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A new heteroskedasticity-robust test for explosive bubbles Journal article
Harvey, David I., Leybourne, Stephen J., Taylor, A. M.Robert, Zu, Yang. A new heteroskedasticity-robust test for explosive bubbles[J]. Journal of Time Series Analysis, 2024.
Authors:  Harvey, David I.;  Leybourne, Stephen J.;  Taylor, A. M.Robert;  Zu, Yang
Favorite | TC[WOS]:0 TC[Scopus]:0  IF:1.2/1.4 | Submit date：2024/11/05
Rational Bubble  Explosive Autoregression  Time-varying Volatility  Kernel Smoothing  Right-tailed Unit Root Testing  Union Of Rejections  
Local powers of least-squares-based test for panel fractional Ornstein–Uhlenbeck process Journal article
Tanaka, Katsuto, Xiao, Weilin, Yu, Jun. Local powers of least-squares-based test for panel fractional Ornstein–Uhlenbeck process[J]. Journal of Time Series Analysis, 2024.
Authors:  Tanaka, Katsuto;  Xiao, Weilin;  Yu, Jun
Favorite | TC[WOS]:0 TC[Scopus]:0  IF:1.2/1.4 | Submit date：2024/10/10
Panel Fractional Ornstein–uhlenbeck Process  Least Squares  Asymptotic Distribution  Local Alternative  Local Power  
Fractional stochastic volatility model Journal article
Shi, Shuping, Liu, Xiaobin, Yu, Jun. Fractional stochastic volatility model[J]. Journal of Time Series Analysis, 2024.
Authors:  Shi, Shuping;  Liu, Xiaobin;  Yu, Jun
Favorite | TC[WOS]:2 TC[Scopus]:2  IF:1.2/1.4 | Submit date：2024/06/03
Fractional Brownian Motion  Long Memory  Rough Volatility  Spectral Density  Stochastic Volatility  Variance–covariance Matrix  
Fractional gaussian noise: Spectral density and estimation methods Journal article
Shi, Shuping, Yu, Jun, Zhang, Chen. Fractional gaussian noise: Spectral density and estimation methods[J]. Journal of Time Series Analysis, 2024.
Authors:  Shi, Shuping;  Yu, Jun;  Zhang, Chen
Favorite | TC[WOS]:0 TC[Scopus]:0  IF:1.2/1.4 | Submit date：2024/06/03
Change-of-frequency  Fractional Brownian Motion  Fractional Gaussian Noise  Maximum Likelihood  Realised Volatility  Semi-parametric Method  Whittle Likelihood  
Square-Root LASSO for High-Dimensional Sparse Linear Systems with Weakly Dependent Errors Journal article
Xie, Fang, Xiao, Zhijie. Square-Root LASSO for High-Dimensional Sparse Linear Systems with Weakly Dependent Errors[J]. JOURNAL OF TIME SERIES ANALYSIS, 2018, 39(2), 212-238.
Authors:  Xie, Fang;  Xiao, Zhijie
Favorite | TC[WOS]:4 TC[Scopus]:4  IF:1.2/1.4 | Submit date：2018/10/30
High-dimensional Linear Model  Square-root Lasso  -mixing  -mixing  Phi-mixing  M-dependent  Estimation Consistency