Contact

Department of Economics

University of Macau

Email: yangzu at um.edu.mo

Published Research

• Dave Harvey, Steve Leybourne and Yang Zu (2022), Estimation of the variance function in structural break autoregressive models with non-stationary and explosive segments, Journal of Time Series Analysis.

• Sam Astill, Dave Harvey, Steve Leybourne, Rob Taylor and Yang Zu (2021), CUSUM-Based Monitoring for Explosive Episodes in Financial Data in the Presence of Time-Varying Volatility, Journal of Financial Econometrics.

• Peter Boswijk and Yang Zu (2022), Adaptive Testing for Cointegration with Nonstationary Volatility, Journal of Business and Economic Statistics, 40, 744-755. 

• Dave Harvey, Steve Leybourne and Yang Zu (2020), Sign-based unit root tests for explosive financial bubbles in the presence of deterministically time-varying volatility, Econometric Theory, 36, 122-169.

• Dave Harvey, Steve Leybourne and Yang Zu (2019), Testing explosive bubbles with time-varying volatility, Econometric Reviews, 38, 1131-1151. code

• Peter Boswijk and Yang Zu (2018), Adaptive wild bootstrap tests for a unit root with nonstationary volatility, Econometrics Journal, 21, 87-113.

• Yang Zu and Peter Boswijk (2017), Consistent nonparametric specification tests for stochastic volatility models based on the return distribution, Journal of Empirical Finance, 41, 53–75.

• Yang Zu (2015), A note on asymptotic normality of the kernel deconvolution density estimator with logarithmic Chi-square noise, Econometrics, 3, 561-576.

• Yang Zu (2015), Nonparametric specification tests for stochastic volatility models based on volatility density, Journal of Econometrics, 187, 323-344.

• Yang Zu and Peter Boswijk (2014), Estimating spot volatility with high-frequency data, Journal of Econometrics, 181, 117-135.