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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
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Indirect inference for dynamic panel models
Gouriéroux, Christian; Phillips, Peter C.B.; Yu, Jun - In: Journal of econometrics 157 (2010) 1, pp. 68-78
Persistent link: https://www.econbiz.de/10008418107
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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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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. 139-151
Persistent link: https://www.econbiz.de/10008890763
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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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Recent advances in panel data, nonlinear and nonparametric models: A festschrift in honor of Peter C.B. Phillips
Mariano, Roberto S.; Xiao, Zhijie; Yu, Jun - In: Journal of econometrics 169 (2012) 1, pp. 1-4
Persistent link: https://www.econbiz.de/10009979006
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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. 114-123
Persistent link: https://www.econbiz.de/10009979016