Testing for multiple bubbles PCB Phillips, SP Shi, J Yu Cowles Foundation Discussion Paper, 2012 | 1519* | 2012 |
Explosive behavior and the NASDAQ bubble in the 1990s: when did irrational exuberance escalate asset values? PCB Phillips, Y Wu, J Yu Cowles Foundation for Research in Economics, Yale University, Draft dtd …, 2007 | 1402* | 2007 |
Dating the timeline of financial bubbles during the subprime crisis PCB Phillips, J Yu Quantitative Economics 2 (3), 455-491, 2011 | 740 | 2011 |
On leverage in a stochastic volatility model J Yu Journal of Econometrics 127 (2), 165-178, 2005 | 548 | 2005 |
Testing for multiple bubbles: Limit theory of real‐time detectors PCB Phillips, S Shi, J Yu International Economic Review 56 (4), 1079-1134, 2015 | 476 | 2015 |
Multivariate stochastic volatility: a review M Asai, M McAleer, J Yu Econometric Reviews 25 (2-3), 145-175, 2006 | 445 | 2006 |
Deviance information criterion for comparing stochastic volatility models A Berg, R Meyer, J Yu Journal of Business & Economic Statistics 22 (1), 107-120, 2004 | 378 | 2004 |
Forecasting volatility in the New Zealand stock market J Yu Applied Financial Economics 12 (3), 193-202, 2002 | 367 | 2002 |
BUGS for a Bayesian analysis of stochastic volatility models R Meyer, J Yu The econometrics journal 3 (2), 198-215, 2002 | 363 | 2002 |
Multivariate stochastic volatility models: Bayesian estimation and model comparison J Yu, R Meyer Econometric Reviews 25 (2-3), 361-384, 2006 | 271 | 2006 |
Comment: a selective overview of nonparametric methods in financial econometrics PCB Phillips, J Yu Statistical Science 20 (4), 338-343, 2005 | 242* | 2005 |
Empirical characteristic function estimation and its applications J Yu Econometric Reviews 23 (2), 93-123, 2004 | 239 | 2004 |
Specification sensitivity in right‐tailed unit root testing for explosive behaviour PCB Phillips, S Shi, J Yu Oxford Bulletin of Economics and Statistics 76 (3), 315-333, 2014 | 219 | 2014 |
Detecting bubbles in Hong Kong residential property market MS Yiu, J Yu, L Jin Journal of Asian Economics 28, 115-124, 2013 | 206 | 2013 |
Jackknifing bond option prices PCB Phillips, J Yu The Review of Financial Studies 18 (2), 707-742, 2005 | 154 | 2005 |
Indirect inference for dynamic panel models C Gouriéroux, PCB Phillips, J Yu Journal of Econometrics 157 (1), 68-77, 2010 | 145 | 2010 |
Maximum likelihood and Gaussian estimation of continuous time models in finance PCB Phillips, J Yu Handbook of financial time series, 497-530, 2009 | 140 | 2009 |
Empirical characteristic function in time series estimation JL Knight, J Yu Econometric Theory 18 (3), 691-721, 2002 | 121 | 2002 |
Self-exciting jumps, learning, and asset pricing implications A Fulop, J Li, J Yu The Review of Financial Studies 28 (3), 876-912, 2015 | 97 | 2015 |
Bias in the estimation of the mean reversion parameter in continuous time models J Yu Journal of Econometrics, 2012 | 93 | 2012 |