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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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Bias in estimating multivariate and univariate diffusions
Wang, Xiaohu; Phillips, Peter C. B.; Yu, Jun - In: Journal of econometrics 161 (2011) 2, pp. 228-245
Persistent link: https://www.econbiz.de/10009242147
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Bias in estimating multivariate and univariate diffusions
Wang, Xiaohu; Phillips, Peter C.B.; Yu, Jun - In: Journal of econometrics 161 (2011) 2, pp. 228-246
Persistent link: https://www.econbiz.de/10008877465
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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
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A semiparametric stochastic volatility model
Yu, Jun - In: Journal of econometrics 167 (2012) 2, pp. 473-482
Persistent link: https://www.econbiz.de/10009613920
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Bias in the estimation of the mean reversion parameter in continuous time models
Yu, Jun - In: Journal of econometrics 169 (2012) 1, pp. 114-122
Persistent link: https://www.econbiz.de/10009666687
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On leverage in a stochastic volatility model
Yu, Jun - In: Journal of econometrics 127 (2005) 2, pp. 165-178
Persistent link: https://www.econbiz.de/10002905096
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On leverage in a stochastic volatility model
Yu, Jun - In: Journal of econometrics 127 (2005) 2, pp. 165-178
Persistent link: https://www.econbiz.de/10006752012
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A two-stage realized volatility approach to estimation of diffusion processes with discrete data
Phillips, Peter C.B.; Yu, Jun - In: Journal of econometrics 150 (2009) 2, pp. 139-150
Persistent link: https://www.econbiz.de/10008253331