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Publications

by members of

University of Macau → Faculty of Business Administration

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. Find also a compilation of publications from alumni here.

This page is updated in the first days of each month.

| Working papers | Journal articles | Books | Chapters |

Working papers

2026

  1. Han Chen & Yijie Fei & Jun Yu, 2026, "Multivariate Stochastic Volatility Model with Block Correlations," Working Papers, University of Macau, Faculty of Business Administration, number 202638, Mar.

2025

  1. Po Li & Tingting Que & Jing Xie & Yuxiang Zhong, 2025, "Convertible Bonds and Firm Value: Evidence from China and Beyond," Working Papers, University of Macau, Faculty of Business Administration, number 202522, Mar.
  2. Markus Bibinger & Jun Yu & Chen Zhang, 2025, "Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion," Papers, arXiv.org, number 2504.15985, Apr, revised Aug 2026.
  3. Tetsuya Takabatake & Jun Yu & Chen Zhang, 2025, "Optimal Estimation for General Gaussian Processes," Papers, arXiv.org, number 2509.04987, Sep.
  4. Yue Qiu & Wenbin Wang & Tian Xie & Jun Yu & Xinyu Zhang, 2025, "Boosting Store Sales Through Ensemble Learning-Informed Promotional Decisions," Working Papers, University of Macau, Faculty of Business Administration, number 202525, Mar.
  5. Xiaohu Wang & Weilin Xiao & Jun Yu & Chen Zhang, 2025, "Maximum Likelihood Estimation of Fractional Ornstein-Uhlenbeck Process with Discretely Sampled Data," Working Papers, University of Macau, Faculty of Business Administration, number 202527, Mar.
  6. Yong Li & Zhou Wu & Jun Yu & Tao Zeng, 2025, "Risk of Predictive Distributions and Bayesian Model Comparison of Misspecified Models," Working Papers, University of Macau, Faculty of Business Administration, number 202536, Oct.
  7. Shuping Shi & Jun Yu & Chen Zhang, 2025, "Realized Volatility Forecasting: Continuous versus Discrete Time Models," Working Papers, University of Macau, Faculty of Business Administration, number 202537, Oct.
  8. Yang, Zhang & Jianxiong Lin & Yihe Qian & Lianjie Shu, 2025, "Machine learning and financial inclusion: Evidence from credit risk assessment of small-business loans in China," Working Papers, University of Macau, Faculty of Business Administration, number 202532, Jun.
  9. Baibing Huang & Shaohua Tian & Yang Zhang & Huanhuan Zheng, 2025, "From Site Visits to Swift Audits: The Influence of Institutional Investors," Working Papers, University of Macau, Faculty of Business Administration, number 202533, Jun.
  10. Yang Zhang & Ziang Qiu & Donghyun Park & Shu Tian, 2025, "Golden Handcuffs or Silver Spurs? The Implications of Inheritance Taxes for Entrepreneurship," ADB Economics Working Paper Series, Asian Development Bank, number 805, Sep.

2024

  1. Chuantao Cui & Leona Shao-Zhi Li, 2024, "More but not better: Career incentives of local leaders and entrepreneurial entry in China," Working Papers, University of Macau, Faculty of Business Administration, number 202417, Aug.
  2. Leona Shao-Zhi Li & Yize Liu & Jia Yuan, 2024, "The effect of the U.S.–China trade war on Chinese corporate innovation: A curse or a blessing?," Working Papers, University of Macau, Faculty of Business Administration, number 202418, Aug.
  3. Chenlei Leng & Degui Li & Hanlin Shang & Yingcun Xia, 2024, "Covariance Function Estimation for High-Dimensional Functional Time Series with Dual Factor Structures," Papers, arXiv.org, number 2401.05784, Jan, revised Jan 2024.
  4. Degui Li & Oliver Linton & Haoxuan Zhang, 2024, "Estimating Factor-Based Spot Volatility Matrices with Noisy and Asynchronous High-Frequency Data," Papers, arXiv.org, number 2403.06246, Mar.
  5. Marcin Kacperczyk & Lin Peng & Jing Xie, 2024, "ESG Investing and Stock Return Comovements," Working Papers, University of Macau, Faculty of Business Administration, number 202403, Jun.
  6. Robert Eccles & Shiva Rajgopal & Jing Xie, 2024, "Does ESG negative screening work?," Working Papers, University of Macau, Faculty of Business Administration, number 202404, Jun.
  7. Allaudeen Hameed & Jing Xie & Yuxiang Zhong, 2024, "Preferences for dividends and stock returns around the world," Working Papers, University of Macau, Faculty of Business Administration, number 202405, Jun.
  8. Xiaoqiao Wang & Jing Xie & Bohui Zhang & Xiaofeng Zhao, 2024, "Unraveling the Dividend Puzzle: A Field Experiment," Working Papers, University of Macau, Faculty of Business Administration, number 202406, Jun.
  9. Thomas J. Chemmanur & Zeyu Sun & Jing Xie, 2024, "Keeping up with the Joneses: Corporate Dividends and Common Institutional Blockholders," Working Papers, University of Macau, Faculty of Business Administration, number 202407, Jun.
  10. C.S. Agnes Cheng & Iftekhar Hasan & Feng Tang & Jing Xie, 2024, "Market Feedback Effect on CEO Pay: Evidence from Peers’ Say-on-Pay Voting Failures," Working Papers, University of Macau, Faculty of Business Administration, number 202408, Jun.
  11. Thomas J. Chemmanur & Jiekun Huang & Jing Xie & Yuyuan (Anthony) Zhu, 2024, "The Geography of Institutional Investors, Information Sharing among Institutions, and Initial Public Offerings," Working Papers, University of Macau, Faculty of Business Administration, number 202409, Jun.
  12. Jing Xie, 2024, "Are passive investors also passive voters? Evidence from securities lending by mutual funds," Working Papers, University of Macau, Faculty of Business Administration, number 202410, Jun.
  13. Jing Xie, 2024, "Stock-Picking by Mutual Funds: Evidence from Trading in Family-Controlled Firms," Working Papers, University of Macau, Faculty of Business Administration, number 202411, Jun.
  14. Xiaohui Li & Yao Shen & Jing Xie, 2024, "Proxy Voting on CEO Pay: Evidence from Rejection of the Inevitable Disclosure Doctrine," Working Papers, University of Macau, Faculty of Business Administration, number 202412, Jun.
  15. H. Peter Boswijk & Jun Yu & Yang Zu, 2024, "Testing for an Explosive Bubble using High-Frequency Volatility," Papers, arXiv.org, number 2405.02087, May.
  16. Yijie Fei & Yiu Lim Lui & Jun Yu, 2024, "Testing Predictability in the Presence of Persistent Errors," Working Papers, University of Macau, Faculty of Business Administration, number 202401, Jun.
  17. Yong Li & Sushanta K. Mallick & Nianling Wang & Jun Yu & Tao Zeng, 2024, "Deviance Information Criterion for Model Selection:Theoretical Justification and Applications," Working Papers, University of Macau, Faculty of Business Administration, number 202415, Aug.
  18. Shuping Shi & Jun Yu & Chen Zhang, 2024, "On the Spectral Density of Fractional Ornstein-Uhlenbeck Processes," Working Papers, University of Macau, Faculty of Business Administration, number 202416, Aug.
  19. Leona Han Chen & Yijie Fei & Jun Yu, 2024, "Multivariate Stochastic Volatility Models based on Generalized Fisher Transformation," Working Papers, University of Macau, Faculty of Business Administration, number 202419, Oct.
  20. Yong Li & Zhou Wu & Jun Yu & Tao Zeng, 2024, "A Note on AIC and TIC for Model Selection," Working Papers, University of Macau, Faculty of Business Administration, number 202420, Nov.
  21. Chuanglian Chen & Xiaobin Liu & Jun Yu & Tao Zeng, 2024, "The Time-varying Zone-like and Asymmetric Preference of Central Banks: Evidence from China," Working Papers, University of Macau, Faculty of Business Administration, number 202421, Nov.
  22. Stan Hurn & Vance Martin & Peter C. B. Phillips & Jun Yu, 2024, "Teaching Financial Econometrics to Students Converting to Finance," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2397, May.

2023

  1. Chongyu Wang & Rose Neng Lai & Martin Hoesli, 2023, "International Firm Performance and Proximity to Rare Disaster Risk," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 23-16, Feb.
  2. Jia Chen & Degui Li & Yuning Li & Oliver Linton, 2023, "Estimating Time-Varying Networks for High-Dimensional Time Series," Papers, arXiv.org, number 2302.02476, Feb.
  3. Degui Li & Bin Peng & Songqiao Tang & Weibiao Wu, 2023, "Estimation of Grouped Time-Varying Network Vector Autoregression Models," Papers, arXiv.org, number 2303.10117, Mar, revised Mar 2024.
  4. Xiaorong Yang & Jia Chen & Degui Li & Runze Li, 2023, "Functional-Coefficient Quantile Regression for Panel Data with Latent Group Structure," Papers, arXiv.org, number 2303.13218, Mar.
  5. Degui Li & Runze Li & Han Lin Shang, 2023, "Detection and Estimation of Structural Breaks in High-Dimensional Functional Time Series," Papers, arXiv.org, number 2304.07003, Apr.
  6. Ruijun Bu & Degui Li & Oliver Linton & Hanchao Wang, 2023, "Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data," Papers, arXiv.org, number 2307.01348, Jul.
  7. Degui Li & Bin Peng & Songqiao Tang & Weibiao Wu, 2023, "Inference of Grouped Time-Varying Network Vector Autoregression Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 5/23.

2022

  1. Li, Yu-Ning & Li, Degui & Fryzlewicz, Piotr, 2022, "Detection of multiple structural breaks in large covariance matrices," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 115026, May.
  2. Yanbo Liu & Peter C. B. Phillips & Jun Yu, 2022, "A Panel Clustering Approach to Analyzing Bubble Behavior," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2323, Feb.
  3. Jia Li & Peter C. B. Phillips & Shuping Shi & Jun Yu, 2022, "Weak Identification of Long Memory with Implications for Inference," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2334, Jun.
  4. Yiu Lim Lui & Jun Yu & Peter C. B. Phillips, 2022, "Robust Testing for Explosive Behavior with Strongly Dependent Errors," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2350, Oct.
  5. Xiaohu Wang & Jun Yu & Chen Zhang, 2022, "On the Optimal Forecast with the Fractional Brownian Motion," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 12-2022, Oct.
  6. Shuping Shi & Jun Yu & Chen Zhang, 2022, "Finite Sample Comparison of Alternative Estimators for Fractional Gaussian Noise," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 13-2022, Nov.

2021

  1. Graeme Newell & Jufri Marzuki & Martin Hoesli & Rose Neng Lai, 2021, "The Performance of Non-Listed Opportunity Real Estate Funds in China," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-27, Mar.
  2. Jun Yu, 2021, "Latent Local-to-Unity Models," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 4-2021, May.
  3. Shuping Shi & Jun Yu, 2021, "Different Strokes for Different Folks: Long Memory and Roughness," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 7-2021, Aug.

2020

  1. Ru, Hong & Yang, Endong & Zou, Kunru, 2020, "Combating the COVID-19 pandemic: The role of the SARS imprint," BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT), number 15/2020.
  2. Katsuto Tanaka & Weilin Xiao & Jun Yu, 2020, "Local Powers of Least-Squares-Based Test for Panel Fractional Ornstein-Uhlenbeck Process," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 6-2020, Feb.
  3. Yue Qiu & Tian Xie & Jun Yu, 2020, "Forecast combinations in machine learning," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 13-2020, May.
  4. Tian Xie & Jun Yu & Tao Zeng, 2020, "Econometric Methods and Data Science Techniques: A Review of Two Strands of Literature and an Introduction to Hybrid Methods," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 16-2020, May.
  5. Tian Xie & Jun Yu, 2020, "Forecasting Singapore GDP using the SPF data," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 17-2020, Jul.
  6. Xiaobin Liu & Shuping Shi & Jun Yu, 2020, "Persistent and Rough Volatility," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 23-2020, Nov.
  7. Xiaohu Wang & Weilin Xiao & Jun Yu, 2020, "Asymptotic Properties of Least Squares Estimator in Local to Unity Processes with Fractional Gaussian Noises," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 27-2020, Dec.

2019

  1. Jia Chen & Degui Li & Lingling Wei & Wenyang Zhang, 2019, "Nonparametric Homogeneity Pursuit in Functional-Coefficient Models," Discussion Papers, Department of Economics, University of York, number 19/03, Mar.
  2. Xu Du & Zhenjiang Qin & Shuoxun Zhang, 2019, "Bank-firm distance and Private firms.financing: Evidence from Chinese Listed Firms," Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, number 2019-07-08, Jul.
  3. Chia Chun Lo & Zhenjiang Qin & Konstantinos Skindilias & Shuoxun Zhang, 2019, "Optimal Portfolio Selection for Maintaining Operability of Specialized Funds," Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, number 2019-07-08, Jul.
  4. Zhenjiang Qin & Shuoxun Zhang, 2019, "Optimal Portfolio and Consumption Choices with Maintaining Costs and Endogeneous Mortality," Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, number 2019-07-08, Jul.
  5. Cai, Ning & Feng, Jinlu & Liu, Yong & Ru, Hong & Yang, Endong, 2019, "Government credit and trade war," BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT), number 7/2019.
  6. Yue Qiu & Tian Xie & Jun Yu & Qiankun Zhou, 2019, "Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 7-2019, Mar.
  7. Katsuto Tanaka & Weilin Xiao & Jun Yu, 2019, "Maximum Likelihood Estimation for the Fractional Vasicek Model," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 8-2019, Mar.
  8. Lipeng Chen & Liang Jiang & Sock Yong Phang & Jun Yu, 2019, "Housing Equity and Household Consumption in Retirement: Evidence from the Singapore Life Panel," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 10-2019, May.
  9. Tomohiro Ando & Jushan Bai & Mitohide Nishimura & Jun Yu, 2019, "A Quantile-based Asset Pricing Model," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 15-2019, Jul.
  10. Yong Li & Nianling Wang & Jun Yu, 2019, "Improved Marginal Likelihood Estimation via Power Posteriors and Importance Sampling," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 16-2019, Jul.
  11. Xiaohu Wang & Weilin Xiao & Jun Yu, 2019, "Estimation and Inference of Fractional Continuous-Time Model with Discrete-Sampled Data," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 17-2019, Sep.

2018

  1. Xiaping Cao & Bihong Huang & Rose Neng Lai, 2018, "The Impact of Exogenous Demand Shock on the Housing Market: Evidence from the Home Purchase Restriction Policy in the People’s Republic of China," ADBI Working Papers, Asian Development Bank Institute, number 824, Mar.
  2. Li, Leona Shao-Zhi & Cui, Chuantao, 2018, "High-speed rail and inventory reduction: Firm-level evidence from China," RIEI Working Papers, Xi'an Jiaotong-Liverpool University, Research Institute for Economic Integration, number 2018-08, Oct.
  3. Jia Chen & Degui Li & Oliver Linton, 2018, "A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables," Discussion Papers, Department of Economics, University of York, number 18/14, Oct.
  4. Yong Li & Xiaobin Liu & Jun Yu & Tao Zeng, 2018, "A New Wald Test for Hypothesis Testing Based on MCMC outputs," Papers, arXiv.org, number 1801.00973, Jan.
  5. Yong Li & Jun Yu & Tao Zeng, 2018, "Integrated Deviance Information Criterion for Latent Variable Models," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 6-2018, Feb.
  6. Weilin Xiao & Jun Yu, 2018, "Asymptotic Theory for Rough Fractional Vasicek Models," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 7-2018, Mar.
  7. Yong Li & Xiaobin Liu & Tao Zeng & Jun Yu, 2018, "A Posterior-Based Wald-Type Statistic for Hypothesis Testing," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 8-2018, May.
  8. Yiu Lim Lui & Weilin Xiao & Jun Yu, 2018, "The Grid Bootstrap for Continuous Time Models," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 20-2018, Nov.
  9. Yiu Lim Lui & Weilin Xiao & Jun Yu, 2018, "Mild-explosive and Local-to-mild-explosive Autoregressions with Serially Correlated Errors," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 22-2018, Dec.

2017

  1. Degui Li & Peter C.B. Phillips & Jiti Gao, 2017, "Kernel-Based Inference In Time-Varying Coefficient Cointegrating Regression," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2109, Sep.
  2. Degui Li & Peter CB Phillips & Jiti Gao, 2017, "Kernel-based inference in time-varying coefficient models with multiple integrated regressors," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 11/17.
  3. Yubo Tao & Jun Yu, 2017, "Model Selection for Explosive Models," Papers, arXiv.org, number 1703.02720, Mar.
  4. Yubo Tao & Peter C.B. Phillips & Jun Yu, 2017, "Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2114, Dec.
  5. Yong Li & Jun Yu & Tao Zeng, 2017, "Deviance Information Criterion for Bayesian Model Selection: Justification and Variation," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 5-2017, Feb.
  6. Weilin Xiao & Jun Yu, 2017, "Asymptotic Theory for Estimating Drift Parameters in the Fractional Vasicek Model," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 8-2017, Apr.
  7. Yong Li & Jun Yu & Tao Zeng, 2017, "A Specification Test based on the MCMC Output," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 9-2017, May.
  8. Liang Jiang & Xiaohu Wang & Jun Yu, 2017, "In-fill Asymptotic Theory for Structural Break Point in Autoregression: A Unified Theory," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 10-2017, May.
  9. Xiaohu Wang & Jun Yu, 2017, "Bubble Testing under Deterministic Trends," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 14-2017, Sep.

2016

  1. Li, Degui & Simar, Leopold & Zelenyuk, Valentin, 2016, "Generalized nonparametric smoothing with mixed discrete and continuous data," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2016020, Jan.
  2. Clark, Ephraim & Qiao, Zhuo & Wong, Wing-Keung, 2016, "Theories of Risk: Testing Investor Behaviour on the Taiwan Stock and Stock Index Futures Markets," MPRA Paper, University Library of Munich, Germany, number 74344, Apr.
  3. Weilin Xiao & Jun Yu, 2016, "Asymptotic Theory for Estimating the Persistent Parameter in the Fractional Vasicek Model," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 13-2016, Sep.
  4. Cheng Liu & Ningning Xia & Jun Yu, 2016, "Shrinkage Estimation of Covariance Matrix for Portfolio Choice with High Frequency Data," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 14-2016, Nov.
  5. Jiang Liang & Wang Xiaohu & Jun Yu, 2016, "New Distribution Theory for the Estimation of Structural Break Point in Mean," Working Papers, Singapore Management University, School of Economics, number 01-2016, Jan.
  6. Li, Mengling & Zheng, Huanhuan & Chong, Terence Tai Leung & Zhang, Yang, 2016, "The Stock-Bond Comovements and Cross-Market Trading," MPRA Paper, University Library of Munich, Germany, number 75871, Sep.

2015

  1. Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015, "Semiparametric dynamic portfolio choice with multiple conditioning variables," CeMMAP working papers, Institute for Fiscal Studies, number 07/15, Feb, DOI: 10.1920/wp.cem.2015.0715.
  2. Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015, "Semiparametric model averaging of ultra-high dimensional time series," CeMMAP working papers, Institute for Fiscal Studies, number 62/15, Oct, DOI: 10.1920/wp.cem.2015.6215.
  3. Degui Li & Junhui Qian & Su Liangjun, 2015, "Panel Data Models with Interactive Fixed Effects and Multiple Structural Breaks," Working Papers, Singapore Management University, School of Economics, number 12-2015, Sep.
  4. Jia Chen & Degui Li & Yingcun Xia, 2015, "New Semiparametric Estimation Procedure for Functional Coefficient Longitudinal Data Models," Discussion Papers, Department of Economics, University of York, number 15/17, Oct.
  5. Peter C. B. Phillips & Ye Chen & Jun Yu, 2015, "Limit Theory for Continuous Time Systems with Mildly Explosive Regressors," Working Papers, Singapore Management University, School of Economics, number 03-2015, Mar.

2014

  1. Jia Chen & Jiti Gao & Degui Li & Zhengyan Lin, 2014, "Specification Testing in Nonstationary Time Series Models," Discussion Papers, Department of Economics, University of York, number 14/19, Sep.
  2. Jia Chen & Degui Li & Hua Liang & Suojin Wang, 2014, "Semiparametric GEE Analysis in Partially Linear Single-Index Models for Longitudinal Data," Discussion Papers, Department of Economics, University of York, number 14/26, Apr.
  3. Liang Jiang & Peter C.B. Phillips & Jun Yu, 2014, "A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1969, Dec.
  4. Tao Zeng & Yong Li & Jun Yu, 2014, "Deviance Information Criterion for Comparing VAR Models," Working Papers, Singapore Management University, School of Economics, number 01-2014, Jun.
  5. Yong Li & Xiao-Bin Liu & Jun Yu, 2014, "A Bayesian Chi-Squared Test for Hypothesis Testing," Working Papers, Singapore Management University, School of Economics, number 03-2014, Jun.
  6. Andras Fulop & Jun Yu, 2014, "Bayesian Analysis of Bubbles in Asset Prices," Working Papers, Singapore Management University, School of Economics, number 04-2014, Jul.
  7. Liang Jiang & Xiaohu Wang & Jun Yu, 2014, "On Bias in the Estimation of Structural Break Points," Working Papers, Singapore Management University, School of Economics, number 22-2014, Dec.

2013

  1. Jiti Gao & Shin Kanaya & Degui Li & Dag Tjøstheim, 2013, "Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-29, Nov.
  2. Li, Degui & Simar, Leopold & Zelenyuk, Valentin, 2013, "To Smooth or Not to Smooth? The Case of Discrete Variables in Nonparametric Regression," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2013025, Jan.
  3. Peter C.B. Phillips & Degui Li & Jiti Gao, 2013, "Estimating Smooth Structural Change in Cointegration Models," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1910, Sep.
  4. Degui Li & Peter C.B. Phillips & Jiti Gao, 2013, "Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1929, Dec.
  5. Jia Chen & Degui Li & Jiti Gao, 2013, "Non- and Semi-Parametric Panel Data Models: A Selective Review," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 18/13.
  6. Kunpeng Li & Degui Li & Zhongwen Lian & Cheng Hsiao, 2013, "Semiparametric Profile Likelihood Estimation of Varying Coefficient Models with Nonstationary Regressors," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 2/13.
  7. Xiangjin B. Chen & Jiti Gao & Degui Li & Param Silvapulle, 2013, "Nonparametric Estimation and Parametric Calibration of Time-Varying Coefficient Realized Volatility Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 21/13.
  8. Peter C.B. Phillips & Shu-Ping Shi & Jun Yu, 2013, "Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1914, Sep.
  9. Peter C.B. Phillips & Shu-Ping Shi & Jun Yu, 2013, "Testing for Multiple Bubbles: Limit Theory of Real Time Detectors," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1915, Sep.
  10. Yong Bao & Aman Ullah & Yun Wang & Jun Yu, 2013, "Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Lévy Processes," Working Papers, Singapore Management University, School of Economics, number 02-2013, Mar.
  11. Xiaohu Wang & Jun Yu, 2013, "Limit Theory for an Explosive Autoregressive Process," Working Papers, Singapore Management University, School of Economics, number 08-2013, Nov.

2012

  1. Degui Li & Oliver Linton & Zudi Lu, 2012, "A flexible semiparametric model for time series," CeMMAP working papers, Institute for Fiscal Studies, number 28/12, Sep, DOI: 10.1920/wp.cem.2012.2812.
  2. Degui Li & Dag Tjøstheim & Jiti Gao, 2012, "Nonlinear Regression with Harris Recurrent Markov Chains," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 14/12, Jul.
  3. Peter O. Christensen & Zhenjiang Qin, 2012, "Information and Heterogeneous Beliefs: Cost of Capital, Trading Volume, and Investor Welfare," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-22, 04.
  4. Zhenjiang Qin, 2012, "Heterogeneous Beliefs, Public Information, and Option Markets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-23, 04.
  5. Zhenjiang Qin, 2012, "Continuous Trading Dynamically Effectively Complete Market with Heterogeneous Beliefs," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-24, 04.
  6. Peter C.B. Phillips & Shu-Ping Shi & Jun Yu, 2012, "Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1842, Jan.
  7. Peter C.B. Phillips & Shu-Ping Shi & Jun Yu, 2012, "Testing for Multiple Bubbles," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1843, Jan.
  8. Andras Fulop & Junye Li & Jun Yu, 2012, "Investigating Impacts of Self-Exciting Jumps in Returns and Volatility: A Bayesian Learning Approach," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd12-264, Dec.
  9. Andras Fulop & Junye Li & Jun Yu, 2012, "Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility," Working Papers, Singapore Management University, School of Economics, number 03-2012, Jan.
  10. Qiankun Zhou & Jun Yu, 2012, "Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes," Working Papers, Singapore Management University, School of Economics, number 11-2012, Jan.
  11. Yong Li & Jun Yu, 2012, "A New Bayesian Unit Root Test in Stochastic Volatility Models," Working Papers, Singapore Management University, School of Economics, number 14-2012, Jan.
  12. Yong Li & Tao Zeng & Jun Yu, 2012, "Robust Deviance Information Criterion for Latent Variable Models," Working Papers, Singapore Management University, School of Economics, number 30-2012, Aug.
  13. Matthew S. Yiu & Jun Yu & Lu Jin, 2012, "Detecting Bubbles in Hong Kong Residential Property Market," Working Papers, Singapore Management University, School of Economics, number 31-2012, Aug.

2011

  1. Jia Chen & Jiti Gao & Degui Li, 2011, "Estimation in Partially Linear Single-Index Panel Data Models with Fixed Effects," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 14/11, Sep.
  2. Degui Li & Zudi Lu & Oliver Linton, 2011, "Local Linear Fitting Under Near Epoch Dependence: Uniform consistency with Convergence Rates," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 16/11, Sep.
  3. Xiaohu Wang & Peter C.B. Phillips & Jun Yu, 2011, "Bias in Estimating Multivariate and Univariate Diffusions," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1778, Jan.
  4. Shu-Ping Shi & Peter C. B. Phillips & Jun Yu, 2011, "Specification Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles," Working Papers, Hong Kong Institute for Monetary Research, number 172011, Jun.
  5. Tore Selland Kleppe & Jun Yu & Hans J. skaug, 2011, "Simulated Maximum Likelihood Estimation for Latent Diffusion Models," Working Papers, Singapore Management University, School of Economics, number 10-2011, Aug.
  6. Yong Li & Jun Yu, 2011, "Bayesian Hypothesis Testing in Latent Variable Models," Working Papers, Singapore Management University, School of Economics, number 11-2011, Aug.
  7. Ye Chen & Jun Yu, 2011, "Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models," Working Papers, Singapore Management University, School of Economics, number 12-2011, Oct.
  8. Xiaohu Wang & Jun Yu, 2011, "Double Asymptotics for an Explosive Continuous Time Model," Working Papers, Singapore Management University, School of Economics, number 16-2011, Nov.

2010

  1. Robert Van Order & Rose Neng Lai, 2010, "Risk Taking, Securitization And The Option To Change Strategy," ERES, European Real Estate Society (ERES), number eres2010_366, Jan.
  2. Yaovarate Chaovanapoonphol & Christine Lim & Michael McAleer & Aree Wiboonpongse, 2010, "Time Series Modelling of Tourism Demand from the USA, Japan and Malaysia to Thailand," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/05, Mar.
  3. Chia-Lin Chang & Michael McAleer & Christine Lim, 2010, "Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/40, Jun.
  4. Degui Li & Jia Chen & Jiti Gao, 2010, "Nonparametric Time-Varying Coefficient Panel Data Models with Fixed Effects," Adelaide Economics Working Papers, Adelaide University, School of Economics, number 2010-08, May.
  5. Jia Chen & Jiti Gao & Degui Li, 2010, "Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions," Adelaide Economics Working Papers, Adelaide University, School of Economics, number 2010-09, May.
  6. Jia Chen & Jiti Gao & Degui Li, 2010, "Semiparametric Trending Panel Data Models with Cross-Sectional Dependence," Adelaide Economics Working Papers, Adelaide University, School of Economics, number 2010-10, May.
  7. Jia Chen & Jiti Gao & Degui Li, 2010, "Estimation in Semiparametric Time Series Regression," Adelaide Economics Working Papers, Adelaide University, School of Economics, number 2010-27, Oct.
  8. Degui Li & Oliver Linton & Zudi Lu, 2010, "Loch Linear Fitting under Near Epoch Dependence: Uniform Consistency with Convergence Rate," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 549, Aug.
  9. Peter C. B. Phillips & Jun Yu, 2010, "Dating the Timeline of Financial Bubbles during the Subprime Crisis," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1770, Sep.
  10. Tore Selland Kleppe & Jun Yu & Hans J. Skaug, 2010, "Estimating the GARCH Diffusion: Simulated Maximum Likelihood in Continuous Time," Working Papers, Singapore Management University, School of Economics, number 13-2010, Jan.
  11. Peter C.B. Phillips & Jun Yu, 2010, "A Conversation with Eric Ghysels Co-President of the Society for Financial Econometrics," Working Papers, Singapore Management University, School of Economics, number 15-2010, Oct.
  12. Peter C.B. Phillips & Jun Yu & Eric Ghysels, 2010, "Measurement and High Finance," Working Papers, Singapore Management University, School of Economics, number 17-2010, Oct.
  13. Peter C.B. Phillips & Jun Yu, 2010, "Corrigendum to “A Gaussian Approach for Continuous Time Models of the Short Term Interest Rate"," Working Papers, Singapore Management University, School of Economics, number 18-2010, Oct.
  14. Jun Yu, 2010, "Simulation-based Estimation Methods for Financial Time Series Models," Working Papers, Singapore Management University, School of Economics, number 19-2010, Oct.

2009

  1. Chia-Lin Chang & Michael McAleer & Christine Lim, 2009, "Modelling Short and Long Haul Volatility in Japanese Tourist Arrivals to New Zealand and Taiwan," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-647, Aug.
  2. Jia Chen & Jiti Gao & Degui Li, 2009, "Semiparametric Regression Estimation in Null Recurrent Nonlinear Time Series," Adelaide Economics Working Papers, Adelaide University, School of Economics, number 2009-02.
  3. Jia Chen & Jiti Gao & Degui Li, 2009, "A New Diagnostic Test for Cross-Section Independence in Nonparametric Panel Data Model," Adelaide Economics Working Papers, Adelaide University, School of Economics, number 2009-16.
  4. Peter C.B. Phillips & Yangru Wu & Jun Yu, 2009, "Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1699, Jun.
  5. Daniel Preve & Anders Eriksson & Jun Yu, 2009, "Forecasting Realized Volatility Using A Nonnegative Semiparametric Model," Finance Working Papers, East Asian Bureau of Economic Research, number 23049, Jan.
  6. Shirley J. Huang & Jun Yu, 2009, "Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises," Finance Working Papers, East Asian Bureau of Economic Research, number 23054, Jan.
  7. Jun Yu, 2009, "Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models," Microeconomics Working Papers, East Asian Bureau of Economic Research, number 23045, Jan.
  8. Jun Yu, 2009, "Econometric Analysis of Continuous Time Models : A Survey of Peter Phillips’ Work and Some New Results," Microeconomics Working Papers, East Asian Bureau of Economic Research, number 23046, Jan.
  9. Hans J. Skaug & Jun Yu, 2009, "Automated Likelihood Based Inference for Stochastic Volatility Models," Working Papers, Singapore Management University, School of Economics, number 15-2009, Nov.
  10. Tore Selland KLEPPE & Jun YU & Hans J. SKAUG, 2009, "Stimulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models," Working Papers, Singapore Management University, School of Economics, number 20-2009, Jun.
  11. Jun YU, 2009, "Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results," Working Papers, Singapore Management University, School of Economics, number 21-2009, Nov.

2008

  1. Liew, Venus Khim-Sen & Qiao, Zhuo & Wong, Wing-Keung, 2008, "Linearity and stationarity of G7 government bond returns," MPRA Paper, University Library of Munich, Germany, number 24836, revised 08 Sep 2010.
  2. Jun Yu, 2008, "A Semiparametric Stochastic Volatility Model," Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics, number CoFie-04-2008, Jul.

2007

  1. Chen, Cheny & Liu, Ming-Liu & Nguyen, Hoa, 2007, "The information content of implied volatility in the Hong Kong and Singapore covered warrants markets," Working Papers, Deakin University, Department of Economics, number aef_2007_16, Sep.
  2. Peter C.B. Phillips & Jun Yu, 2007, "Information Loss in Volatility Measurement with Flat Price Trading," Levine's Bibliography, UCLA Department of Economics, number 321307000000000805, Jan.
  3. Peter C.B. Phillips & Jun Yu, 2007, "Simulation-based Estimation of Contingent-claims Prices," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1596, Jan.
  4. Peter C.B. Phillips & Jun Yu, 2007, "Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1597, Jan.

2006

  1. Christian Gourieroux & Peter C. B. Phillips & Jun Yu, 2006, "Indirect Inference for Dynamic Panel Models," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1550, Jan.
  2. Peter C. B. Phillips & Jun Yu, 2006, "A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete," Macroeconomics Working Papers, East Asian Bureau of Economic Research, number 22472, Jan.
  3. Manabu Asai & Michael McAleer & Jun Yu, 2006, "Multivariate Stochastic Volatility," Microeconomics Working Papers, East Asian Bureau of Economic Research, number 22058, Jan.
  4. Jun Yu, 2006, "Temporal Aggregation and Risk-Return Relation," Working Papers, Singapore Management University, School of Economics, number 01-2007, Mar.

2005

  1. Peter C.B. Phillips & Jun Yu, 2005, "A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1523, Jun.
  2. Peter C. B. Phillips & Jun Yu, 2005, "Comments on “A selective overview of nonparametric methods in financial econometricsâ€Â," Finance Working Papers, East Asian Bureau of Economic Research, number 22469, Jan.
  3. Peter C. B. Phillips & Jun Yu, 2005, "Comment on “Realized Variance and Market Microstructure Noise†by Peter R. Hansen and Asger Lunde," Finance Working Papers, East Asian Bureau of Economic Research, number 22470, Jan.
  4. Peter C. B. Phillips & Jun Yu, 2005, "Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan," Working Papers, Singapore Management University, School of Economics, number 08-2005, Apr.
  5. Peter C. B. Phillips & Jun Yu, 2005, "Comment on “Realized Variance and Market Microstructure Noise” by Peter R. Hansen and Asger Lunde," Working Papers, Singapore Management University, School of Economics, number 13-2005, Sep.

2004

  1. Jun Yu, 2004, "On leverage in a stochastic volatility model," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 497, Aug.
  2. Jun Yu & Renate Meyer, 2004, "Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison," Working Papers, Singapore Management University, School of Economics, number 23-2004, Nov.
  3. Jun Yu, 2004, "Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility," Working Papers, Singapore Management University, School of Economics, number 24-2004, Sep.
  4. Huang Weihong & Zhang Yang, 2004, "Estimating Structural Change in Linear Simultaneous Equations," Econometric Society 2004 Australasian Meetings, Econometric Society, number 110, Aug.

2003

  1. Christine Lim & Michael McAleer, 2003, "Ecologically Sustainable Tourism Management," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-206, Mar.
  2. Christine Lim & Michael McAleer, 2003, "Modelling International Travel Demand from Singapore to Australia," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-214, Mar.
  3. Peter C.B. Phillips & Jun Yu, 2003, "Jackknifing Bond Option Prices," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1392, Jan.
  4. Zhang, Wenyang & Yao, Qiwei & Tong, Howell & Stenseth, Nils Chr, 2003, "Smoothing for spatiotemporal models and its application to modeling Muskrat-Mink interaction," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 5832, Dec.

2002

  1. Yu, Jun, 2002, "MCMC Methods for Estimating Stochastic Volatility Models with Liverage Effects: Comments on Jacquier, Polson and Rossi (2002)," Working Papers, Department of Economics, The University of Auckland, number 138.
  2. Berg, Andreas & Meyer, Renate & Yu, Jun, 2002, "Deviance Information Criterion as a Model Comparison Criterion for Stochastic Volatility Models," Working Papers, Department of Economics, The University of Auckland, number 178.
  3. Tse, Y.K. & Zhang, Bill & Yu, Jun, 2002, "Estimation of Hyperbolic Diffusion using MCMC Method," Working Papers, Department of Economics, The University of Auckland, number 182.
  4. Yu, Jun & Yang, Zhenlin, 2002, "A Class of Nonlinear Stochastic Volatility Models," Working Papers, Department of Economics, The University of Auckland, number 203.
  5. Jun Yu & Zhenlin Yang & Xibin Zhang, 2002, "A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 17/02, Nov.

2001

  1. Christine Lim & Michael McAleer, 2001, "Modelling the Determinants of International Tourism Demand to Australia," ISER Discussion Paper, Institute of Social and Economic Research, The University of Osaka, number 0532, Apr.
  2. Christine Lim & Michael McAleer, 2001, "Time Series Forecasts of International Tourism Demand for Australia," ISER Discussion Paper, Institute of Social and Economic Research, The University of Osaka, number 0533, Apr.
  3. Bluhm, Hagen & Yu, Jun, 2001, "Forecasting Volatility:Evidence from the German Stock Market," Working Papers, Department of Economics, The University of Auckland, number 217.
  4. Jun Yu & Peter C.B. Phillips, 2001, "Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1309, Jul.
  5. Cai, Zongwu & Yao, Qiwei & Zhang, Wenyang, 2001, "Smoothing for discrete-valued time series," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 6095.

2000

  1. Phillips, Peter & Yu, Jun, 2000, "Exact Gaussian Estimation of Continuous Time Models of The Term Structure of Interest Rates Rankings of Economics Departments in New Zealand," Working Papers, Department of Economics, The University of Auckland, number 161.
  2. Meyer, Renate & Yu, Jun, 2000, "BUGS for a Bayesian Analysis of Stochastic Volatility Models," Working Papers, Department of Economics, The University of Auckland, number 206.

1999

  1. Yu, Jun, 1999, "Estimation of a Self-Exciting Poisson Jump Diffusion Model by the Empirical Characteristic Function Method," Working Papers, Department of Economics, The University of Auckland, number 168.
  2. Yu, Jun, 1999, "Forecasting Volatility in the New Zealand Stock Market," Working Papers, Department of Economics, The University of Auckland, number 175.
  3. Knight, John & Satchell, Stephen & Yu, Jun, 1999, "Efficient Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method," Working Papers, Department of Economics, The University of Auckland, number 205.
  4. Knight, John & Yu, Jun, 1999, "Empirical Characteristic Function in Time Series Estimation," Working Papers, Department of Economics, The University of Auckland, number 220.
  5. Bandyopadhyay, Debasis & Yu, Jun, 1999, "Do Topics Diffuse from Core to Periphery Journals?," Working Papers, Department of Economics, The University of Auckland, number 222.

1998

  1. Yu, J & Shao, Q & Yu, H, 1998, "A Test Statistic and Its Application in Modelling Daily Stock Returns," Working Papers, Department of Economics, The University of Auckland, number 192.

Undated

  1. Peter C.B.Phillips & Jun Yu, undated, "Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods in Time Series Data," Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics, number CoFie-05-2009.

Journal articles

2026

  1. Li, Yong & Mallick, Sushanta K. & Wang, Nianling & Yu, Jun & Zeng, Tao, 2026, "Deviance Information Criterion for Bayesian model selection: Theoretical justification and applications," Journal of Econometrics, Elsevier, volume 256, issue PB, DOI: 10.1016/j.jeconom.2025.105978.
  2. Jun Yu & Xuefeng Zhang & Sandra Pinton & Elena Vacchi & Andrea Cavalli & Matteo Pecoraro & Giorgia Melli & Andreas Boland, 2026, "Structure of ATTRv-F64S fibrils isolated from skin tissue of a living patient," Nature Communications, Nature, volume 17, issue 1, pages 1-10, December, DOI: 10.1038/s41467-025-67457-2.

2025

  1. Ding, Yi & Engle, Robert & Li, Yingying & Zheng, Xinghua, 2025, "Multiplicative factor model for volatility," Journal of Econometrics, Elsevier, volume 249, issue PB, DOI: 10.1016/j.jeconom.2025.105959.
  2. Shiyang Huang & Wenxi Jiang & Xiaoxi Liu & Xin Liu, 2025, "Does Liquidity Management Induce Fragility in Treasury Prices? Evidence from Bond Mutual Funds," The Review of Financial Studies, Society for Financial Studies, volume 38, issue 2, pages 337-380.
  3. Chemmanur, Thomas J. & Shen, Yao & Xie, Jing, 2025, "Unlocking strategic alliances: The role of common institutional blockholders in promoting collaboration and trust," Journal of Financial Stability, Elsevier, volume 76, issue C, DOI: 10.1016/j.jfs.2024.101350.
  4. Xiaoqiao Wang & Jing Xie & Bohui Zhang & Xiaofeng Zhao, 2025, "Investor communication and payout policy: a field experiment," Review of Finance, European Finance Association, volume 29, issue 6, pages 1833-1870.
  5. Ru, Hong & Yang, Endong & Zou, Kunru, 2025, "Early-life experience and CEOs’ reactions to COVID-19," Journal of Accounting and Economics, Elsevier, volume 79, issue 1, DOI: 10.1016/j.jacceco.2024.101734.
  6. Shuping Shi & Xiaobin Liu & Jun Yu, 2025, "Fractional stochastic volatility model," Journal of Time Series Analysis, Wiley Blackwell, volume 46, issue 2, pages 378-397, March, DOI: 10.1111/jtsa.12749.
  7. Katsuto Tanaka & Weilin Xiao & Jun Yu, 2025, "Local powers of least‐squares‐based test for panel fractional Ornstein–Uhlenbeck process," Journal of Time Series Analysis, Wiley Blackwell, volume 46, issue 5, pages 997-1023, September, DOI: 10.1111/jtsa.12777.
  8. Shuping Shi & Jun Yu & Chen Zhang, 2025, "Fractional Gaussian Noise: Spectral Density and Estimation Methods," Journal of Time Series Analysis, Wiley Blackwell, volume 46, issue 6, pages 1146-1174, November, DOI: 10.1111/jtsa.12750.
  9. Chen, Chuanglian & Liu, Xiaobin & Yu, Jun & Zeng, Tao, 2025, "The time-varying zone-like and asymmetric preference of central banks: Evidence from China," China Economic Review, Elsevier, volume 94, issue PA, DOI: 10.1016/j.chieco.2025.102517.
  10. Chen, Han & Fei, Yijie & Yu, Jun, 2025, "Multivariate stochastic volatility models based on generalized Fisher transformation," Journal of Econometrics, Elsevier, volume 251, issue C, DOI: 10.1016/j.jeconom.2025.106041.
  11. Yujuan Qi & Xia Chen & Sen Zheng & Tiantian Wu & Zhenbei Li & Jie Cheng & Xinhui Yang & Wei Tao & Qiuru Huang & Juan Gu & Qingqing Sun & Ning Chen & Xiangnan Cao & Jiaxin Li & Lei He & Chenyu Wang & X, 2025, "Single-cell and spatially resolved omics reveal transcriptional and metabolic signatures of ovarian endometriomas," Nature Communications, Nature, volume 16, issue 1, pages 1-17, December, DOI: 10.1038/s41467-025-66706-8.
  12. Jia Li & Peter C B Phillips , & Shuping Shi & Jun Yu, 2025, "Weak Identification of Long Memory with Implications for Volatility Modeling," The Review of Financial Studies, Society for Financial Studies, volume 38, issue 10, pages 3117-3148.
  13. Qian, Yihe & Zhang, Yang, 2025, "Long-term forecasting in asset pricing: Machine learning models’ sensitivity to macroeconomic shifts and firm-specific factors," The North American Journal of Economics and Finance, Elsevier, volume 78, issue C, DOI: 10.1016/j.najef.2025.102423.
  14. Luo, Xu & Zhang, Yang & Xia, Jianjun & Jiang, Yi, 2025, "Carbon emission accounting and responsibility allocation for district heating in northern China: A baseline value approach," Energy, Elsevier, volume 335, issue C, DOI: 10.1016/j.energy.2025.138181.
  15. Soukvisan Khinsamone & Zhang Yang & Visansack Khamphengvong & Sisabay Chanthasombath, 2025, "Cointegration between Electricity prices and the Consumer Price Index in Lao PDR," Bulletin of Applied Economics, Risk Market Journals, volume 12, issue 2, pages 1-13.
  16. Ruihui Xu & Kuanju Lai & Yang Zhang, 2025, "Monetary Policy And Wealth Inequality: Evidence From China," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., volume 70, issue 01, pages 181-209, March, DOI: 10.1142/S0217590824500115.
  17. Chuang Wan & Hao Zeng & Wenyang Zhang & Wei Zhong & Changliang Zou, 2025, "Data‐driven estimation for multithreshold accelerated failure time model," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, volume 52, issue 1, pages 447-468, March, DOI: 10.1111/sjos.12758.

2024

  1. Ding, Yi & Li, Yingying & Liu, Guoli & Zheng, Xinghua, 2024, "Stock co-jump networks," Journal of Econometrics, Elsevier, volume 239, issue 2, DOI: 10.1016/j.jeconom.2023.01.026.
  2. Yi Ding & Yingying Li & Rui Song, 2024, "Statistical Learning for Individualized Asset Allocation," Journal of the American Statistical Association, Taylor & Francis Journals, volume 119, issue 545, pages 639-649, January, DOI: 10.1080/01621459.2022.2139265.
  3. Li, Zongyuan & Lai, Rose Neng, 2024, "Are “too big to fail” banks just different in size? – A study on systemic risk and stand-alone risk," International Review of Financial Analysis, Elsevier, volume 93, issue C, DOI: 10.1016/j.irfa.2024.103163.
  4. Liu, Nian & Qian, Yihe & Gu, Xinhua & Li, Guoqiang, 2024, "Digital technology, e-commerce, and economic inequality: The case of China," International Review of Economics & Finance, Elsevier, volume 91, issue C, pages 259-271, DOI: 10.1016/j.iref.2024.01.016.
  5. Li, Degui, 2024, "Estimation of Large Dynamic Covariance Matrices: A Selective Review," Econometrics and Statistics, Elsevier, volume 29, issue C, pages 16-30, DOI: 10.1016/j.ecosta.2021.04.008.
  6. Xiaorong Yang & Jia Chen & Degui Li & Runze Li, 2024, "Functional-Coefficient Quantile Regression for Panel Data with Latent Group Structure," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 42, issue 3, pages 1026-1040, July, DOI: 10.1080/07350015.2023.2277172.
  7. Dong, Liang & Yu, Bo & Qin, Zhenjiang & Lam, Keith S.K., 2024, "Liquidity risk and expected returns in China’s stock market: A multidimensional liquidity approach," Research in International Business and Finance, Elsevier, volume 69, issue C, DOI: 10.1016/j.ribaf.2024.102247.
  8. Zhenzhong Zhang & Xiaofeng Wang & Jinying Tong & Tiandao Zhou & Zhenjiang Qin, 2024, "Some explicit expressions for GBM with Markovian switching and parameter estimations," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, volume 53, issue 3, pages 1091-1121, February, DOI: 10.1080/03610926.2022.2100908.
  9. Chang, Yuyuan & Foss, Nicolai J. & Li, Shuping & Xie, Jing, 2024, "Compensation peer effects of corporate social responsibility," Journal of Corporate Finance, Elsevier, volume 89, issue C, DOI: 10.1016/j.jcorpfin.2024.102679.
  10. Chang, Xin & Chen, Yangyang & Fu, Kangkang & Yang, Endong, 2024, "Institutional investor horizons, information environment, and firm financing decisions," Journal of Contemporary Accounting and Economics, Elsevier, volume 20, issue 1, DOI: 10.1016/j.jcae.2023.100397.
  11. Lui, Yiu Lim & Phillips, Peter C.B. & Yu, Jun, 2024, "Robust testing for explosive behavior with strongly dependent errors," Journal of Econometrics, Elsevier, volume 238, issue 2, DOI: 10.1016/j.jeconom.2023.105626.
  12. Shi, Shuping & Yu, Jun & Zhang, Chen, 2024, "On the spectral density of fractional Ornstein–Uhlenbeck processes," Journal of Econometrics, Elsevier, volume 245, issue 1, DOI: 10.1016/j.jeconom.2024.105872.
  13. Xiaohu Wang & Jun Yu & Chen Zhang, 2024, "On the optimal forecast with the fractional Brownian motion," Quantitative Finance, Taylor & Francis Journals, volume 24, issue 2, pages 337-346, January, DOI: 10.1080/14697688.2023.2297730.
  14. Sun, Yan & Wan, Chuang & Zhang, Wenyang & Zhong, Wei, 2024, "A Multi-Kink quantile regression model with common structure for panel data analysis," Journal of Econometrics, Elsevier, volume 239, issue 2, DOI: 10.1016/j.jeconom.2022.04.012.

2023

  1. Graeme Newell & Muhammad Jufri Marzuki & Martin Hoesli & Rose Neng Lai, 2023, "The performance of non-listed opportunity real estate funds in China," Journal of Property Investment & Finance, Emerald Group Publishing Limited, volume 41, issue 6, pages 583-600, February, DOI: 10.1108/JPIF-09-2021-0075.
  2. Stanley Iat Meng Ko & Rose Neng Lai & Zhenjiang Qin, 2023, "Social Network Matters: Capital Structure Risk Control on REITs," The Journal of Real Estate Finance and Economics, Springer, volume 66, issue 3, pages 709-742, April, DOI: 10.1007/s11146-021-09833-5.
  3. Yu Jiang & Adrian C. H. Lei, 2023, "Security Analysts’ Site Visits and Stock Price Synchronicity," Financial Markets, Institutions & Instruments, John Wiley & Sons, volume 32, issue 4, pages 195-219, November, DOI: 10.1111/fmii.12180.
  4. Yang, Fiona X. & Li, Leona Shao-Zhi & Yang, Gongyan & Yuan, Jia, 2023, "Political ideological distance and tourism demand: The cultural–political interplay," Annals of Tourism Research, Elsevier, volume 98, issue C, DOI: 10.1016/j.annals.2022.103525.
  5. Cui, Chuantao & Li, Leona Shao-Zhi, 2023, "Trade policy uncertainty and new firm entry: Evidence from China," Journal of Development Economics, Elsevier, volume 163, issue C, DOI: 10.1016/j.jdeveco.2023.103093.
  6. Ming-Hua Liu & Shaohua Tian & Yang Zhang, 2023, "CEO marital status and corporate tax planning behavior," Review of Quantitative Finance and Accounting, Springer, volume 61, issue 4, pages 1207-1242, November, DOI: 10.1007/s11156-023-01178-9.
  7. Ming-Hua Liu & Dimitris Margaritis & Yang Zhang, 2023, "The impact of regulation on credit card market competition: evidence from Australia," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 47, issue 3, pages 669-689, September, DOI: 10.1007/s12197-023-09619-w.
  8. Yu-Ning Li & Degui Li & Piotr Fryzlewicz, 2023, "Detection of Multiple Structural Breaks in Large Covariance Matrices," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 41, issue 3, pages 846-861, July, DOI: 10.1080/07350015.2022.2076686.
  9. Fai Lim Loi & Jean Jinghan Chen & Zhuo Qiao, 2023, "CEO cultural background and corporate cash holdings," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, volume 63, issue S1, pages 1069-1100, April, DOI: 10.1111/acfi.13019.
  10. Zhuo Qiao & Zhaohua Li & Yanzhi Wang, 2023, "Air pollution and innovation-evidence from quasi-natural experiment of China’s Huai River policy," Review of Quantitative Finance and Accounting, Springer, volume 60, issue 2, pages 425-443, February, DOI: 10.1007/s11156-022-01097-1.
  11. Mengjiao Chen & Jinjuan Ren & Jingying Zhao, 2023, "The impact of corporate culture on stock price crash risk: a firm-level analysis," International Journal of Accounting & Information Management, Emerald Group Publishing Limited, volume 32, issue 1, pages 1-18, November, DOI: 10.1108/IJAIM-04-2023-0095.
  12. C. S. Agnes Cheng & Xiaohui (Fiona) Li & Jing Xie & Yuxiang Zhong, 2023, "Accounting conservatism and common ownership by dedicated institutional blockholders," Journal of Business Finance & Accounting, Wiley Blackwell, volume 50, issue 9-10, pages 1943-1983, October, DOI: 10.1111/jbfa.12681.
  13. Chemmanur, Thomas J. & Shen, Yao & Xie, Jing, 2023, "Innovation beyond firm boundaries: Strategic alliances and corporate innovation," Journal of Corporate Finance, Elsevier, volume 80, issue C, DOI: 10.1016/j.jcorpfin.2023.102418.
  14. Sun, Zeyu & Li, Xiaohui & Xie, Jing & Cheng, C.S., 2023, "How does dividend payout affect corporate social responsibility? A channel analysis," Journal of Financial Stability, Elsevier, volume 68, issue C, DOI: 10.1016/j.jfs.2023.101165.
  15. Agnes Cheng, C.S. & Xie, Jing & Zhong, Yuxiang, 2023, "Common institutional blockholders and tail risk," Journal of Banking & Finance, Elsevier, volume 148, issue C, DOI: 10.1016/j.jbankfin.2022.106723.
  16. Wang, Xiaohu & Xiao, Weilin & Yu, Jun, 2023, "Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process," Journal of Econometrics, Elsevier, volume 232, issue 2, pages 389-415, DOI: 10.1016/j.jeconom.2021.08.001.
  17. Li, Yong & Wang, Nianling & Yu, Jun, 2023, "Improved marginal likelihood estimation via power posteriors and importance sampling," Journal of Econometrics, Elsevier, volume 234, issue 1, pages 28-52, DOI: 10.1016/j.jeconom.2021.11.009.
  18. Shuping Shi & Jun Yu, 2023, "Volatility Puzzle: Long Memory or Antipersistency," Management Science, INFORMS, volume 69, issue 7, pages 3861-3883, July, DOI: 10.1287/mnsc.2022.4552.
  19. Xiaohu Wang & Jun Yu, 2023, "Bubble testing under polynomial trends," The Econometrics Journal, Royal Economic Society, volume 26, issue 1, pages 25-44.
  20. Peter C. B. Phillips & Jun Yu, 2023, "Information loss in volatility measurement with flat price trading," Empirical Economics, Springer, volume 64, issue 6, pages 2957-2999, June, DOI: 10.1007/s00181-022-02353-y.
  21. Xiaohu Wang & Jun Yu, 2023, "Latent local-to-unity models," Econometric Reviews, Taylor & Francis Journals, volume 42, issue 7, pages 586-611, August, DOI: 10.1080/07474938.2023.2215034.
  22. Yanbo Liu & Peter C. B. Phillips & Jun Yu, 2023, "A Panel Clustering Approach To Analyzing Bubble Behavior," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 64, issue 4, pages 1347-1395, November, DOI: 10.1111/iere.12647.
  23. Zhang, Chu & Zhao, Shen, 2023, "The macroeconomic announcement premium and information environment," Journal of Monetary Economics, Elsevier, volume 139, issue C, pages 55-73, DOI: 10.1016/j.jmoneco.2023.06.005.
  24. Chuang Wan & Wei Zhong & Wenyang Zhang & Changliang Zou, 2023, "Multikink quantile regression for longitudinal data with application to progesterone data analysis," Biometrics, The International Biometric Society, volume 79, issue 2, pages 747-760, June, DOI: 10.1111/biom.13667.

2022

  1. Zongyuan Li & Rose Neng Lai, 2022, "Interbank borrowing and bank liquidity risk," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, volume 45, issue 1, pages 53-91, March, DOI: 10.1111/jfir.12268.
  2. Martin Hoesli & Graeme Newell & Muhammad Jufri Bin Marzuki & Rose Neng Lai, 2022, "The Performance and Diversification Potential of Non-Listed Value-Add Real Estate Funds in Japan," JRFM, MDPI, volume 15, issue 5, pages 1-16, April.
  3. Jingya Li & Zongyuan Li & Ming-Hua Liu, 2022, "Bank competition, interest rate pass-through and the impact of the global financial crisis: evidence from Hong Kong and Macao," China Finance Review International, Emerald Group Publishing Limited, volume 12, issue 4, pages 646-666, February, DOI: 10.1108/CFRI-08-2021-0172.
  4. Jingya Li & Ming-Hua Liu & Keshab Shrestha, 2022, "Does the conventional money market overnight rate influence the investment rate of Islamic deposits? Evidence from Malaysia," International Journal of Islamic and Middle Eastern Finance and Management, Emerald Group Publishing Limited, volume 16, issue 3, pages 647-668, November, DOI: 10.1108/IMEFM-03-2021-0107.
  5. Qiao, Zhuo & Wang, Yan & Lam, Keith S.K., 2022, "New evidence on Bayesian tests of global factor pricing models," Journal of Empirical Finance, Elsevier, volume 68, issue C, pages 160-172, DOI: 10.1016/j.jempfin.2022.07.002.
  6. Fai Lim Loi & Zhuo Qiao, 2022, "The Effects of a Structural Reform on Corporate Outcomes in China: A Generalized Propensity Score Matching Approach," Emerging Markets Finance and Trade, Taylor & Francis Journals, volume 58, issue 6, pages 1590-1601, May, DOI: 10.1080/1540496X.2021.1904881.
  7. Ephraim Clark & Zhuo Qiao, 2022, "Stock exchange efficiency and convergence: international evidence," Annals of Operations Research, Springer, volume 313, issue 2, pages 855-875, June, DOI: 10.1007/s10479-020-03869-1.
  8. Yi Jiang & Tingting Que & Miaomiao Yu, 2022, "Price asymmetries in the US airline industry," The Financial Review, Eastern Finance Association, volume 57, issue 4, pages 793-814, November, DOI: 10.1111/fire.12293.
  9. Chen, Rui & Ren, Jinjuan, 2022, "Do AI-powered mutual funds perform better?," Finance Research Letters, Elsevier, volume 47, issue PA, DOI: 10.1016/j.frl.2021.102616.
  10. Chui, Peter M.W. & Fong, Lawrence Hoc Nang & Ren, Jinjuan & Tam, Lewis H.K., 2022, "Anchoring effects in repeated auctions of homogeneous objects: Evidence from Macao," Journal of Economic Psychology, Elsevier, volume 90, issue C, DOI: 10.1016/j.joep.2022.102514.
  11. Allen, Franklin & Qian, Meijun & Xie, Jing, 2022, "Implicit benefits and financing," Journal of Financial Intermediation, Elsevier, volume 52, issue C, DOI: 10.1016/j.jfi.2022.101000.
  12. Liu, Xiaobin & Li, Yong & Yu, Jun & Zeng, Tao, 2022, "Posterior-based Wald-type statistics for hypothesis testing," Journal of Econometrics, Elsevier, volume 230, issue 1, pages 83-113, DOI: 10.1016/j.jeconom.2021.11.003.
  13. Yue Qiu & Tian Xie & Jun Yu & Qiankun Zhou, 2022, "Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks
    [Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts]    ," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 1, pages 160-186.
  14. Yiu Lim Lui & Weilin Xiao & Jun Yu, 2022, "The Grid Bootstrap for Continuous Time Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 40, issue 3, pages 1390-1402, June, DOI: 10.1080/07350015.2021.1930014.
  15. Changliang Zou & Yuan Ke & Wenyang Zhang, 2022, "Estimation of Low Rank High-Dimensional Multivariate Linear Models for Multi-Response Data," Journal of the American Statistical Association, Taylor & Francis Journals, volume 117, issue 538, pages 693-703, April, DOI: 10.1080/01621459.2020.1799813.
  16. Yuan Ke & Heng Lian & Wenyang Zhang, 2022, "High-Dimensional Dynamic Covariance Matrices With Homogeneous Structure," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 40, issue 1, pages 96-110, January, DOI: 10.1080/07350015.2020.1779079.
  17. Wei Zhong & Chuang Wan & Wenyang Zhang, 2022, "Estimation and Inference for Multi-Kink Quantile Regression," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 40, issue 3, pages 1123-1139, June, DOI: 10.1080/07350015.2021.1901720.
  18. Gaorong Li & Lei Huang & Jin Yang & Wenyang Zhang, 2022, "A Synthetic Regression Model for Large Portfolio Allocation," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 40, issue 4, pages 1665-1677, October, DOI: 10.1080/07350015.2021.1961787.

2021

  1. Ding, Yi & Li, Yingying & Zheng, Xinghua, 2021, "High dimensional minimum variance portfolio estimation under statistical factor models," Journal of Econometrics, Elsevier, volume 222, issue 1, pages 502-515, DOI: 10.1016/j.jeconom.2020.07.013.
  2. Zongyuan Li & Rose Neng Lai, 2021, "Not All Bank Liquidity Creation Boosts Prices-The Case of the US Housing Market," International Real Estate Review, Global Social Science Institute, volume 24, issue 1, pages 19-58.
  3. Rose Neng Lai & Lawrence Hoc Nang Fong, 2021, "Development Strategies in a Market of High Vacancies and Sticky Rates – The Case of the Hotel Industry," International Real Estate Review, Global Social Science Institute, volume 24, issue 3, pages 363-383.
  4. Rose Neng Lai, 2021, "Research for the ‘exciting, dynamic and unique’ Asian markets: a commentary on ‘Future research opportunities for Asian real estate’," International Journal of Urban Sciences, Taylor & Francis Journals, volume 25, issue 2, pages 291-295, April, DOI: 10.1080/12265934.2019.1625804.
  5. Chuantao Cui & Leona Shao‐Zhi Li & Daoju Peng, 2021, "Value‐added exports and the skill premium: Evidence from China’s international and regional production networks," Pacific Economic Review, Wiley Blackwell, volume 26, issue 2, pages 183-211, May, DOI: 10.1111/1468-0106.12320.
  6. Cui, Chuantao & Li, Leona Shao-Zhi, 2021, "The effect of the US–China trade war on Chinese new firm entry," Economics Letters, Elsevier, volume 203, issue C, DOI: 10.1016/j.econlet.2021.109846.
  7. Zhao, Qingbin & Li, Guoqiang & Gu, Xinhua & Lei, Chun Kwok, 2021, "Inequality hikes, saving surges, and housing bubbles," International Review of Economics & Finance, Elsevier, volume 72, issue C, pages 349-363, DOI: 10.1016/j.iref.2020.12.012.
  8. Ming-Hua Liu & Tianyun Liu & Keshab Shrestha & Yang Zhang, 2021, "The impact of financial regulation on the stickiness of credit card lending rate: evidence from the USA," Review of Quantitative Finance and Accounting, Springer, volume 57, issue 4, pages 1195-1213, November, DOI: 10.1007/s11156-021-00975-4.
  9. Kiki Choi & Ming-Hua Liu & Yang Zhang, 2021, "The Relationship between Refined Retail Oil Prices and Crude Oil Prices: A Tale of Three Cities in the Greater Bay Area of China," Chinese Economy, Taylor & Francis Journals, volume 54, issue 3, pages 157-175, May, DOI: 10.1080/10971475.2020.1848471.
  10. Degui Li & Peter M. Robinson & Han Lin Shang, 2021, "Local Whittle estimation of long‐range dependence for functional time series," Journal of Time Series Analysis, Wiley Blackwell, volume 42, issue 5-6, pages 685-695, September, DOI: 10.1111/jtsa.12577.
  11. Wang, Hanchao & Peng, Bin & Li, Degui & Leng, Chenlei, 2021, "Nonparametric estimation of large covariance matrices with conditional sparsity," Journal of Econometrics, Elsevier, volume 223, issue 1, pages 53-72, DOI: 10.1016/j.jeconom.2020.09.002.
  12. Bravo, Francesco & Li, Degui & Tjøstheim, Dag, 2021, "Robust nonlinear regression estimation in null recurrent time series," Journal of Econometrics, Elsevier, volume 224, issue 2, pages 416-438, DOI: 10.1016/j.jeconom.2020.03.028.
  13. Jia Chen & Degui Li & Lingling Wei & Wenyang Zhang, 2021, "Nonparametric homogeneity pursuit in functional-coefficient models," Journal of Nonparametric Statistics, Taylor & Francis Journals, volume 33, issue 3-4, pages 387-416, October, DOI: 10.1080/10485252.2021.1951265.
  14. Degui Li & Qi Li & Zheng Li, 2021, "Nonparametric Quantile Regression Estimation With Mixed Discrete and Continuous Data," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 39, issue 3, pages 741-756, July, DOI: 10.1080/07350015.2020.1730856.
  15. Fu, Yishu & Liu, Chunbo & Qin, Zhenjiang, 2021, "Does CEO-chairman dialect similarity affect stock price informativeness for Chinese listed firms?," The North American Journal of Economics and Finance, Elsevier, volume 55, issue C, DOI: 10.1016/j.najef.2020.101313.
  16. Fu, Yishu & Qin, Zhenjiang, 2021, "Institutional cross-ownership and corporate philanthropy," Finance Research Letters, Elsevier, volume 43, issue C, DOI: 10.1016/j.frl.2021.101996.
  17. Andreas Karathanasopoulos & Chia Chun Lo & Xiaorong Ma & Zhenjiang Qin, 2021, "Maintaining cost and ruin probability," Review of Quantitative Finance and Accounting, Springer, volume 57, issue 2, pages 759-793, August, DOI: 10.1007/s11156-021-00960-x.
  18. Ephraim Clark & Zhuo Qiao, 2021, "The post-SOX comparative dynamics of public accounting firm efficiency," Accounting Research Journal, Emerald Group Publishing Limited, volume 35, issue 2, pages 178-195, August, DOI: 10.1108/ARJ-08-2020-0260.
  19. Chemmanur, Thomas J. & Hu, Gang & Li, Yingzhen & Xie, Jing, 2021, "Institutional trading, information production, and forced CEO turnovers," Journal of Corporate Finance, Elsevier, volume 67, issue C, DOI: 10.1016/j.jcorpfin.2021.101884.
  20. Hong Ru & Endong Yang & Kunru Zou, 2021, "Combating the COVID-19 Pandemic: The Role of the SARS Imprint," Management Science, INFORMS, volume 67, issue 9, pages 5606-5615, September, DOI: 10.1287/mnsc.2021.4015.
  21. Yiu Lim Lui & Weilin Xiao & Jun Yu, 2021, "Mildly Explosive Autoregression with Anti‐persistent Errors," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 83, issue 2, pages 518-539, April, DOI: 10.1111/obes.12395.
  22. Lipeng Chen & Liang Jiang & Sock-Yong Phang & Jun Yu, 2021, "Housing equity and household consumption in retirement: evidence from the Singapore Life Panel©," New Zealand Economic Papers, Taylor & Francis Journals, volume 55, issue 1, pages 124-140, January, DOI: 10.1080/00779954.2020.1842794.
  23. Heng Lian & Xinghao Qiao & Wenyang Zhang, 2021, "Homogeneity Pursuit in Single Index Models based Panel Data Analysis," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 39, issue 2, pages 386-401, March, DOI: 10.1080/07350015.2019.1665531.

2020

  1. Rose Neng Lai & Robert A. Van Order, 2020, "A Tale of Two Countries: Comparing the US and Chinese Housing Markets," The Journal of Real Estate Finance and Economics, Springer, volume 61, issue 3, pages 505-547, October, DOI: 10.1007/s11146-018-9670-3.
  2. Rose Neng Lai & Yang Zhang, 2020, "Spillover and Profitability of Intraday Herding on Cross-Listed Stocks," Chinese Economy, Taylor & Francis Journals, volume 53, issue 1, pages 25-61, January, DOI: 10.1080/10971475.2019.1625244.
  3. Chen, Jean Jinghan & Cui, Chuantao & Hunt, Richard A. & Li, Leona Shao-Zhi, 2020, "External enablement of new venture creation: An exploratory, query-driven assessment of China's high-speed rail expansion," Journal of Business Venturing, Elsevier, volume 35, issue 6, DOI: 10.1016/j.jbusvent.2020.106046.
  4. Badiei, A. & Golizadeh Akhlaghi, Y. & Zhao, X. & Shittu, S. & Xiao, X. & Li, J. & Fan, Y. & Li, G., 2020, "A chronological review of advances in solar assisted heat pump technology in 21st century," Renewable and Sustainable Energy Reviews, Elsevier, volume 132, issue C, DOI: 10.1016/j.rser.2020.110132.
  5. Gu, Xinhua & Tam, Pui Sun & Li, Guoqiang & Zhao, Qingbin, 2020, "An alternative explanation for high saving in China: Rising inequality," International Review of Economics & Finance, Elsevier, volume 69, issue C, pages 1082-1094, DOI: 10.1016/j.iref.2018.12.004.
  6. Xiao Chang & Guoqiang Li & Xinhua Gu & Chunyu Lei, 2020, "Does the inequality-credit-crisis nexus exist? An empirical re-examination," Applied Economics, Taylor & Francis Journals, volume 52, issue 37, pages 4044-4057, July, DOI: 10.1080/00036846.2020.1730757.
  7. Xinhua Gu & Guoqiang Li & Chun Kwok Lei & Li Sheng & Qingbin Zhao, 2020, "The inequality-housing price nexus in tourist resorts: theory and evidence," Asia-Pacific Journal of Accounting & Economics, Taylor & Francis Journals, volume 27, issue 1, pages 132-150, January, DOI: 10.1080/16081625.2020.1686842.
  8. Degui Li & Jiraroj Tosasukul & Wenyang Zhang, 2020, "Nonlinear Factor‐Augmented Predictive Regression Models with Functional Coefficients," Journal of Time Series Analysis, Wiley Blackwell, volume 41, issue 3, pages 367-386, May, DOI: 10.1111/jtsa.12511.
  9. Li, Degui & Phillips, Peter C.B. & Gao, Jiti, 2020, "Kernel-based Inference in Time-Varying Coefficient Cointegrating Regression," Journal of Econometrics, Elsevier, volume 215, issue 2, pages 607-632, DOI: 10.1016/j.jeconom.2019.10.005.
  10. Degui Li & Peter M. Robinson & Han Lin Shang, 2020, "Long-Range Dependent Curve Time Series," Journal of the American Statistical Association, Taylor & Francis Journals, volume 115, issue 530, pages 957-971, April, DOI: 10.1080/01621459.2019.1604362.
  11. Du, Ke & Fu, Yishu & Qin, Zhenjiang & Zhang, Shuoxun, 2020, "Regime shift, speculation, and stock price," Research in International Business and Finance, Elsevier, volume 52, issue C, DOI: 10.1016/j.ribaf.2020.101181.
  12. Zhuo Qiao & Hao Chen, 2020, "Club convergence analysis of regional ecological efficiency in China," Pacific Economic Review, Wiley Blackwell, volume 25, issue 3, pages 384-401, August, DOI: 10.1111/1468-0106.12279.
  13. Clark, Ephraim & Qiao, Zhuo, 2020, "The value premium puzzle, behavior versus risk: New evidence from China," The Quarterly Review of Economics and Finance, Elsevier, volume 76, issue C, pages 12-21, DOI: 10.1016/j.qref.2019.04.007.
  14. Timothy (Jun) Lu & Jinjuan Ren & Elaine (Chang) Liu, 2020, "Actual controller’s foreign residency and firm leverage: evidence from China," Applied Economics Letters, Taylor & Francis Journals, volume 27, issue 8, pages 620-623, May, DOI: 10.1080/13504851.2020.1728220.
  15. Yan Luo & Xiaolin Qian & Jinjuan Ren & Yanjian Zhu, 2020, "Retail Investors’ Biased Beliefs About Stocks That They Hold: Evidence From China’S Split Share Structure Reform," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., volume 65, issue 06, pages 1579-1599, December, DOI: 10.1142/S0217590818500078.
  16. Yi Si & Chongwu Xia & Endong Yang, 2020, "The bright side of investor sentiment: evidence from real activities manipulation," Asia-Pacific Journal of Accounting & Economics, Taylor & Francis Journals, volume 27, issue 3, pages 327-351, May, DOI: 10.1080/16081625.2019.1673186.
  17. Li, Yong & Yu, Jun & Zeng, Tao, 2020, "Deviance information criterion for latent variable models and misspecified models," Journal of Econometrics, Elsevier, volume 216, issue 2, pages 450-493, DOI: 10.1016/j.jeconom.2019.11.002.
  18. Katsuto Tanaka & Weilin Xiao & Jun Yu, 2020, "Maximum Likelihood Estimation for the Fractional Vasicek Model," Econometrics, MDPI, volume 8, issue 3, pages 1-28, August.
  19. Liang Jiang & Xiaohu Wang & Jun Yu, 2020, "In-fill asymptotic theory for structural break point in autoregressions," Econometric Reviews, Taylor & Francis Journals, volume 40, issue 4, pages 359-386, July, DOI: 10.1080/07474938.2020.1788822.
  20. Fu, Xiaoqing (Maggie) & Lin, Yongjia & Zhang, Yang, 2020, "Responsible investing in the gaming industry," Journal of Corporate Finance, Elsevier, volume 64, issue C, DOI: 10.1016/j.jcorpfin.2020.101657.
  21. Hui Ying Sng & Yang Zhang & Huanhuan Zheng, 2020, "Margin trade, short sales and financial stability," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, volume 15, issue 3, pages 673-702, July, DOI: 10.1007/s11403-019-00256-3.
  22. Yang Zhang & Qingyong Zhang & Huanhuan Zheng, 2020, "Housing policies in Greater China and Singapore," Economic and Political Studies, Taylor & Francis Journals, volume 8, issue 1, pages 41-64, January, DOI: 10.1080/20954816.2019.1691797.
  23. Liu, Bibo & Wang, Huijun & Yu, Jianfeng & Zhao, Shen, 2020, "Time-varying demand for lottery: Speculation ahead of earnings announcements," Journal of Financial Economics, Elsevier, volume 138, issue 3, pages 789-817, DOI: 10.1016/j.jfineco.2020.06.016.
  24. Xu, Jinfeng & Yue, Mu & Zhang, Wenyang, 2020, "A New Multilevel Modeling Approach For Clustered Survival Data," Econometric Theory, Cambridge University Press, volume 36, issue 4, pages 707-750, August.

2019

  1. Rose Neng Lai & Robert Van Order, 2019, "Shadow Banking and the Property Market in China," International Real Estate Review, Global Social Science Institute, volume 22, issue 3, pages 359-397.
  2. Chuantao Cui & Leona Shao-Zhi Li, 2019, "High-speed rail and inventory reduction: firm-level evidence from China," Applied Economics, Taylor & Francis Journals, volume 51, issue 25, pages 2715-2730, May, DOI: 10.1080/00036846.2018.1558353.
  3. Ming-Hua Liu & Dimitris Margaritis & Yang Zhang, 2019, "The Global Financial Crisis and the Export-Led Economic Growth in China," Chinese Economy, Taylor & Francis Journals, volume 52, issue 3, pages 232-248, May, DOI: 10.1080/10971475.2018.1548144.
  4. Jingya Li & Ming-Hua Liu, 2019, "Interest rate liberalization and pass-through of monetary policy rate to bank lending rates in China," Frontiers of Business Research in China, Springer, volume 13, issue 1, pages 1-19, December, DOI: 10.1186/s11782-019-0056-z.
  5. Chen, Jia & Li, Degui & Linton, Oliver, 2019, "A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables," Journal of Econometrics, Elsevier, volume 212, issue 1, pages 155-176, DOI: 10.1016/j.jeconom.2019.04.025.
  6. Chen, Xirong & Li, Degui & Li, Qi & Li, Zheng, 2019, "Nonparametric estimation of conditional quantile functions in the presence of irrelevant covariates," Journal of Econometrics, Elsevier, volume 212, issue 2, pages 433-450, DOI: 10.1016/j.jeconom.2019.04.037.
  7. Chen, Jia & Li, Degui & Xia, Yingcun, 2019, "Estimation of a rank-reduced functional-coefficient panel data model with serial correlation," Journal of Multivariate Analysis, Elsevier, volume 173, issue C, pages 456-479, DOI: 10.1016/j.jmva.2019.04.005.
  8. Qiao, Zhuo & Pukthuanthong, Kuntara, 2019, "Has the difference in stock liquidity and stock returns between Chinese state owned and privately owned enterprises become smaller?," Finance Research Letters, Elsevier, volume 28, issue C, pages 39-44, DOI: 10.1016/j.frl.2018.03.022.
  9. Zhuo Qiao & Zhaohua Li, 2019, "Do foreign institutional investors enhance firm innovation in China?," Applied Economics Letters, Taylor & Francis Journals, volume 26, issue 13, pages 1125-1128, July, DOI: 10.1080/13504851.2018.1540831.
  10. Eric C. Chang & Tse-Chun Lin & Yan Luo & Jinjuan Ren, 2019, "Ex-Day Returns of Stock Distributions: An Anchoring Explanation," Management Science, INFORMS, volume 65, issue 3, pages 1076-1095, March, DOI: 10.1287/mnsc.2017.2843.
  11. Hameed, Allaudeen & Xie, Jing, 2019, "Preference for dividends and return comovement," Journal of Financial Economics, Elsevier, volume 132, issue 1, pages 103-125, DOI: 10.1016/j.jfineco.2018.09.012.
  12. Allen, Franklin & Qian, Meijun & Xie, Jing, 2019, "Understanding informal financing," Journal of Financial Intermediation, Elsevier, volume 39, issue C, pages 19-33, DOI: 10.1016/j.jfi.2018.06.004.
  13. Yong Li & Jun Yu, 2019, "An Improved Bayesian Unit Root Test in Stochastic Volatility Models," Annals of Economics and Finance, Society for AEF, volume 20, issue 1, pages 103-122, May.
  14. Xiao, Weilin & Yu, Jun, 2019, "Asymptotic Theory For Estimating Drift Parameters In The Fractional Vasicek Model," Econometric Theory, Cambridge University Press, volume 35, issue 1, pages 198-231, February.
  15. Xiao, Weilin & Yu, Jun, 2019, "Asymptotic theory for rough fractional Vasicek models," Economics Letters, Elsevier, volume 177, issue C, pages 26-29, DOI: 10.1016/j.econlet.2019.01.020.
  16. Tao, Yubo & Phillips, Peter C.B. & Yu, Jun, 2019, "Random coefficient continuous systems: Testing for extreme sample path behavior," Journal of Econometrics, Elsevier, volume 209, issue 2, pages 208-237, DOI: 10.1016/j.jeconom.2019.01.002.
  17. Anders Eriksson & Daniel P. A. Preve & Jun Yu, 2019, "Forecasting Realized Volatility Using a Nonnegative Semiparametric Model," JRFM, MDPI, volume 12, issue 3, pages 1-23, August.
  18. Xinhua Gu & Pui Sun Tam & Yang Zhang & Chun Kwok Lei, 2019, "Inequality, leverage and crises: Theory and evidence revisited," The World Economy, Wiley Blackwell, volume 42, issue 8, pages 2280-2299, August, DOI: 10.1111/twec.12806.
  19. Yang ZHANG & Sarah Y TONG, 2019, "Hong Kong’s Economy Treading on Slippery Ground," East Asian Policy (EAP), World Scientific Publishing Co. Pte. Ltd., volume 11, issue 01, pages 67-79, January, DOI: 10.1142/S1793930519000060.

2018

  1. Rui-hui Xu & Rose Neng Lai, 2018, "Optimism-driven Decisions of Real Estate Developers under Demand Uncertainty," Journal of Real Estate Research, Taylor & Francis Journals, volume 40, issue 2, pages 267-308, April, DOI: 10.1080/10835547.2018.12091500.
  2. Gu, Xinhua & Wu, Jie & Guo, Haizhen & Li, Guoqiang, 2018, "Local tourism cycle and external business cycle," Annals of Tourism Research, Elsevier, volume 73, issue C, pages 159-170, DOI: 10.1016/j.annals.2018.06.007.
  3. Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2018, "Semiparametric Ultra-High Dimensional Model Averaging of Nonlinear Dynamic Time Series," Journal of the American Statistical Association, Taylor & Francis Journals, volume 113, issue 522, pages 919-932, April, DOI: 10.1080/01621459.2017.1302339.
  4. Xiangjin B. Chen & Jiti Gao & Degui Li & Param Silvapulle, 2018, "Nonparametric Estimation and Forecasting for Time-Varying Coefficient Realized Volatility Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 36, issue 1, pages 88-100, January, DOI: 10.1080/07350015.2016.1138118.
  5. Timothy (Jun) Lu & Jinjuan Ren & Yan Zhao, 2018, "Costly Long‐Short Strategies Under Short‐Sale Constraints: Chinese Evidence," International Review of Finance, International Review of Finance Ltd., volume 18, issue 4, pages 743-751, December, DOI: 10.1111/irfi.12160.
  6. Hu, Gang & Jo, Koren M. & Wang, Yi Alex & Xie, Jing, 2018, "Institutional trading and Abel Noser data," Journal of Corporate Finance, Elsevier, volume 52, issue C, pages 143-167, DOI: 10.1016/j.jcorpfin.2018.08.005.
  7. Jiang, Liang & Wang, Xiaohu & Yu, Jun, 2018, "New distribution theory for the estimation of structural break point in mean," Journal of Econometrics, Elsevier, volume 205, issue 1, pages 156-176, DOI: 10.1016/j.jeconom.2018.03.009.
  8. Li, Yong & Yu, Jun & Zeng, Tao, 2018, "Specification tests based on MCMC output," Journal of Econometrics, Elsevier, volume 207, issue 1, pages 237-260, DOI: 10.1016/j.jeconom.2018.08.001.
  9. Huang, Weihong & Zhang, Yang, 2018, "Technological gap and heterogeneous oligopoly," The Quarterly Review of Economics and Finance, Elsevier, volume 67, issue C, pages 1-7, DOI: 10.1016/j.qref.2017.02.003.
  10. Kwan, Fung & Zhang, Yang & Zhuo, Shuaihe, 2018, "Labour reallocation, productivity growth and dualism: The case of China," International Review of Economics & Finance, Elsevier, volume 57, issue C, pages 198-210, DOI: 10.1016/j.iref.2018.01.004.
  11. Yang ZHANG & Sarah Y TONG, 2018, "Strong Domestic Consumption Key to Hong Kong’s Robust Economic Growth in 2017," East Asian Policy (EAP), World Scientific Publishing Co. Pte. Ltd., volume 10, issue 01, pages 78-91, January, DOI: 10.1142/S1793930518000077.
  12. Lin, Huazhen & Pan, Lixian & Lv, Shaogao & Zhang, Wenyang, 2018, "Efficient estimation and computation for the generalised additive models with unknown link function," Journal of Econometrics, Elsevier, volume 202, issue 2, pages 230-244, DOI: 10.1016/j.jeconom.2017.11.001.
  13. Li, Jialiang & Zhang, Wenyang & Kong, Efang, 2018, "Factor models for asset returns based on transformed factors," Journal of Econometrics, Elsevier, volume 207, issue 2, pages 432-448, DOI: 10.1016/j.jeconom.2018.09.001.

2017

  1. Rose Neng Lai & Robert Order, 2017, "U.S. House Prices over the Last 30 Years: Bubbles, Regime Shifts and Market (In)Efficiency," Real Estate Economics, American Real Estate and Urban Economics Association, volume 45, issue 2, pages 259-300, April.
  2. Gu, Xinhua & Li, Guoqiang & Chang, Xiao & Guo, Haizhen, 2017, "Casino tourism, economic inequality, and housing bubbles," Tourism Management, Elsevier, volume 62, issue C, pages 253-263, DOI: 10.1016/j.tourman.2017.04.006.
  3. Phillips, Peter C.B. & Li, Degui & Gao, Jiti, 2017, "Estimating smooth structural change in cointegration models," Journal of Econometrics, Elsevier, volume 196, issue 1, pages 180-195, DOI: 10.1016/j.jeconom.2016.09.013.
  4. Kunpeng Li & Degui Li & Zhongwen Liang & Cheng Hsiao, 2017, "Estimation of semi-varying coefficient models with nonstationary regressors," Econometric Reviews, Taylor & Francis Journals, volume 36, issue 1-3, pages 354-369, March, DOI: 10.1080/07474938.2015.1114563.
  5. Chen, Ye & Phillips, Peter C.B. & Yu, Jun, 2017, "Inference in continuous systems with mildly explosive regressors," Journal of Econometrics, Elsevier, volume 201, issue 2, pages 400-416, DOI: 10.1016/j.jeconom.2017.08.016.
  6. Andras Fulop & Jun Yu, 2017, "Bayesian Analysis of Bubbles in Asset Prices," Econometrics, MDPI, volume 5, issue 4, pages 1-23, October.
  7. Xinhua Gu & Yang Zhang & Xiao Chang, 2017, "The role of financial systems for cross-country differences in the link between income and consumption inequality," Applied Economics, Taylor & Francis Journals, volume 49, issue 24, pages 2365-2378, May, DOI: 10.1080/00036846.2016.1240338.
  8. Shen, Junyan & Yu, Jianfeng & Zhao, Shen, 2017, "Investor sentiment and economic forces," Journal of Monetary Economics, Elsevier, volume 86, issue C, pages 1-21, DOI: 10.1016/j.jmoneco.2017.01.001.
  9. Shaojun Guo & John Leigh Box & Wenyang Zhang, 2017, "A Dynamic Structure for High-Dimensional Covariance Matrices and Its Application in Portfolio Allocation," Journal of the American Statistical Association, Taylor & Francis Journals, volume 112, issue 517, pages 235-253, January, DOI: 10.1080/01621459.2015.1129969.

2016

  1. Liu, Ming-Hua & Margaritis, Dimitris & Zhang, Yang, 2016, "Competition and petrol pricing in the smartphone era: Evidence from Singapore," Economic Modelling, Elsevier, volume 53, issue C, pages 144-155, DOI: 10.1016/j.econmod.2015.11.020.
  2. Ming-Hua Liu & Dimitris Margaritis & Zhuo Qiao, 2016, "The Global Financial Crisis and Retail Interest Rate Pass-Through in Australia," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 19, issue 04, pages 1-32, December, DOI: 10.1142/S0219091516500260.
  3. Li, Degui & Phillips, Peter C. B. & Gao, Jiti, 2016, "Uniform Consistency Of Nonstationary Kernel-Weighted Sample Covariances For Nonparametric Regression," Econometric Theory, Cambridge University Press, volume 32, issue 3, pages 655-685, June.
  4. Li, Degui & Simar, Léopold & Zelenyuk, Valentin, 2016, "Generalized nonparametric smoothing with mixed discrete and continuous data," Computational Statistics & Data Analysis, Elsevier, volume 100, issue C, pages 424-444, DOI: 10.1016/j.csda.2014.06.003.
  5. Li, Degui & Li, Runze, 2016, "Local composite quantile regression smoothing for Harris recurrent Markov processes," Journal of Econometrics, Elsevier, volume 194, issue 1, pages 44-56, DOI: 10.1016/j.jeconom.2016.04.002.
  6. Chen, Jia & Li, Degui & Linton, Oliver & Lu, Zudi, 2016, "Semiparametric dynamic portfolio choice with multiple conditioning variables," Journal of Econometrics, Elsevier, volume 194, issue 2, pages 309-318, DOI: 10.1016/j.jeconom.2016.05.009.
  7. Degui Li & Junhui Qian & Liangjun Su, 2016, "Panel Data Models With Interactive Fixed Effects and Multiple Structural Breaks," Journal of the American Statistical Association, Taylor & Francis Journals, volume 111, issue 516, pages 1804-1819, October, DOI: 10.1080/01621459.2015.1119696.
  8. Ephraim Clark & Zhuo Qiao & Wing-Keung Wong, 2016, "Theories Of Risk: Testing Investor Behavior On The Taiwan Stock And Stock Index Futures Markets," Economic Inquiry, Western Economic Association International, volume 54, issue 2, pages 907-924, April.
  9. Xin Chang & Chander Shekhar & Lewis H. K. Tam & Jiaquan Yao, 2016, "Industry Expertise, Information Leakage and the Choice of M&A Advisors," Journal of Business Finance & Accounting, Wiley Blackwell, volume 43, issue 1-2, pages 191-225, January.
  10. Chang, Xin & Shekhar, Chander & Tam, Lewis H.K. & Yao, Jiaquan, 2016, "The information role of advisors in mergers and acquisitions: Evidence from acquirers hiring targets’ ex-advisors," Journal of Banking & Finance, Elsevier, volume 70, issue C, pages 247-264, DOI: 10.1016/j.jbankfin.2016.05.006.
  11. Kot, Hung Wan & Tam, Lewis H.K., 2016, "Are stock price more informative after dual-listing in emerging markets? Evidence from Hong Kong-listed Chinese companies," Pacific-Basin Finance Journal, Elsevier, volume 36, issue C, pages 31-45, DOI: 10.1016/j.pacfin.2015.12.004.
  12. Cheung, William & Fung, Scott & Tam, Lewis, 2016, "Does market microstructure matter for corporate finance? Theory and evidence on seasoned equity offering decisions," The Quarterly Review of Economics and Finance, Elsevier, volume 60, issue C, pages 149-161, DOI: 10.1016/j.qref.2015.06.003.
  13. Wang, Xiaohu & Yu, Jun, 2016, "Double asymptotics for explosive continuous time models," Journal of Econometrics, Elsevier, volume 193, issue 1, pages 35-53, DOI: 10.1016/j.jeconom.2016.02.014.
  14. Li, Mengling & Zheng, Huanhuan & Tai Leung Chong, Terence & Zhang, Yang, 2016, "The stock–bond comovements and cross-market trading," Journal of Economic Dynamics and Control, Elsevier, volume 73, issue C, pages 417-438, DOI: 10.1016/j.jedc.2016.10.007.
  15. Xinhua Gu & Yang Zhang & Xiaolin Qian & Haizhen Guo, 2016, "The suspension of borrowing: an implicit penalty for loan default under imperfect information," Applied Economics, Taylor & Francis Journals, volume 48, issue 60, pages 5882-5896, December, DOI: 10.1080/00036846.2016.1186797.
  16. Yang ZHANG & Sarah Y TONG, 2016, "Hong Kong's Modest Economic Growth: Sustained by Domestic Consumption," East Asian Policy (EAP), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 01, pages 104-117, January, DOI: 10.1142/S179393051600009X.
  17. Xiaochao Xia & Binyan Jiang & Jialiang Li & Wenyang Zhang, 2016, "Low-dimensional confounder adjustment and high-dimensional penalized estimation for survival analysis," Lifetime Data Analysis: An International Journal Devoted to Statistical Methods and Applications for Time-to-Event Data, Springer, volume 22, issue 4, pages 547-569, October, DOI: 10.1007/s10985-015-9350-z.

2015

  1. Brian A. Ciochetti & Rose Neng Lai & James D. Shilling, 2015, "The Role of Public Markets in International Real Estate Diversification," International Real Estate Review, Global Social Science Institute, volume 18, issue 2, pages 155-175.
  2. Ming-Hua Liu & Dimitris Margaritis & Yang Zhang, 2015, "Inflation Transmission in Greater China," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, volume 23, issue 6, pages 79-99, November.
  3. Gao, Jiti & Kanaya, Shin & Li, Degui & Tjøstheim, Dag, 2015, "Uniform Consistency For Nonparametric Estimators In Null Recurrent Time Series," Econometric Theory, Cambridge University Press, volume 31, issue 5, pages 911-952, October.
  4. Zhang, Wenyang & Li, Degui & Xia, Yingcun, 2015, "Estimation in generalised varying-coefficient models with unspecified link functions," Journal of Econometrics, Elsevier, volume 187, issue 1, pages 238-255, DOI: 10.1016/j.jeconom.2015.02.022.
  5. Li, Degui & Linton, Oliver & Lu, Zudi, 2015, "A flexible semiparametric forecasting model for time series," Journal of Econometrics, Elsevier, volume 187, issue 1, pages 345-357, DOI: 10.1016/j.jeconom.2015.02.025.
  6. Jia Chen & Jiti Gao & Degui Li & Zhengyan Lin, 2015, "Specification testing in nonstationary time series models," Econometrics Journal, Royal Economic Society, volume 18, issue 1, pages 117-136, February.
  7. Lam, Keith S.K. & Qiao, Zhuo, 2015, "Herding and fundamental factors: The Hong Kong experience," Pacific-Basin Finance Journal, Elsevier, volume 32, issue C, pages 160-188, DOI: 10.1016/j.pacfin.2014.11.002.
  8. Zhuo Qiao & Wing-Keung Wong, 2015, "Which is a better investment choice in the Hong Kong residential property market: a big or small property?," Applied Economics, Taylor & Francis Journals, volume 47, issue 16, pages 1670-1685, April, DOI: 10.1080/00036846.2014.1000534.
  9. Luo, Yan & Ren, Jinjuan & Wang, Yizhi, 2015, "Misvaluation comovement, market efficiency and the cross-section of stock returns: Evidence from China," Economic Systems, Elsevier, volume 39, issue 3, pages 390-412, DOI: 10.1016/j.ecosys.2015.01.001.
  10. Wang, Xiaohu & Yu, Jun, 2015, "Limit theory for an explosive autoregressive process," Economics Letters, Elsevier, volume 126, issue C, pages 176-180, DOI: 10.1016/j.econlet.2014.12.004.
  11. Zhou, Qiankun & Yu, Jun, 2015, "Asymptotic theory for linear diffusions under alternative sampling schemes," Economics Letters, Elsevier, volume 128, issue C, pages 1-5, DOI: 10.1016/j.econlet.2014.12.015.
  12. Bao, Yong & Ullah, Aman & Wang, Yun & Yu, Jun, 2015, "Bias in the estimation of mean reversion in continuous-time Lévy processes," Economics Letters, Elsevier, volume 134, issue C, pages 16-19, DOI: 10.1016/j.econlet.2015.06.002.
  13. Li, Yong & Liu, Xiao-Bin & Yu, Jun, 2015, "A Bayesian chi-squared test for hypothesis testing," Journal of Econometrics, Elsevier, volume 189, issue 1, pages 54-69, DOI: 10.1016/j.jeconom.2015.06.021.
  14. Jiang, Liang & Phillips, Peter C.B. & Yu, Jun, 2015, "New methodology for constructing real estate price indices applied to the Singapore residential market," Journal of Banking & Finance, Elsevier, volume 61, issue S2, pages 121-131, DOI: 10.1016/j.jbankfin.2015.08.026.
  15. Chen, Ye & Yu, Jun, 2015, "Optimal jackknife for unit root models," Statistics & Probability Letters, Elsevier, volume 99, issue C, pages 135-142, DOI: 10.1016/j.spl.2014.12.014.
  16. Andras Fulop & Junye Li & Jun Yu, 2015, "Self-Exciting Jumps, Learning, and Asset Pricing Implications," The Review of Financial Studies, Society for Financial Studies, volume 28, issue 3, pages 876-912.
  17. Peter C. B. Phillips & Shuping Shi & Jun Yu, 2015, "Testing For Multiple Bubbles: Historical Episodes Of Exuberance And Collapse In The S&P 500," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 56, issue 4, pages 1043-1078, November, DOI: 10.1111/iere.12132.
  18. Peter C. B. Phillips & Shuping Shi & Jun Yu, 2015, "Testing For Multiple Bubbles: Limit Theory Of Real‐Time Detectors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 56, issue 4, pages 1079-1134, November, DOI: 10.1111/iere.12131.
  19. Xinhua Gu & Bihong Huang & Pui Sun Tam & Yang Zhang, 2015, "Inequality and Saving: Further Evidence from Integrated Economies," Review of Development Economics, Wiley Blackwell, volume 19, issue 1, pages 15-30, February.
  20. Jianqing Fan & Wenyang Zhang, 2015, "Discussion," International Statistical Review, International Statistical Institute, volume 83, issue 1, pages 65-68, April.

2014

  1. Rose Neng Lai & Robert Order, 2014, "Securitization, Risk-Taking and the Option to Change Strategy," Real Estate Economics, American Real Estate and Urban Economics Association, volume 42, issue 2, pages 343-362, June.
  2. Hoa Nguyen & Ming-Hua Liu & David Gallagher, 2014, "Effective derivative hedging and initial public offering long-run performance," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, volume 54, issue 4, pages 1263-1294, December.
  3. Zhuo Qiao & Ephraim Clark & Wing-Keung Wong, 2014, "Investors’ preference towards risk: evidence from the Taiwan stock and stock index futures markets," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, volume 54, issue 1, pages 251-274, March.
  4. Qiao, Zhuo & Chu, Patrick Kuok-Kun, 2014, "Does fine wine price contain useful information to forecast GDP? Evidence from major developed countries," Economic Modelling, Elsevier, volume 38, issue C, pages 75-79, DOI: 10.1016/j.econmod.2013.12.006.
  5. Zhuo Qiao & Thomas C. Chiang & Lin Tan, 2014, "Empirical Investigation of the Causal Relationships Among Herding, Stock Market Returns, and Illiquidity: Evidence from Major Asian Markets," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 17, issue 03, pages 1-27, DOI: 10.1142/S0219091514500180.
  6. Chang, Eric C. & Luo, Yan & Ren, Jinjuan, 2014, "Short-selling, margin-trading, and price efficiency: Evidence from the Chinese market," Journal of Banking & Finance, Elsevier, volume 48, issue C, pages 411-424, DOI: 10.1016/j.jbankfin.2013.10.002.
  7. Lewis H. K. Tam, 2014, "The impacts of parent’s listing status on subsidiary’s financial constraint and cost of equity capital: the case of equity carve-outs," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, volume 54, issue 1, pages 275-299, March.
  8. Qian, Xiaolin & Tam, Lewis H.K. & Zhang, Bohui, 2014, "Systematic liquidity and the funding liquidity hypothesis," Journal of Banking & Finance, Elsevier, volume 45, issue C, pages 304-320, DOI: 10.1016/j.jbankfin.2013.08.020.
  9. Peter C. B. Phillips & Shuping Shi & Jun Yu, 2014, "Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 76, issue 3, pages 315-333, June.
  10. Phillips, Peter C.B. & Yu, Jun, 2014, "Special Issue Of Econometric Theory On Seta 2010: Editors’ Introduction," Econometric Theory, Cambridge University Press, volume 30, issue 1, pages 1-2, February.
  11. Yu, Jun, 2014, "Econometric Analysis Of Continuous Time Models: A Survey Of Peter Phillips’S Work And Some New Results," Econometric Theory, Cambridge University Press, volume 30, issue 4, pages 737-774, August.
  12. Skaug, Hans J. & Yu, Jun, 2014, "A flexible and automated likelihood based framework for inference in stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, volume 76, issue C, pages 642-654, DOI: 10.1016/j.csda.2013.10.005.
  13. Li, Yong & Zeng, Tao & Yu, Jun, 2014, "A new approach to Bayesian hypothesis testing," Journal of Econometrics, Elsevier, volume 178, issue P3, pages 602-612, DOI: 10.1016/j.jeconom.2013.08.035.
  14. Kleppe, Tore Selland & Yu, Jun & Skaug, Hans J., 2014, "Maximum likelihood estimation of partially observed diffusion models," Journal of Econometrics, Elsevier, volume 180, issue 1, pages 73-80, DOI: 10.1016/j.jeconom.2014.02.002.
  15. Yang Zhang & Mengling Li & Wai-Mun Chia, 2014, "Foreign interest rate shocks and exchange rate regimes in East Asia," Applied Economics, Taylor & Francis Journals, volume 46, issue 21, pages 2488-2501, July, DOI: 10.1080/00036846.2014.902022.

2013

  1. Xinhua Gu & Guoqiang Li & Pui Sun Tam, 2013, "Casino tourism, social cost and tax effects," International Gambling Studies, Taylor & Francis Journals, volume 13, issue 2, pages 221-239, August, DOI: 10.1080/14459795.2012.760641.
  2. Liu, Ming-Hua & Margaritis, Dimitris & Zhang, Yang, 2013, "Market-driven coal prices and state-administered electricity prices in China," Energy Economics, Elsevier, volume 40, issue C, pages 167-175, DOI: 10.1016/j.eneco.2013.05.021.
  3. Jia Chen & Jiti Gao & Degui Li, 2013, "Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions," Econometric Reviews, Taylor & Francis Journals, volume 32, issue 8, pages 928-955, November, DOI: 10.1080/07474938.2012.690687.
  4. Jia Chen & Jiti Gao & Degui Li, 2013, "Estimation in Partially Linear Single-Index Panel Data Models With Fixed Effects," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 31, issue 3, pages 315-330, July, DOI: 10.1080/07350015.2013.775093.
  5. Qin, Zhenjiang, 2013, "Speculations in option markets enhance allocation efficiency with heterogeneous beliefs and learning," Journal of Banking & Finance, Elsevier, volume 37, issue 12, pages 4675-4694, DOI: 10.1016/j.jbankfin.2013.07.045.
  6. Qiao, Zhuo & Wong, Wing-Keung & Fung, Joseph K.W., 2013, "Stochastic dominance relationships between stock and stock index futures markets: International evidence," Economic Modelling, Elsevier, volume 33, issue C, pages 552-559, DOI: 10.1016/j.econmod.2013.04.049.
  7. Chang, Eric C. & Luo, Yan & Ren, Jinjuan, 2013, "Cross-listing and pricing efficiency: The informational and anchoring role played by the reference price," Journal of Banking & Finance, Elsevier, volume 37, issue 11, pages 4449-4464, DOI: 10.1016/j.jbankfin.2012.12.018.
  8. Chang, Eric C. & Luo, Yan & Ren, Jinjuan, 2013, "Pricing deviation, misvaluation comovement, and macroeconomic conditions," Journal of Banking & Finance, Elsevier, volume 37, issue 12, pages 5285-5299, DOI: 10.1016/j.jbankfin.2013.08.005.
  9. Yiu, Matthew S. & Yu, Jun & Jin, Lu, 2013, "Detecting bubbles in Hong Kong residential property market," Journal of Asian Economics, Elsevier, volume 28, issue C, pages 115-124, DOI: 10.1016/j.asieco.2013.04.005.
  10. Heng Peng & Hongjia Yan & Wenyang Zhang, 2013, "The connection between cross-validation and Akaike information criterion in a semiparametric family," Journal of Nonparametric Statistics, Taylor & Francis Journals, volume 25, issue 2, pages 475-485, June, DOI: 10.1080/10485252.2013.767338.

2012

  1. Liu, Ming-Hua & Margaritis, Dimitris & Tourani-Rad, Alireza, 2012, "Risk appetite, carry trade and exchange rates," Global Finance Journal, Elsevier, volume 23, issue 1, pages 48-63, DOI: 10.1016/j.gfj.2012.01.004.
  2. Chen, Jia & Gao, Jiti & Li, Degui, 2012, "A New Diagnostic Test For Cross-Section Uncorrelatedness In Nonparametric Panel Data Models," Econometric Theory, Cambridge University Press, volume 28, issue 5, pages 1144-1163, October.
  3. Li, Degui & Lu, Zudi & Linton, Oliver, 2012, "Local Linear Fitting Under Near Epoch Dependence: Uniform Consistency With Convergence Rates," Econometric Theory, Cambridge University Press, volume 28, issue 5, pages 935-958, October.
  4. Chen, Jia & Gao, Jiti & Li, Degui, 2012, "Semiparametric trending panel data models with cross-sectional dependence," Journal of Econometrics, Elsevier, volume 171, issue 1, pages 71-85, DOI: 10.1016/j.jeconom.2012.07.001.
  5. Chan, Chia-Ying & de Peretti, Christian & Qiao, Zhuo & Wong, Wing-Keung, 2012, "Empirical test of the efficiency of the UK covered warrants market: Stochastic dominance and likelihood ratio test approach," Journal of Empirical Finance, Elsevier, volume 19, issue 1, pages 162-174, DOI: 10.1016/j.jempfin.2011.09.001.
  6. Cheung, William & Lam, Keith S.K. & Tam, Lewis H.K., 2012, "Blockholding and market reactions to equity offerings in China," Pacific-Basin Finance Journal, Elsevier, volume 20, issue 3, pages 459-482, DOI: 10.1016/j.pacfin.2011.12.002.
  7. Li, Yong & Yu, Jun, 2012, "Bayesian hypothesis testing in latent variable models," Journal of Econometrics, Elsevier, volume 166, issue 2, pages 237-246, DOI: 10.1016/j.jeconom.2011.09.040.
  8. Yu, Jun, 2012, "A semiparametric stochastic volatility model," Journal of Econometrics, Elsevier, volume 167, issue 2, pages 473-482, DOI: 10.1016/j.jeconom.2011.09.029.
  9. Yu, Jun, 2012, "Bias in the estimation of the mean reversion parameter in continuous time models," Journal of Econometrics, Elsevier, volume 169, issue 1, pages 114-122, DOI: 10.1016/j.jeconom.2012.01.004.
  10. Lu, Zudi & Zhang, Wenyang, 2012, "Semiparametric likelihood estimation in survival models with informative censoring," Journal of Multivariate Analysis, Elsevier, volume 106, issue C, pages 187-211, DOI: 10.1016/j.jmva.2011.10.010.
  11. Yan Sun & Jialiang Li & Wenyang Zhang, 2012, "Estimation and model selection in a class of semiparametric models for cluster data," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, volume 64, issue 4, pages 835-856, August, DOI: 10.1007/s10463-011-0342-9.

2011

  1. Liu, Ming-Hua & Margaritis, Dimitris & Tourani-Rad, Alireza, 2011, "Asymmetric information and price competition in small business lending," Journal of Banking & Finance, Elsevier, volume 35, issue 9, pages 2189-2196, September.
  2. Degui Li & Jia Chen & Jiti Gao, 2011, "Non‐parametric time‐varying coefficient panel data models with fixed effects," Econometrics Journal, Royal Economic Society, volume 14, issue 3, pages 387-408, October, DOI: j.1368-423X.2011.00350.x.
  3. Zhuo Qiao & Weiwei Qiao & Wing-Keung Wong, 2011, "Examining the Day-of-the-Week Effects in Chinese Stock Markets: New Evidence from a Stochastic Dominance Approach," Global Economic Review, Taylor & Francis Journals, volume 40, issue 3, pages 251-267, September, DOI: 10.1080/1226508X.2011.601628.
  4. Lam, Keith S.K. & Tam, Lewis H.K., 2011, "Liquidity and asset pricing: Evidence from the Hong Kong stock market," Journal of Banking & Finance, Elsevier, volume 35, issue 9, pages 2217-2230, September.
  5. Peter C. B. Phillips & Jun Yu, 2011, "Dating the timeline of financial bubbles during the subprime crisis," Quantitative Economics, Econometric Society, volume 2, issue 3, pages 455-491, November, DOI: QE82.
  6. Wang, Xiaohu & Phillips, Peter C.B. & Yu, Jun, 2011, "Bias in estimating multivariate and univariate diffusions," Journal of Econometrics, Elsevier, volume 161, issue 2, pages 228-245, April.
  7. Peter C. B. Phillips & Yangru Wu & Jun Yu, 2011, "EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 52, issue 1, pages 201-226, February.
  8. Peter C. B. Phillips & Jun Yu, 2011, "Corrigendum to ‘A Gaussian approach for continuous time models of short‐term interest rates’ (Yu, J. and P. C. B. Phillips, Econometrics Journal, 4, 210–24)," Econometrics Journal, Royal Economic Society, volume 14, issue , pages 126-129, February.
  9. Yang Zhang & Weihong Huang, 2011, "Instantaneous Information Always Stabilizes?," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., volume 56, issue 02, pages 239-253, DOI: 10.1142/S0217590811004195.
  10. Li, Jialiang & Zhang, Wenyang, 2011, "A Semiparametric Threshold Model for Censored Longitudinal Data Analysis," Journal of the American Statistical Association, American Statistical Association, volume 106, issue 494, pages 685-696.
  11. Jialiang Li & Wenyang Zhang & Zhengxiao Wu, 2011, "Optimal zone for bandwidth selection in semiparametric models," Journal of Nonparametric Statistics, Taylor & Francis Journals, volume 23, issue 3, pages 701-717, DOI: 10.1080/10485252.2010.533768.

2010

  1. Liu, Ming-Hua & Margaritis, Dimitris & Tourani-Rad, Alireza, 2010, "Is there an asymmetry in the response of diesel and petrol prices to crude oil price changes? Evidence from New Zealand," Energy Economics, Elsevier, volume 32, issue 4, pages 926-932, July.
  2. Chen, Jia & Li, Degui & Zhang, Lixin, 2010, "Robust estimation in a nonlinear cointegration model," Journal of Multivariate Analysis, Elsevier, volume 101, issue 3, pages 706-717, March.
  3. Venus Khim-Sen Liew & Zhuo Qiao & Wing-keung Wong, 2010, "Linearity and stationarity of G7 government bond returns," Economics Bulletin, AccessEcon, volume 30, issue 4, pages 2642-2655.
  4. Thomas C. Chiang & Zhuo Qiao & Wing-Keung Wong, 2010, "New evidence on the relation between return volatility and trading volume," Journal of Forecasting, John Wiley & Sons, Ltd., volume 29, issue 5, pages 502-515, DOI: 10.1002/for.1151.
  5. Zhuo Qiao & Weiwei Qiao & Wing-Keung Wong, 2010, "Examining Stock Volatility in the Segmented Chinese Stock Markets: A SWARCH Approach," Global Economic Review, Taylor & Francis Journals, volume 39, issue 3, pages 225-246, DOI: 10.1080/1226508X.2010.513138.
  6. Xin Chang & Shi Hua Lin & Lewis H. K. Tam & George Wong, 2010, "Cross‐sectional determinants of post‐IPO stock performance: evidence from China," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, volume 50, issue 3, pages 581-603, September, DOI: 10.1111/j.1467-629X.2009.00333.x.
  7. Xin Chang & Gilles Hilary & Chia Mei Shih & Lewis H.K. Tam, 2010, "Conglomerate Structure and Capital Market Timing," Financial Management, Financial Management Association International, volume 39, issue 4, pages 1307-1338, December.
  8. Huang, Shirley J. & Yu, Jun, 2010, "Bayesian analysis of structural credit risk models with microstructure noises," Journal of Economic Dynamics and Control, Elsevier, volume 34, issue 11, pages 2259-2272, November.
  9. Gouriéroux, Christian & Phillips, Peter C.B. & Yu, Jun, 2010, "Indirect inference for dynamic panel models," Journal of Econometrics, Elsevier, volume 157, issue 1, pages 68-77, July.
  10. Zhang, Wenyang & Peng, Heng, 2010, "Simultaneous confidence band and hypothesis test in generalised varying-coefficient models," Journal of Multivariate Analysis, Elsevier, volume 101, issue 7, pages 1656-1680, August.
  11. Jianqing Fan & Jin-Ting Zhang & Wenyang Zhang, 2010, "Comments on: Dynamic relations for sparsely sampled Gaussian processes," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, volume 19, issue 1, pages 37-42, May, DOI: 10.1007/s11749-009-0180-8.

2009

  1. Zhou, Rhea Tingyu & Lai, Rose Neng, 2009, "Herding and information based trading," Journal of Empirical Finance, Elsevier, volume 16, issue 3, pages 388-393, June.
  2. Xinhua Gu & Guoqiang Li, 2009, "Why do Various Gaming Markets Adopt Different Tax Rates?," Journal of Gambling Business and Economics, University of Buckingham Press, volume 3, issue 1, pages 65-87, April.
  3. Chong, Beng Soon & Liu, Ming-Hua, 2009, "Islamic banking: Interest-free or interest-based?," Pacific-Basin Finance Journal, Elsevier, volume 17, issue 1, pages 125-144, January.
  4. Zhengyan Lin & Degui Li & Jiti Gao, 2009, "Local Linear M‐estimation in non‐parametric spatial regression," Journal of Time Series Analysis, Wiley Blackwell, volume 30, issue 3, pages 286-314, May, DOI: 10.1111/j.1467-9892.2009.00612.x.
  5. Degui Li & Jia Chen & Zhengyan Lin, 2009, "Variable selection in partially time-varying coefficient models," Journal of Nonparametric Statistics, Taylor & Francis Journals, volume 21, issue 5, pages 553-566, DOI: 10.1080/10485250902912694.
  6. Qiao, Zhuo & McAleer, Michael & Wong, Wing-Keung, 2009, "Linear and nonlinear causality between changes in consumption and consumer attitudes," Economics Letters, Elsevier, volume 102, issue 3, pages 161-164, March.
  7. Chang, Eric C. & Ren, Jinjuan & Shi, Qi, 2009, "Effects of the volatility smile on exchange settlement practices: The Hong Kong case," Journal of Banking & Finance, Elsevier, volume 33, issue 1, pages 98-112, January.
  8. Phillips, Peter C.B. & Yu, Jun, 2009, "A two-stage realized volatility approach to estimation of diffusion processes with discrete data," Journal of Econometrics, Elsevier, volume 150, issue 2, pages 139-150, June.
  9. Peter C. B. Phillips & Jun Yu, 2009, "Simulation-Based Estimation of Contingent-Claims Prices," The Review of Financial Studies, Society for Financial Studies, volume 22, issue 9, pages 3669-3705, September.
  10. Cheng, Ming-Yen & Zhang, Wenyang & Chen, Lu-Hung, 2009, "Statistical Estimation in Generalized Multiparameter Likelihood Models," Journal of the American Statistical Association, American Statistical Association, volume 104, issue 487, pages 1179-1191.
  11. Wenyang Zhang & Sik-Yum Lee, 2009, "Nonlinear dynamical structural equation models," Quantitative Finance, Taylor & Francis Journals, volume 9, issue 3, pages 305-314, DOI: 10.1080/14697680802183598.

2008

  1. Rose Neng Lai & Raymond W. So & Ricardo Chi Sen Siu, 2008, "What Does a Concept Attract? The Case of Gaming in Macau," Journal of Gambling Business and Economics, University of Buckingham Press, volume 2, issue 3, pages 1-22, December.
  2. Rhea Tingyu Zhou & Rose Neng Lai, 2008, "Herding and positive feedback trading on property stocks," Journal of Property Investment & Finance, Emerald Group Publishing Limited, volume 26, issue 2, pages 110-131, March, DOI: 10.1108/14635780810857872.
  3. Liu, Ming-Hua & Margaritis, Dimitri & Tourani-Rad, Alireza, 2008, "Monetary policy transparency and pass-through of retail interest rates," Journal of Banking & Finance, Elsevier, volume 32, issue 4, pages 501-511, April.
  4. Cheny Chen & Ming-Hua Liu & Hoa Nguyen, 2008, "Do retail options traders know better about market volatility?," American Journal of Finance and Accounting, Inderscience Enterprises Ltd, volume 1, issue 1, pages 1-19.
  5. Lin, Zhengyan & Li, Degui & Chen, Jia, 2008, "Change point estimators by local polynomial fits under a dependence assumption," Journal of Multivariate Analysis, Elsevier, volume 99, issue 10, pages 2339-2355, November.
  6. Chen Jia & Zhang Lixin & Li Degui, 2008, "Spatial local M-estimation under association," Metrika: International Journal for Theoretical and Applied Statistics, Springer, volume 67, issue 1, pages 11-29, January, DOI: 10.1007/s00184-006-0119-y.
  7. Qiao, Zhuo & Smyth, Russell & Wong, Wing-Keung, 2008, "Volatility switching and regime interdependence between information technology stocks 1995-2005," Global Finance Journal, Elsevier, volume 19, issue 2, pages 139-156.
  8. Qiao, Zhuo & Chiang, Thomas C. & Wong, Wing-Keung, 2008, "Long-run equilibrium, short-term adjustment, and spillover effects across Chinese segmented stock markets and the Hong Kong stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 18, issue 5, pages 425-437, December.
  9. Qiao, Zhuo & Li, Yuming & Wong, Wing-Keung, 2008, "Policy change and lead-lag relations among China's segmented stock markets," Journal of Multinational Financial Management, Elsevier, volume 18, issue 3, pages 276-289, July.

2007

  1. Lin, Zhengyan & Li, Degui, 2007, "Asymptotic normality for L1-norm kernel estimator of conditional median under association dependence," Journal of Multivariate Analysis, Elsevier, volume 98, issue 6, pages 1214-1230, July.
  2. Lin Zhengyan & Li Degui & Chen Jia, 2007, "Asymptotic behavior for S-estimators in random design linear model with long-range-dependent errors," Metrika: International Journal for Theoretical and Applied Statistics, Springer, volume 66, issue 3, pages 289-303, November, DOI: 10.1007/s00184-006-0111-6.
  3. Venus Khim-Sen Liew & Wing-Keung Wong & Zhuo Qiao, 2007, "Does the US IT stock market dominate other IT stock markets: Evidence from multivariate GARCH model," Economics Bulletin, AccessEcon, volume 6, issue 27, pages 1-7.
  4. Chang, Xin & Tam, Lewis H.K. & Tan, Tek Jun & Wong, George, 2007, "The real impact of stock market mispricing -- Evidence from Australia," Pacific-Basin Finance Journal, Elsevier, volume 15, issue 4, pages 388-408, September.
  5. Shirley J. Huang & Qianqiu Liu & Jun Yu, 2007, "Realized Daily Variance of S&P 500 Cash Index: A Revaluation of Stylized Facts," Annals of Economics and Finance, Society for AEF, volume 8, issue 1, pages 33-56, May.
  6. Jin, Xing & Wang, Leping & Yu, Jun, 2007, "Temporal aggregation and risk-return relation," Finance Research Letters, Elsevier, volume 4, issue 2, pages 104-115, June.
  7. Huang, Weihong & Zhang, Yang, 2007, "Distributional dynamics of cautious economic adjustment processes," Journal of Economic Behavior & Organization, Elsevier, volume 62, issue 3, pages 389-407, March.

2006

  1. Zhihua Zhang & Rose Neng Lai, 2006, "Pricing efficiency and arbitrage: Hong Kong derivatives markets revisited," Applied Financial Economics, Taylor & Francis Journals, volume 16, issue 16, pages 1185-1198, DOI: 10.1080/09603100500447552.
  2. Rose Neng Lai & Seow Eng Ong & Tien Foo Sing, 2006, "Values Of Mortgages With Top-Up Payment Options," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 9, issue 05, pages 801-824, DOI: 10.1142/S0219024906003779.
  3. Chong, Beng-Soon & Liu, Ming-Hua & Tan, Kok-Hui, 2006, "The wealth effect of forced bank mergers and cronyism," Journal of Banking & Finance, Elsevier, volume 30, issue 11, pages 3215-3233, November.
  4. Chong, Beng Soon & Liu, Ming-Hua & Shrestha, Keshab, 2006, "Monetary transmission via the administered interest rates channel," Journal of Banking & Finance, Elsevier, volume 30, issue 5, pages 1467-1484, May.
  5. Phillips, Peter C.B. & Yu, Jun, 2006, "Comment," Journal of Business & Economic Statistics, American Statistical Association, volume 24, pages 202-208, April.
  6. Yu, Jun & Yang, Zhenlin & Zhang, Xibin, 2006, "A class of nonlinear stochastic volatility models and its implications for pricing currency options," Computational Statistics & Data Analysis, Elsevier, volume 51, issue 4, pages 2218-2231, December.
  7. Manabu Asai & Michael McAleer & Jun Yu, 2006, "Multivariate Stochastic Volatility: A Review," Econometric Reviews, Taylor & Francis Journals, volume 25, issue 2-3, pages 145-175, DOI: 10.1080/07474930600713564.
  8. Jun Yu & Renate Meyer, 2006, "Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison," Econometric Reviews, Taylor & Francis Journals, volume 25, issue 2-3, pages 361-384, DOI: 10.1080/07474930600713465.

2005

  1. Yu, Jun, 2005, "On leverage in a stochastic volatility model," Journal of Econometrics, Elsevier, volume 127, issue 2, pages 165-178, August.
  2. Peter C. B. Phillips, 2005, "Jackknifing Bond Option Prices," The Review of Financial Studies, Society for Financial Studies, volume 18, issue 2, pages 707-742.

2004

  1. Rose Neng Lai & Ko Wang & Yuqing Zhou, 2004, "Sale before Completion of Development: Pricing and Strategy," Real Estate Economics, American Real Estate and Urban Economics Association, volume 32, issue 2, pages 329-357, June, DOI: 10.1111/j.1080-8620.2004.00094.x.
  2. Berg, Andreas & Meyer, Renate & Yu, Jun, 2004, "Deviance Information Criterion for Comparing Stochastic Volatility Models," Journal of Business & Economic Statistics, American Statistical Association, volume 22, issue 1, pages 107-120, January.
  3. Jun Yu, 2004, "Empirical Characteristic Function Estimation and Its Applications," Econometric Reviews, Taylor & Francis Journals, volume 23, issue 2, pages 93-123, DOI: 10.1081/ETC-120039605.
  4. Y. K. Tse & Xibin Zhang & Jun Yu, 2004, "Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method," Quantitative Finance, Taylor & Francis Journals, volume 4, issue 2, pages 158-169, DOI: 10.1080/14697680400000020.
  5. Wenyang Zhang & Fiona Steele, 2004, "A semiparametric multilevel survival model," Journal of the Royal Statistical Society Series C, Royal Statistical Society, volume 53, issue 2, pages 387-404, April, DOI: 10.1111/j.1467-9876.2003.05056.x.

2003

  1. Wenyang Zhang & Qiwei Yao & Howell Tong & Nils Chr. Stenseth, 2003, "Smoothing for Spatiotemporal Models and Its Application to Modeling Muskrat-Mink Interaction," Biometrics, The International Biometric Society, volume 59, issue 4, pages 813-821, December.

2002

  1. Kang, Joseph & Liu, Ming-Hua & Ni, Sophie Xiaoyan, 2002, "Contrarian and momentum strategies in the China stock market: 1993-2000," Pacific-Basin Finance Journal, Elsevier, volume 10, issue 3, pages 243-265, June.
  2. John L. Knight & Stephen E. Satchell & Jun Yu, 2002, "Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method," Australian & New Zealand Journal of Statistics, Australian Statistical Publishing Association Inc., volume 44, issue 3, pages 319-335, September, DOI: 10.1111/1467-842X.00234.
  3. Knight, John L. & Yu, Jun, 2002, "Empirical Characteristic Function In Time Series Estimation," Econometric Theory, Cambridge University Press, volume 18, issue 3, pages 691-721, June.
  4. Jun Yu, 2002, "Forecasting volatility in the New Zealand stock market," Applied Financial Economics, Taylor & Francis Journals, volume 12, issue 3, pages 193-202, DOI: 10.1080/09603100110090118.
  5. Zhang, Wenyang & Lee, Sik-Yum & Song, Xinyuan, 2002, "Local Polynomial Fitting in Semivarying Coefficient Model," Journal of Multivariate Analysis, Elsevier, volume 82, issue 1, pages 166-188, July.

2001

  1. Qi-Man Shao & Hao Yu & Jun Yu, 2001, "Do Stock Returns Follow a Finite Variance Distribution?," Annals of Economics and Finance, Society for AEF, volume 2, issue 2, pages 467-486, November.
  2. Jun Yu & Peter C. B. Phillips, 2001, "A Gaussian approach for continuous time models of the short-term interest rate," Econometrics Journal, Royal Economic Society, volume 4, issue 2, pages 1-3.
  3. Zongwu Cai & Qiwei Yao & Wenyang Zhang, 2001, "Smoothing for discrete‐valued time series," Journal of the Royal Statistical Society Series B, Royal Statistical Society, volume 63, issue 2, pages 357-375, DOI: 10.1111/1467-9868.00290.

2000

  1. Altunbas, Yener & Liu, Ming-Hau & Molyneux, Philip & Seth, Rama, 2000, "Efficiency and risk in Japanese banking," Journal of Banking & Finance, Elsevier, volume 24, issue 10, pages 1605-1628, October.
  2. Renate Meyer & Jun Yu, 2000, "BUGS for a Bayesian analysis of stochastic volatility models," Econometrics Journal, Royal Economic Society, volume 3, issue 2, pages 198-215.
  3. Jianqing Fan & Wenyang Zhang, 2000, "Simultaneous Confidence Bands and Hypothesis Testing in Varying‐coefficient Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, volume 27, issue 4, pages 715-731, December, DOI: 10.1111/1467-9469.00218.
  4. Zhang, Wenyang & Lee, Sik-Yum, 2000, "Variable Bandwidth Selection in Varying-Coefficient Models," Journal of Multivariate Analysis, Elsevier, volume 74, issue 1, pages 116-134, July.

1999

  1. Rose Neng Lai & Ko Wang, 1999, "Land-Supply Restrictions, Developer Strategies and Housing Policies: The Case in Hong Kong," International Real Estate Review, Global Social Science Institute, volume 2, issue 1, pages 143-159.
  2. Graeme Guthrie & Julian Wright & Jun Yu, 1999, "Testing the expectations theory of the term structure for New Zealand," New Zealand Economic Papers, Taylor & Francis Journals, volume 33, issue 1, pages 93-114, DOI: 10.1080/00779959909544299.

1996

  1. Chong, Beng-Soon & Liu, Ming-Hua & Altunbas, Yener, 1996, "The impact of universal banking on the risks and returns of Japanese financial institutions," Pacific-Basin Finance Journal, Elsevier, volume 4, issue 2-3, pages 181-195, July.

1993

  1. Cummins, H.Z. & Du, W.M. & Fuchs, M. & Götze, W. & Latz, A. & Li, G. & Tao, N.J., 1993, "Light scattering spectroscopy of the liquid-glass transition: comparison with idealized and extended mode coupling theory," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 201, issue 1, pages 207-222, DOI: 10.1016/0378-4371(93)90417-3.

Books

2024

  1. Rose Neng Lai & Robert A Van Order, 2024, "When Housing Markets Meet Shadow Banking:Bubbles, Mortgages, Securitization, and Fintech," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 13611, ISBN: ARRAY(0x787652f8).

2021

  1. Patrick W.M. Huen & Jean Jinghan Chen & Ming-Hua Liu, 2021, "Seng Heng Bank," Springer Books, Springer, number 978-981-16-0398-3, ISBN: ARRAY(0x7327e928), DOI: 10.1007/978-981-16-0398-3.

Chapters

2024

  1. Peter C. B. Phillips & Jun Yu, 2024, "Information loss in volatility measurement with flat price trading," Advanced Studies in Theoretical and Applied Econometrics, Springer, in: Subal C. Kumbhakar & Robin C. Sickles & Hung-Jen Wang, "Advances in Applied Econometrics", DOI: 10.1007/978-3-031-48385-1_19.

2023

  1. Xiaohu Wang & Weilin Xiao & Jun Yu, 2023, "Asymptotic Properties of the Least Squares Estimator in Local to Unity Processes with Fractional Gaussian Noise," Advances in Econometrics, Emerald Group Publishing Limited, "Essays in Honor of Joon Y. Park: Econometric Theory", DOI: 10.1108/S0731-90532023000045A002.

2022

  1. Rose Neng Lai & Robert A. Van Order, 2022, "Disaggregating house price dynamics," Chapters, Edward Elgar Publishing, chapter 7, in: Charles K.Y. Leung, "Handbook of Real Estate and Macroeconomics".

2021

  1. Patrick W. M. Huen & Jean Jinghan Chen & Ming-Hua Liu, 2021, "Introduction," Springer Books, Springer, chapter 0, "Seng Heng Bank", DOI: 10.1007/978-981-16-0398-3_1.
  2. Patrick W. M. Huen & Jean Jinghan Chen & Ming-Hua Liu, 2021, "Macao’s Economy and Banking Industry," Springer Books, Springer, chapter 0, "Seng Heng Bank", DOI: 10.1007/978-981-16-0398-3_2.
  3. Patrick W. M. Huen & Jean Jinghan Chen & Ming-Hua Liu, 2021, "Seng Heng Bank (1972–2007)," Springer Books, Springer, chapter 0, "Seng Heng Bank", DOI: 10.1007/978-981-16-0398-3_3.
  4. Patrick W. M. Huen & Jean Jinghan Chen & Ming-Hua Liu, 2021, "Icbc," Springer Books, Springer, chapter 0, "Seng Heng Bank", DOI: 10.1007/978-981-16-0398-3_4.
  5. Patrick W. M. Huen & Jean Jinghan Chen & Ming-Hua Liu, 2021, "Acquisition of Seng Heng Bank by ICBC," Springer Books, Springer, chapter 0, "Seng Heng Bank", DOI: 10.1007/978-981-16-0398-3_5.
  6. Patrick W. M. Huen & Jean Jinghan Chen & Ming-Hua Liu, 2021, "Conclusions," Springer Books, Springer, chapter 0, "Seng Heng Bank", DOI: 10.1007/978-981-16-0398-3_6.

2020

  1. Yubo Tao & Jun Yu, 2020, "Model Selection for Explosive Models," Advances in Econometrics, Emerald Group Publishing Limited, "Essays in Honor of Cheng Hsiao", DOI: 10.1108/S0731-905320200000041003.

2016

  1. Jerry Cao & Bihong Huang & Rose Neng Lai, 2016, "Housing Bubble and Government Regulation: Evidence from China," Chapters from NBP Conference Publications, Narodowy Bank Polski, chapter 10, in: Hanna Augustyniak & Jacek Łaszek & Krzysztof Olszewski & Joanna Waszczuk, "Papers presented during the Narodowy Bank Polski Workshop: Recent trends in the real estate market and its analysis - 2015 edition".

2014

  1. Tao Zeng & Yong Li & Jun Yu, 2014, "Deviance Information Criterion for Comparing VAR Models," Advances in Econometrics, Emerald Group Publishing Limited, "Essays in Honor of Peter C. B. Phillips", DOI: 10.1108/S0731-905320140000033017.

2011

  1. Thomas C. Chiang & Zhuo Qiao & Wing-Keung Wong, 2011, "A Markov Regime-Switching Model of Stock Return Volatility: Evidence from Chinese Markets," Palgrave Macmillan Books, Palgrave Macmillan, chapter 3, in: Greg N. Gregoriou & Razvan Pascalau, "Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration", DOI: 10.1057/9780230295216_3.
  2. Bo Ranneby & Jun Yu, 2011, "Nonparametric and Probabilistic Classification Using NN-balls with Environmental and Remote Sensing Applications," Springer Books, Springer, chapter 0, in: Martin T. Wells & Ashis SenGupta, "Advances in Directional and Linear Statistics", DOI: 10.1007/978-3-7908-2628-9_14.

2010

  1. Tore Selland Kleppe & Jun Yu & H.J. Skaug, 2010, "Simulated maximum likelihood estimation of continuous time stochastic volatility models," Advances in Econometrics, Emerald Group Publishing Limited, "Maximum Simulated Likelihood Methods and Applications", DOI: 10.1108/S0731-9053(2010)0000026009.

2009

  1. Peter C. B. Phillips & Jun Yu, 2009, "Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance," Springer Books, Springer, chapter 22, in: Thomas Mikosch & Jens-Peter Kreiß & Richard A. Davis & Torben Gustav Andersen, "Handbook of Financial Time Series", DOI: 10.1007/978-3-540-71297-8_22.

2007

  1. Hardjo Koerniadi & Ming-Hua Liu & Alireza Tourani-Rad, 2007, "Share Repurchases in New Zealand," Advances in Financial Economics, Emerald Group Publishing Limited, "Issues in Corporate Governance and Finance", DOI: 10.1016/S1569-3732(07)12018-1.

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