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Jun Yu

Global rank #1063 98%

Institution: University of Macau

Primary Field: Econometrics (weighted toward more recent publications)

Homepage: https://fba.um.edu.mo/faculty/junyu/

First Publication: 2002

Most Recent: 2025

RePEc ID: pyu5 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 4.52 2.35 0.00 11.39
Last 10 Years 0.00 8.88 3.35 0.00 21.62
All Time 0.00 23.96 11.06 0.00 60.74

Publication Statistics

Raw Publications 42
Coauthorship-Adjusted Count 38.71

Publications (42)

Year Article Journal Tier Authors
2025 Multivariate stochastic volatility models based on generalized Fisher transformation Journal of Econometrics A 3
2024 Robust testing for explosive behavior with strongly dependent errors Journal of Econometrics A 3
2024 On the spectral density of fractional Ornstein–Uhlenbeck processes Journal of Econometrics A 3
2023 A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR International Economic Review B 3
2023 Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process Journal of Econometrics A 3
2023 Improved marginal likelihood estimation via power posteriors and importance sampling Journal of Econometrics A 3
2023 Bubble testing under polynomial trends The Econometrics Journal B 2
2022 Posterior-based Wald-type statistics for hypothesis testing Journal of Econometrics A 4
2022 The Grid Bootstrap for Continuous Time Models Journal of Business & Economic Statistics A 3
2021 Mildly Explosive Autoregression with Anti‐persistent Errors Oxford Bulletin of Economics and Statistics B 3
2020 Deviance information criterion for latent variable models and misspecified models Journal of Econometrics A 3
2019 Random coefficient continuous systems: Testing for extreme sample path behavior Journal of Econometrics A 3
2019 ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL Econometric Theory B 2
2019 Asymptotic theory for rough fractional Vasicek models Economics Letters C 2
2018 New distribution theory for the estimation of structural break point in mean Journal of Econometrics A 3
2018 Specification tests based on MCMC output Journal of Econometrics A 3
2017 Inference in continuous systems with mildly explosive regressors Journal of Econometrics A 3
2016 Double asymptotics for explosive continuous time models Journal of Econometrics A 2
2015 Bias in the estimation of mean reversion in continuous-time Lévy processes Economics Letters C 4
2015 Self-Exciting Jumps, Learning, and Asset Pricing Implications The Review of Financial Studies A 3
2015 A Bayesian chi-squared test for hypothesis testing Journal of Econometrics A 3
2015 New methodology for constructing real estate price indices applied to the Singapore residential market Journal of Banking & Finance B 3
2015 TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500 International Economic Review B 3
2015 TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL‐TIME DETECTORS International Economic Review B 3
2015 Limit theory for an explosive autoregressive process Economics Letters C 2
2015 Asymptotic theory for linear diffusions under alternative sampling schemes Economics Letters C 2
2014 Maximum likelihood estimation of partially observed diffusion models Journal of Econometrics A 3
2014 A new approach to Bayesian hypothesis testing Journal of Econometrics A 3
2014 Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour Oxford Bulletin of Economics and Statistics B 3
2014 SPECIAL ISSUE OF ECONOMETRIC THEORY ON SETA 2010: EDITORS’ INTRODUCTION Econometric Theory B 2
2014 ECONOMETRIC ANALYSIS OF CONTINUOUS TIME MODELS: A SURVEY OF PETER PHILLIPS’S WORK AND SOME NEW RESULTS Econometric Theory B 1
2012 Bayesian hypothesis testing in latent variable models Journal of Econometrics A 2
2012 A semiparametric stochastic volatility model Journal of Econometrics A 1
2012 Bias in the estimation of the mean reversion parameter in continuous time models Journal of Econometrics A 1
2011 Bias in estimating multivariate and univariate diffusions Journal of Econometrics A 3
2010 Indirect inference for dynamic panel models Journal of Econometrics A 3
2010 Bayesian analysis of structural credit risk models with microstructure noises Journal of Economic Dynamics and Control B 2
2009 A two-stage realized volatility approach to estimation of diffusion processes with discrete data Journal of Econometrics A 2
2009 Simulation-Based Estimation of Contingent-Claims Prices The Review of Financial Studies A 2
2005 Jackknifing Bond Option Prices The Review of Financial Studies A 1
2005 On leverage in a stochastic volatility model Journal of Econometrics A 1
2002 EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION Econometric Theory B 2