Items where City Author is "Zu, Yang"

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Number of items: 5.

Article

Zu, Y. (2015). Nonparametric specification tests for stochastic volatility models based on volatility density. Journal of Econometrics, 187(1), pp. 323-344. doi: 10.1016/j.jeconom.2015.02.045

Zu, Y. (2015). A note on asymptotic normality of kernel deconvolution density estimator with logarithmic Chi-square noise: with application in volatility density estimation. Econometrics, 3(3), pp. 561-576. doi: 10.3390/econometrics3030561

Zu, Y. & Peter Boswijk, H. (2014). Estimating spot volatility with high-frequency financial data. Journal of Econometrics, 181(2), pp. 117-135. doi: 10.1016/j.jeconom.2014.04.001

Monograph

Zu, Y. (2015). Consistent nonparametric specification tests for stochastic volatility models based on the return distribution (Report No. 15/02). London, UK: Department of Economics, City University London.

Boswijk, H. P. & Zu, Y. (2013). Testing for Cointegration with Nonstationary Volatility (Report No. 13/08). London, UK: Department of Economics, City University London.

This list was generated on Sun Sep 24 06:17:26 2017 UTC.