← All authors Ruijun Bu University of Liverpool (from arXiv:2307.01348, 2023) · ORCID · OpenAlex
25 papers in scope · 25 published · 2 on the econ.EM arXiv · 473 citations · h-index 10 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Qiang Liu Zhi Liu José E. Figueroa-López Hanchao Wang Bei Wu Haoxuan Zhang Carsten Chong Viktor Todorov Zhou Wang Bei Wu Jincheng Pang Degui Li Oliver Linton Giacomo Toscano Yuchen Han Ruoting Gong Todd A. Kuffner Qi Wang Stefano Marmi Maria Elvira Mancino 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 (2 of 25)
Shock Absorbers or Amplifiers? How Do Firms Transmit Shocks in a Polycrisis Era?
published 2026 · International Journal of Finance & Economics
with Miaomiao Tao, Jianda Wang, Xiaohang Ren
Extreme Movements and Volatility Regimes: A Copula-Based Endogenous Regime Switching Perspective
published 2025 · Review of Quantitative Finance and Accounting
with Jie Cheng, Fredj Jawadi, Yuyi Li, Abdoulkarim Idi Cheffou
published 2025 · Econometric Theory · 1 citations · first circulated 2023
Revisiting consumption and income relationship: a vector logistic smooth transition regression modelling
published 2025 · Macroeconomic Dynamics
with Fredj Jawadi, Jie Cheng, Yacouba Gnégné, Abdoulkarim Idi Cheffou
Revisiting the linkages between oil prices and macroeconomy for the euro area: Does energy inflation still matter?
published 2023 · Energy Economics · 15 citations
with Fredj Jawadi, Abdoulkarim Idi Cheffou
Modeling extreme risk spillovers between crude oil and Chinese energy futures markets
published 2023 · Energy Economics · 42 citations
with Xiaohang Ren, Yiying Li, Xianming Sun, Fredj Jawadi
Uniform and Lp convergences for nonparametric continuous time regressions with semiparametric applications
published 2023 · Journal of Econometrics
with Jihyun Kim, Bin Wang
Economic policy uncertainty and dynamic correlations in energy markets: Assessment and solutions
published 2022 · Energy Economics · 86 citations
with Xiong Wang, Jingyao Li, Xiaohang Ren, Fredj Jawadi
The contribution of jump signs and activity to forecasting stock price volatility
published 2022 · Journal of Empirical Finance · 13 citations · first circulated 2019
published 2020 · Journal of Econometrics · 1 citations · first circulated 2018
A latent‐factor‐driven endogenous regime‐switching non‐Gaussian model: Evidence from simulation and application
published 2020 · International Journal of Finance & Economics · 1 citations
with Jie Cheng, Fredj Jawadi
What Affects the Relationship Between Oil Prices and the U.S. Stock Market? A Mixed-Data Sampling Copula Approach
published 2020 · Journal of Financial Econometrics · 17 citations
Macroeconomic fundamentals, jump dynamics and expected volatility
published 2020 · Quantitative Finance · 22 citations
with Zhiyuan Pan, Li Liu, Yudong Wang
A multifactor transformed diffusion model with applications to VIX and VIX futures
published 2019 · Econometric Reviews · 1 citations
with Fredj Jawadi, Yuyi Li
A Bayesian approach to continuous type principal-agent problems
published 2019 · European Journal of Operational Research · 5 citations
Does the volatility of volatility risk forecast future stock returns?
published 2019 · Journal of International Financial Markets Institutions and Money · 10 citations
with Xi Fu, Fredj Jawadi
Are financial returns really predictable out-of-sample?: Evidence from a new bootstrap test
published 2019 · Economic Modelling · 9 citations
with Li Liu, Zhiyuan Pan, Yuhua Xu
An empirical comparison of transformed diffusion models for VIX and VIX futures
published 2016 · Journal of International Financial Markets Institutions and Money · 10 citations
with Fredj Jawadi, Yuyi Li
Specification analysis in regime-switching continuous-time diffusion models for market volatility
published 2016 · Studies in Nonlinear Dynamics and Econometrics · 10 citations
Reducible diffusions with time-varying transformations with application to short-term interest rates
published 2014 · Economic Modelling · 6 citations
Modeling Multivariate Interest Rates Using Time-Varying Copulas and Reducible Nonlinear Stochastic Differential Equations
published 2010 · Journal of Financial Econometrics · 26 citations · first circulated 2009
TESTING FOR STATIONARITY IN HETEROGENEOUS PANEL DATA IN THE CASE OF MODEL MISSPECIFICATION
published 2010 · Bulletin of Economic Research · 8 citations
Maximum likelihood estimation of higher‐order integer‐valued autoregressive processes
published 2008 · Journal of Time Series Analysis · 74 citations · first circulated 2006
Model selection, estimation and forecasting in INAR(p) models: A likelihood-based Markov Chain approach
published 2008 · International Journal of Forecasting · 67 citations
with Brendan McCabe
Estimating option implied risk‐neutral densities using spline and hypergeometric functions
published 2007 · Econometrics Journal · 49 citations
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