 2, pp. 337-346
Persistent link: https://www.econbiz.de/10014552006
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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
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Bubble testing under polynomial trends
Wang, Xiaohu; Yu, Jun - In: The econometrics journal 26 (2023) 1, pp. 25-44
Persistent link: https://www.econbiz.de/10013543273
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Asymptotic theory for estimating drift parameters in the fractional Vasicek model
Xiao, Weilin; Yu, Jun - In: Econometric theory 35 (2019) 1, pp. 198-231
Persistent link: https://www.econbiz.de/10012146129
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Asymptotic theory for rough fractional Vasicek models
Xiao, Weilin; Yu, Jun - In: Economics letters 177 (2019), pp. 26-29
Persistent link: https://www.econbiz.de/10012121487
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The grid bootstrap for continuous time models
Lui, Yiu Lim; Xiao, Weilin; Yu, Jun - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 3, pp. 1390-1402
Persistent link: https://www.econbiz.de/10013539532