Contact
Department of Economics
University of Macau
Email: yangzu at um.edu.mo
Research Papers
Forecast Evaluation Tests
Dave Harvey, Steve Leybourne and Yang Zu (forthcoming), Testing for equal average forecast accuracy in possibly unstable environments, Journal of Business and Economic Statistics.
Dave Harvey, Steve Leybourne and Yang Zu (2024), Tests for equal forecast accuracy under heteroskedasticity, Journal of Applied Econometrics.
Bubble Testing and Monitoring
Dave Harvey, Steve Leybourne, Rob Taylor and Yang Zu (forthcoming), A new heteroskedasticity-robust test for explosive bubbles, Journal of Time Series Analysis.
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.
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
Spot Volatility and Specification Tests for Volatility Models
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.
Adaptive Unit Root and Cointegration Testing
Peter Boswijk and Yang Zu (2022), Adaptive Testing for Cointegration with Nonstationary Volatility, Journal of Business and Economic Statistics, 40, 744-755.
Peter Boswijk and Yang Zu (2018), Adaptive wild bootstrap tests for a unit root with nonstationary volatility, Econometrics Journal, 21, 87-113.