Ruijun Bu
Cited by
Cited by
Maximum likelihood estimation of higher‐order integer‐valued autoregressive processes
R Bu, B McCabe, K Hadri
Journal of time series analysis 29 (6), 973-994, 2008
Model selection, estimation and forecasting in INAR (p) models: a likelihood-based Markov chain approach
R Bu, B McCabe
International Journal of Forecasting 24 (1), 151-162, 2008
Estimating option implied risk‐neutral densities using spline and hypergeometric functions
R Bu, K Hadri
The Econometrics Journal 10 (2), 216-244, 2007
Economic policy uncertainty and dynamic correlations in energy markets: Assessment and solutions
X Wang, J Li, X Ren, R Bu, F Jawadi
Energy Economics 117, 106475, 2023
Modeling multivariate interest rates using time-varying copulas and reducible nonlinear stochastic differential equations
R Bu, L Giet, K Hadri, M Lubrano
Journal of Financial Econometrics 9 (1), 198-236, 2011
What affects the relationship between oil prices and the US stock market? A mixed-data sampling copula approach
Y Gong, R Bu, Q Chen
Journal of Financial Econometrics 20 (2), 253-277, 2022
Macroeconomic fundamentals, jump dynamics and expected volatility
Z Pan, R Bu, L Liu, Y Wang
Quantitative Finance 20 (8), 1345-1371, 2020
Does the volatility of volatility risk forecast future stock returns?
R Bu, X Fu, F Jawadi
Journal of International Financial Markets, Institutions and Money 61, 16-36, 2019
Specification analysis in regime-switching continuous-time diffusion models for market volatility
R Bu, J Cheng, K Hadri
Studies in Nonlinear Dynamics & Econometrics 21 (1), 65-80, 2017
Are financial returns really predictable out-of-sample?: Evidence from a new bootstrap test
L Liu, R Bu, Z Pan, Y Xu
Economic Modelling 81, 124-135, 2019
An empirical comparison of transformed diffusion models for VIX and VIX futures
R Bu, F Jawadi, Y Li
Journal of International Financial Markets, Institutions and Money 46, 116-127, 2017
Testing for stationarity in heterogeneous panel data in the case of model misspecification
Y Rao, K Hadri, R Bu
Bulletin of Economic Research 62 (3), 209-225, 2010
Reducible diffusions with time-varying transformations with application to short-term interest rates
R Bu, J Cheng, K Hadri
Economic Modelling 52, 266-277, 2016
A Bayesian approach to continuous type principal-agent problems
AG Assaf, R Bu, MG Tsionas
European Journal of Operational Research 280 (3), 1188-1192, 2020
Modeling extreme risk spillovers between crude oil and Chinese energy futures markets
X Ren, Y Li, X Sun, R Bu, F Jawadi
Energy Economics 126, 107007, 2023
The contribution of jump signs and activity to forecasting stock price volatility
R Bu, R Hizmeri, M Izzeldin, A Murphy, M Tsionas
Journal of Empirical Finance 70, 144-164, 2023
Essays in financial econometrics and time series analysis
R Bu
University of Liverpool, 2006
Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data
R Bu, D Li, O Linton, H Wang
Faculty of Economics, University of Cambridge, 2022
Diffusion copulas: identification and estimation
R Bu, K Hadri, D Kristensen
Journal of Econometrics 221 (2), 616-643, 2021
A latent‐factor‐driven endogenous regime‐switching non‐gaussian model: evidence from simulation and application
R Bu, J Cheng, F Jawadi
International Journal of Finance & Economics 27 (4), 3881-3896, 2022
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