Citations of
Philip L.H. Yu

The citations below have been collected in an experimental project, CitEc. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.

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Working papers

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1. So, Mike K.P. & Yu, Philip L.H., 2006. "Empirical analysis of GARCH models in value at risk estimation," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(2), pages 180-197, April. [Downloadable!] (restricted)

   Cited by:

   1. Kulp-Tåg, Sofie, 2007. "An Empirical Investigation of Value-at-Risk in Long and Short Trading Positions," Working Papers 526, Hanken School of Economics. [Downloadable!]
   2. Carol Alexander & Elizabeth Sheedy, 2007. "Model-Based Stress Tests: Linking Stress Tests to VaR for Market Risk," ICMA Centre Discussion Papers in Finance icma-dp2007-02, Henley Business School, Reading University. [Downloadable!]
   3. Timotheos Angelidis & Stavros Degiannakis, 2007. "Backtesting VaR Models: An Expected Shortfall Approach," Working Papers 0701, University of Crete, Department of Economics. [Downloadable!]
   4. Timotheos Angelidis & Alexandros Benos & Stavros Degiannakis, 2007. "A robust VaR model under different time periods and weighting schemes," Review of Quantitative Finance and Accounting, Springer, vol. 28(2), pages 187-201, February. [Downloadable!] (restricted)

2. Li, W. K. & Yu, Philip L. H., 2003. "On the residual autocorrelation of the autoregressive conditional duration model," Economics Letters, Elsevier, vol. 79(2), pages 169-175, May. [Downloadable!] (restricted)

   Cited by:

   1. Yongmiao Hong & Yoon-Jin Lee, 2007. "Detecting Misspecifications in Autoregressive Conditional Duration Models," Caepr Working Papers 2007-019, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington. [Downloadable!]

3. P. L. H. Yu, K. Lam, 1997. "How to predict election winners from a poll," Journal of Applied Statistics, Taylor and Francis Journals, vol. 24(1), pages 11-24, February. [Downloadable!] (restricted)

   Cited by:

   1. R. Paap & E. van Nierop & H.J. van Heerde & M. Wedel, 2000. "Consideration sets, intentions and the inclusion of "Don't know" in a two-stage model for voter choice," Econometric Institute Report 209, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
      Other versions:
      • Paap, Richard & van Nierop, Erjen & van Heerde, Harald J. & Wedel, Michel & Franses, Philip Hans & Alsem, Karel Jan, 2005. "Consideration sets, intentions and the inclusion of "don't know" in a two-stage model for voter choice," International Journal of Forecasting, Elsevier, vol. 21(1), pages 53-71. [Downloadable!] (restricted)
      • Paap, R. & Nierop, J.E.M. van & Heerde, H.J. van & Wedel, M. & Franses, Ph.H.B.F. & Alsem, K.J., 2000. "Consideration sets, intentions and the inclusion of "Don't know" in a two-stage model for voter choice," Econometric Institute Report EI 2000-33/A Revision_Dat, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]

This page was last updated on 2010-1-2.