Items where Author is "Zu, Y."
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 (15/02). London, UK: Department of Economics, City University London.
Boswijk, H. P. & Zu, Y. (2013). Testing for Cointegration with Nonstationary Volatility (13/08). London, UK: Department of Economics, City University London.