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Yang Zu
Yang Zu
Department of Economics, University of Macau
Verified email at um.edu.mo - Homepage
Title
Cited by
Cited by
Year
Estimating spot volatility with high-frequency financial data
Y Zu, HP Boswijk
Journal of Econometrics 181 (2), 117-135, 2014
922014
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
392020
Testing explosive bubbles with time-varying volatility
DI Harvey, SJ Leybourne, Y Zu
Econometric Reviews, 2019
372019
Adaptive testing for cointegration with nonstationary volatility
HP Boswijk, Y Zu
Journal of Business & Economic Statistics 40 (2), 744-755, 2022
24*2022
Adaptive wild bootstrap tests for a unit root with non‐stationary volatility
HP Boswijk, Y Zu
The Econometrics Journal 21 (2), 87-113, 2018
172018
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
152023
Nonparametric specification tests for stochastic volatility models based on volatility density
Y Zu
Journal of Econometrics 187 (1), 323-344, 2015
82015
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
72023
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
62017
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
62015
Yang et al.,"
Y Zu, R ZHANG
GPU-based NFA implementation for memory efficient high speed regular …, 0
2
Testing for an Explosive Bubble using High-Frequency Volatility
HP Boswijk, J Yu, Y Zu
arXiv preprint arXiv:2405.02087, 2024
2024
Tests for equal forecast accuracy under heteroskedasticity
DI Harvey, SJ Leybourne, Y Zu
Journal of Applied Econometrics, 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
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Articles 1–16