← All authors Yang Zu University of Macau (from arXiv:2405.02087, 2024) · ORCID · OpenAlex
17 papers in scope · 16 published · 1 on the econ.EM arXiv · 232 citations · h-index 7 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Torben G. Andersen H. Peter Boswijk Bo Zhou Viktor Todorov Anders Rahbek Jun Yu Iliyan Georgiev Giuseppe Cavaliere Carsten Chong Bas J. M. Werker Giacomo Toscano Ramon Van den Akker Maria Elvira Mancino Stefano Marmi Giulia Livieri Christina Dan Wang Zhao Chen Ilze Kalnina Kokouvi Tewou Qiang Liu Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (1 of 17)
Statistical Comparison of Forecasts Made at Different Frequencies
published 2026 · Journal of Business and Economic Statistics
with Rongmao Zhang, Wei Li
Unit Root Tests for Explosive Financial Bubbles in the Presence of Deterministic Level Shifts
published 2025 · Oxford Bulletin of Economics and Statistics · 1 citations
with David I. Harvey, Stephen J. Leybourne, Benjamin S. Tatlow
Testing for Equal Average Forecast Accuracy in Possibly Unstable Environments
published 2024 · Journal of Business and Economic Statistics · 4 citations
with David I. Harvey, Stephen J. Leybourne
A new heteroskedasticity‐robust test for explosive bubbles
published 2024 · Journal of Time Series Analysis
working paper 2024 · arXiv
Tests for equal forecast accuracy under heteroskedasticity
published 2024 · Journal of Applied Econometrics · 3 citations
with David I. Harvey, Stephen J. Leybourne
Estimation of the variance function in structural break autoregressive models with non‐stationary and explosive segments
published 2022 · Journal of Time Series Analysis · 6 citations
with David I. Harvey, Stephen J. Leybourne
CUSUM-Based Monitoring for Explosive Episodes in Financial Data in the Presence of Time-Varying Volatility
published 2021 · Journal of Financial Econometrics · 23 citations
with Sam Astill, David I. Harvey, Stephen J. Leybourne, A.M. Robert Taylor
Adaptive Testing for Cointegration With Nonstationary Volatility
published 2021 · Journal of Business and Economic Statistics · 7 citations · first circulated 2019
SIGN-BASED UNIT ROOT TESTS FOR EXPLOSIVE FINANCIAL BUBBLES IN THE PRESENCE OF DETERMINISTICALLY TIME-VARYING VOLATILITY
published 2019 · Econometric Theory · 35 citations
with David I. Harvey, Stephen J. Leybourne
Testing explosive bubbles with time-varying volatility
published 2018 · Econometric Reviews · 32 citations
with David I. Harvey, Stephen J. Leybourne
Adaptive Wild Bootstrap Tests for a Unit Root With Non‐Stationary Volatility
published 2017 · Econometrics Journal · 15 citations
Consistent nonparametric specification tests for stochastic volatility models based on the return distribution
published 2017 · Journal of Empirical Finance · 4 citations · first circulated 2015
A Note on the Asymptotic Normality of the Kernel Deconvolution Density Estimator with Logarithmic Chi-Square Noise
published 2015 · Econometrics · 5 citations
Nonparametric specification tests for stochastic volatility models based on volatility density
published 2015 · Journal of Econometrics · 10 citations
Estimating spot volatility with high-frequency financial data
published 2014 · Journal of Econometrics · 87 citations
Spatial Optimization of Crude Oil Transporting Network in the Middle and Lower Reaches of Yangtze River
published 2014 · Economic Geography
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