Project Description
Yang ZU
Full-time Staff
| Title |
Associate Professor of Economics
Programme Coordinator of Master of Social Sciences in Economics
|
| Office | Room 3026, Humanities and Social Sciences Building, University of Macau, E21B |
| Telephone | +(853) 88224129 |
| Website | https://sites.google.com/site/zuyang |
| Fax | +(853) 88222339 |
|
yangzu@um.edu.mo
|
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
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.
