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Zhongjun Qu

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Personal Details

First Name: Zhongjun
Middle Name:
Last Name: Qu
Suffix:

RePEc Short-ID: pqu46

Email:
Homepage: http://people.bu.edu/qu
Postal Address:
Phone:

Affiliation

Department of Economics
Boston University
Location: Boston, Massachusetts (United States)
Homepage: http://www.bu.edu/econ/
Email:
Phone: 617-353-4389
Fax: 617-353-444
Postal: 270 Bay State Road, Boston, MA 02215
Handle: RePEc:edi:decbuus (more details at EDIRC)

Works

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Working papers

  1. Zhongjun Qu & Jungmo Yoon, 2011. "Nonparametric Estimation and Inference on Conditional Quantile Processes," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics WP2011-059, Boston University - Department of Economics.
  2. Zhongjun Qu & Denis Tkachenko, 2011. "Frequency Domain Analysis of Medium Scale DSGE Models with Application to Smets and Wouters (2007)," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics WP2011-060, Boston University - Department of Economics.
  3. Zhongjun Qu, 2011. "Inference and Speci?cation Testing in DSGE Models with Possible Weak Identification," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics WP2011-058, Boston University - Department of Economics.
  4. Zhongjun Qu & Tatsushi Oka, 2010. "Estimating structural changes in regression quantiles," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics WP2010-052, Boston University - Department of Economics.
  5. Zhongjun Qu & Yi-Ting Chen, 2010. "M Tests with a New Normalization Matrix," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics WP2010-050, Boston University - Department of Economics.
  6. Zhongjun Qu, 2010. "A Test Against Spurious Long Memory," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics WP2010-051, Boston University - Department of Economics.
  7. Zhongjun Qu & Denis Tkachenko, 2010. "Identification and Frequency Domain QML Estimation of Linearized DSGE Models," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics WP2010-053, Boston University - Department of Economics.
  8. Zhongjun Qu & Pierre Perron, 2008. "A Stochastic Volatility Model with Random Level Shifts: Theory and Applications to S&P 500 and NASDAQ Return Indices," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics wp2008-007, Boston University - Department of Economics.
  9. Pierre Perron & Zhongjun Qu, 2008. "Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics wp2008-004, Boston University - Department of Economics.
  10. Pierre Perron & Zhongjun Qu, 2007. "An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics wp2007-044, Boston University - Department of Economics.
  11. Zhongjun Qu & Pierre Perron, 2006. "A Modified Information Criterion for Cointegration Tests based on a VAR Approximation," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics WP2006-011, Boston University - Department of Economics.
  12. Pierre Perron & Zhongjun Qu, 2006. "A Simple Modification to Improve the Finite Sample Properties of Ng and Perron’s Unit Root Tests," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics WP2006-010, Boston University - Department of Economics.
  13. Pierre Perron & Zhongjun Qu, 2006. "An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts and its Implications for Stock Returns Volatility," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics WP2006-016, Boston University - Department of Economics.
  14. Zhongjun Qu & Pierre Perron, 2005. "Estimating and testing structural changes in multivariate regressions," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics WP2005-012, Boston University - Department of Economics.

Articles

  1. Zhongjun Qu & Pierre Perron, 2013. "A stochastic volatility model with random level shifts and its applications to S&P 500 and NASDAQ return indices," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 16(3), pages 309-339, October.
  2. Zhongjun Qu & Denis Tkachenko, 2012. "Identification and frequency domain quasi‐maximum likelihood estimation of linearized dynamic stochastic general equilibrium models," Quantitative Economics, Econometric Society, Econometric Society, vol. 3(1), pages 95-132, 03.
  3. Qu, Zhongjun, 2011. "A Test Against Spurious Long Memory," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 29(3), pages 423-438.
  4. Oka, Tatsushi & Qu, Zhongjun, 2011. "Estimating structural changes in regression quantiles," Journal of Econometrics, Elsevier, Elsevier, vol. 162(2), pages 248-267, June.
  5. Perron, Pierre & Qu, Zhongjun, 2010. "Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 28(2), pages 275-290.
  6. Qu, Zhongjun, 2008. "Testing for structural change in regression quantiles," Journal of Econometrics, Elsevier, Elsevier, vol. 146(1), pages 170-184, September.
  7. Zhongjun Qu & Pierre Perron, 2007. "Estimating and Testing Structural Changes in Multivariate Regressions," Econometrica, Econometric Society, Econometric Society, vol. 75(2), pages 459-502, 03.
  8. Zhongjun Qu, 2007. "Searching for cointegration in a dynamic system," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 10(3), pages 580-604, November.
  9. Qu, Zhongjun & Perron, Pierre, 2007. "A Modified Information Criterion For Cointegration Tests Based On A Var Approximation," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 23(04), pages 638-685, August.
  10. Perron, Pierre & Qu, Zhongjun, 2007. "A simple modification to improve the finite sample properties of Ng and Perron's unit root tests," Economics Letters, Elsevier, Elsevier, vol. 94(1), pages 12-19, January.
  11. Perron, Pierre & Qu, Zhongjun, 2006. "Estimating restricted structural change models," Journal of Econometrics, Elsevier, Elsevier, vol. 134(2), pages 373-399, October.

NEP Fields

5 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (1) 2006-05-06
  2. NEP-ECM: Econometrics (5) 2006-05-06 2006-10-28 2007-08-14 2009-06-10 2009-06-10. Author is listed
  3. NEP-ETS: Econometric Time Series (4) 2006-05-06 2007-08-14 2009-06-10 2009-06-10. Author is listed
  4. NEP-FMK: Financial Markets (1) 2009-06-10
  5. NEP-FOR: Forecasting (1) 2009-06-10
  6. NEP-ORE: Operations Research (1) 2009-06-10

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