Content
Undated material is presented at the end, although it may be more recent than other items
2013
- CoFie-04-2013 Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors
by Peter C. B. Phillips & Shu-Ping Shi & Jun Yu - CoFie-03-2013 Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500
by Peter C. B. Phillips & Shu-Ping Shi & Jun Yu - CoFie-02-2013 Measure Of Location-Based Estimators In Simple Linear Regression
by DANIEL PREVE & Shu-Ping XIJIA LIU - CoFie-01-2013 Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Levy Processes
by Yong Bao & Aman Ullah & Yun Wang & Jun Yu
2012
- CoFie-05-2011 Estimation Of Time Varying Adjusted Probability Of Informed Trading And Probability Of Symmetric Order-Flow Shock
by DANIEL PREVE & Yiu-Kuen Tse - CoFie-03-2012 Detecting Bubbles in Hong Kong Residential Property Market
by Matthew S. Yiu & Jun Yu & Lu Jin - CoFie-02-2012 Estimation of High-Frequency Volatility: An Autoregressive Conditional Duration Approach
by Yiu-Kuen Tse & Thomas Tao Yang - CoFie-01-2012 Estimation of Monthly Volatility: An Empirical Comparison of Realized Volatility, GARCH and ACD-ICV Methods
by Shouwei Liu & Yiu-Kuen Tse
2011
- CoFie-10-2011 Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility
by Andras Fulop & Junye Li & Jun Yu - CoFie-09-2011 Speci cation Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior
by Peter C. B. Phillips & Shu-Ping Shi & Jun Yu - CoFie-04-2011 Simulated Maximum Likelihood Estimation for Latent Diffusion Models
by Tore Selland Kleppe & Jun Yu & Hans J. Skaug - CoFie-03-2011 Testing for Multiple Bubbles
by Peter C. B. Phillips & Shu-Ping Shi & Jun Yu - CoFie-02-2011 Forecasting the Equity Risk Premium: The Role of Technical Indicators
by Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou - CoFie-01-2011 SpeciÖcation Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles
by Shu-Ping Shi & Peter C. B. Phillips & Jun Yu
2009
- CoFie-09-2009 Simulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models
by Tore Selland Kleppe & Hans J. Skaug & Jun Yu - CoFie-07-2009 Dating the Timeline of Financial Bubbles During the Subprime Crisis
by Peter C.B.Phillips & Jun Yu - CoFie-06-2009 Econometric Inference in the Vicinity of Unity
by Peter C.B.Phillips & Tassos Magdalinos - CoFie-04-2009 Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results
by Jun Yu - CoFie-03-2009 Infinite Density at the Median and the Typical Shape of Stock Return Distributions
by Peter C.B.Phillips & Jin Seo Cho & Chirok Han - CoFie-03-2008 Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?
by Peter C.B.Phillips & Yangru Wu & Jun Yu - CoFie-02-2009 LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities
by Peter C.B.Phillips & Jin Seo Cho & Chirok Han - CoFie-01-2009 Dynamic Misspecification in Nonparametric Cointegrating Regression
by Peter C.B.Phillips & Ioannis Kasparis
2008
- CoFie-04-2008 A Semiparametric Stochastic Volatility Model
by Jun Yu - CoFie-01-2008 Information Loss in Volatility Measurement with Flat Price Trading
by Peter C.B.Phillips & Jun Yu
2007
- CoFie-06-2008 Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models
by Jun Yu - CoFie-01-2007 Automated Likelihood Based Inference for Stochastic Volatility Models
by Hans J. Skaug & Jun Yu - 01-2007 Automated Likelihood Based Inference for Stochastic Volatility Models
by Jun Yu
Undated
- CoFie-08-2009 Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance
by Peter C.B.Phillips & Jun Yu - CoFie-07-2008 Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises
by Shirley J. Huang & Jun Yu - CoFie-05-2009 Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods in Time Series Data
by Peter C.B.Phillips & Jun Yu - CoFie-05-2008 Simulation-based Estimation of Contingent Claims Prices
by Peter C.B.Phillips & Jun Yu - CoFie-04-2012 Robust Deviance Information Criterion for Latent Variable Models
by Yong Li & Zeng Tao & Jun Yu - CoFie-02-2007 Forecasting Realized Volatility Using A Nonnegative Semiparametric Model
by Daniel Preve & Anders Eriksson & Jun Yu