eddiekou Kou Man Kit2023-01-04T16:00:17+08:00
Affiliation
yangzu@um.edu.mo
Tel
+853 8822 4129
Office
Office Room 3026, Humanities and Social Sciences Building
University of Macau, E21B
Avenida da Universidade,Taipa, Macau, China
Consultation Hours
Personal Website
Yang ZU 祖楊
Associate Professor
Academic Qualifications
University of Amsterdam and Tinbergen Institute, PhD Econometrics, 2012.
Wuhan University, MA Quantitative Economics, 2006.
Wuhan University, BA International Economics, 2001.
Research Interests
Econometrics
Publications
Selected Publications
- 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.
- 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.