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Xiaohu Wang

Personal Details

First Name:Xiaohu
Middle Name:
Last Name:Wang
Suffix:
RePEc Short-ID:pwa540
school of economics, 90 stamford road, Singapore Management University, Singapore 178903
Terminal Degree:2012 School of Economics; Singapore Management University (from RePEc Genealogy)

Affiliation

School of Economics
Singapore Management University

Singapore, Singapore
http://www.economics.smu.edu.sg/
RePEc:edi:sesmusg (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Xiaohu Wang & Jun Yu, 2011. "Double Asymptotics for an Explosive Continuous Time Model," Working Papers 16-2011, Singapore Management University, School of Economics.
  2. Xiaohu Wang & Peter C.B. Phillips & Jun Yu, 2011. "Bias in Estimating Multivariate and Univariate Diffusions," Cowles Foundation Discussion Papers 1778, Cowles Foundation for Research in Economics, Yale University.

Articles

  1. Wang, Xiaohu & Phillips, Peter C.B. & Yu, Jun, 2011. "Bias in estimating multivariate and univariate diffusions," Journal of Econometrics, Elsevier, vol. 161(2), pages 228-245, April.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Xiaohu Wang & Jun Yu, 2011. "Double Asymptotics for an Explosive Continuous Time Model," Working Papers 16-2011, Singapore Management University, School of Economics.

    Cited by:

    1. Cagli, Efe Caglar, 2019. "Explosive behavior in the prices of Bitcoin and altcoins," Finance Research Letters, Elsevier, vol. 29(C), pages 398-403.
    2. Wang, Xiaohu & Xiao, Weilin & Yu, Jun, 2023. "Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process," Journal of Econometrics, Elsevier, vol. 232(2), pages 389-415.
    3. Sébastien Laurent & Shuping Shi, 2018. "Volatility Estimation and Jump Detection for drift-diffusion Processes," Working Papers halshs-01944449, HAL.
    4. Tao, Yubo & Phillips, Peter C.B. & Yu, Jun, 2019. "Random coefficient continuous systems: Testing for extreme sample path behavior," Journal of Econometrics, Elsevier, vol. 209(2), pages 208-237.
    5. Yiu Lim Lui & Weilin Xiao & Jun Yu, 2022. "The Grid Bootstrap for Continuous Time Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(3), pages 1390-1402, June.
    6. Katsuto Tanaka & Weilin Xiao & Jun Yu, 2020. "Maximum Likelihood Estimation for the Fractional Vasicek Model," Econometrics, MDPI, vol. 8(3), pages 1-28, August.
    7. Xiao, Weilin & Yu, Jun, 2019. "Asymptotic theory for rough fractional Vasicek models," Economics Letters, Elsevier, vol. 177(C), pages 26-29.
    8. Junichi Hirukawa & Sangyeol Lee, 2021. "Asymptotic properties of mildly explosive processes with locally stationary disturbance," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 84(4), pages 511-534, May.
    9. Chambers, MJ, 2016. "The Effects of Sampling Frequency on Detrending Methods for Unit Root Tests," Economics Discussion Papers 16062, University of Essex, Department of Economics.
    10. Chen, Ye & Phillips, Peter C.B. & Yu, Jun, 2017. "Inference in continuous systems with mildly explosive regressors," Journal of Econometrics, Elsevier, vol. 201(2), pages 400-416.
    11. Li, Yicun & Teng, Yuanyang, 2023. "Statistical inference in discretely observed fractional Ornstein–Uhlenbeck processes," Chaos, Solitons & Fractals, Elsevier, vol. 177(C).
    12. Stelios Arvanitis & Tassos Magdalinos, 2018. "Mildly Explosive Autoregression Under Stationary Conditional Heteroskedasticity," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 892-908, November.

  2. Xiaohu Wang & Peter C.B. Phillips & Jun Yu, 2011. "Bias in Estimating Multivariate and Univariate Diffusions," Cowles Foundation Discussion Papers 1778, Cowles Foundation for Research in Economics, Yale University.

    Cited by:

    1. Zi‐Yi Guo, 2021. "Out‐of‐sample performance of bias‐corrected estimators for diffusion processes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(2), pages 243-268, March.
    2. Milena Hoyos, 2020. "Mixed First‐ and Second‐Order Cointegrated Continuous Time Models with Mixed Stock and Flow Data," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(2), pages 249-267, March.
    3. Wang, Xiaohu & Xiao, Weilin & Yu, Jun, 2023. "Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process," Journal of Econometrics, Elsevier, vol. 232(2), pages 389-415.
    4. Peter C.B. Phillips, 2013. "Unit Roots in Life -- A Graduate Student Story," Cowles Foundation Discussion Papers 1913, Cowles Foundation for Research in Economics, Yale University.
    5. Thornton, Michael A. & Chambers, Marcus J., 2016. "The exact discretisation of CARMA models with applications in finance," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 739-761.
    6. Emma M. Iglesias & Garry D. A. Phillips, 2020. "Further Results on Pseudo‐Maximum Likelihood Estimation and Testing in the Constant Elasticity of Variance Continuous Time Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(2), pages 357-364, March.
    7. Vicky Fasen‐Hartmann & Sebastian Kimmig, 2020. "Robust estimation of stationary continuous‐time arma models via indirect inference," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(5), pages 620-651, September.
    8. Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, August.
    9. Chambers, MJ & McCrorie, JR & Thornton, MA, 2017. "Continuous Time Modelling Based on an Exact Discrete Time Representation," Economics Discussion Papers 20497, University of Essex, Department of Economics.
    10. Stefano M. Iacus & Nakahiro Yoshida, 2010. "Numerical Analysis of Volatility Change Point Estimators for Discretely Sampled Stochastic Differential Equations," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 39(1‐2), pages 107-127, February.
    11. Laurini, Márcio Poletti & Hotta, Luiz Koodi, 2013. "Indirect Inference in fractional short-term interest rate diffusions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 109-126.
    12. Bent Jesper Christensen & Olaf Posch & Michel van der Wel, 2014. "Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data," CESifo Working Paper Series 5030, CESifo.

Articles

  1. Wang, Xiaohu & Phillips, Peter C.B. & Yu, Jun, 2011. "Bias in estimating multivariate and univariate diffusions," Journal of Econometrics, Elsevier, vol. 161(2), pages 228-245, April.
    See citations under working paper version above.Sorry, no citations of articles recorded.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 1 paper announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (1) 2011-01-23
  2. NEP-ETS: Econometric Time Series (1) 2011-01-23
  3. NEP-ORE: Operations Research (1) 2011-01-23
  4. NEP-SEA: South East Asia (1) 2011-01-23

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