Estimating spot volatility with high-frequency financial data Y Zu, HP Boswijk Journal of Econometrics 181 (2), 117-135, 2014 | 98 | 2014 |
Sign-based unit root tests for explosive financial bubbles in the presence of deterministically time-varying volatility DI Harvey, SJ Leybourne, Y Zu Econometric Theory 36 (1), 122-169, 2020 | 50 | 2020 |
Testing explosive bubbles with time-varying volatility DI Harvey, SJ Leybourne, Y Zu Econometric Reviews, 2019 | 45 | 2019 |
Adaptive testing for cointegration with nonstationary volatility HP Boswijk, Y Zu Journal of Business & Economic Statistics 40 (2), 744-755, 2022 | 26* | 2022 |
CUSUM-based monitoring for explosive episodes in financial data in the presence of time-varying volatility S Astill, DI Harvey, SJ Leybourne, AMR Taylor, Y Zu Journal of Financial Econometrics 21 (1), 187-227, 2023 | 21 | 2023 |
Adaptive wild bootstrap tests for a unit root with non‐stationary volatility HP Boswijk, Y Zu The Econometrics Journal 21 (2), 87-113, 2018 | 21 | 2018 |
Estimation of the variance function in structural break autoregressive models with non‐stationary and explosive segments DI Harvey, SJ Leybourne, Y Zu Journal of Time Series Analysis 44 (2), 181-205, 2023 | 10 | 2023 |
Nonparametric specification tests for stochastic volatility models based on volatility density Y Zu Journal of Econometrics 187 (1), 323-344, 2015 | 9 | 2015 |
Consistent nonparametric specification tests for stochastic volatility models based on the return distribution Y Zu, HP Boswijk Journal of Empirical Finance 41, 53-75, 2017 | 6 | 2017 |
A note on the asymptotic normality of the kernel deconvolution density estimator with logarithmic chi-square noise Y Zu Econometrics 3 (3), 561-576, 2015 | 6 | 2015 |
Tests for equal forecast accuracy under heteroskedasticity DI Harvey, SJ Leybourne, Y Zu Journal of Applied Econometrics, 2024 | 2 | 2024 |
Yang et al.," Y Zu, R ZHANG GPU-based NFA implementation for memory efficient high speed regular …, 0 | 2 | |
Unit Root Tests for Explosive Financial Bubbles in the Presence of Deterministic Level Shifts DI Harvey, SJ Leybourne, BS Tatlow, Y Zu Wiley, 2023 | 1 | 2023 |
Testing for Equal Average Forecast Accuracy in Possibly Unstable Environments DI Harvey, SJ Leybourne, Y Zu Journal of Business & Economic Statistics, 1-14, 2024 | | 2024 |
A new heteroskedasticity‐robust test for explosive bubbles DI Harvey, SJ Leybourne, AMR Taylor, Y Zu Journal of Time Series Analysis, 2024 | | 2024 |
Testing for an Explosive Bubble using High-Frequency Volatility HP Boswijk, J Yu, Y Zu arXiv preprint arXiv:2405.02087, 2024 | | 2024 |
Nonparametric estimation of the variance function in an explosive autoregression model DI Harvey, SJ Leybourne, Y Zu | | 2019 |
Estimating stochastic volatility models with high-frequency data: a Monte Carlo investigation Y Zu Working paper, City University London, 2014 | | 2014 |
Essays on nonparametric econometrics of stochastic volatility Y Zu Tinbergen Institute, 2012 | | 2012 |