Publications
Selected publications
- Uniform and Lp Convergences for Nonparametric Continuous Time Regressions with Semiparametric Applications (Journal article - 2023)
- What Affects the Relationship Between Oil Prices and the US Stock Market? A Mixed-Data Sampling Copula Approach* (Journal article - 2022)
- Diffusion Copulas: Identification and Estimation (Journal article - 2021)
- A Bayesian approach to continuous type principal-agent problems (Journal article - 2020)
- Modeling Multivariate Interest Rates Using Time-Varying Copulas and Reducible Nonlinear Stochastic Differential Equations (Journal article - 2011)
- Maximum likelihood estimation of higher‐order integer‐valued autoregressive processes (Journal article - 2008)
- Model selection, estimation and forecasting in INAR(p) models: A likelihood-based Markov Chain approach (Journal article - 2008)
- Estimating option implied risk‐neutral densities using spline and hypergeometric functions (Journal article - 2007)
- Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data (Journal article - 2024)
2024
Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data
Bu, R., Li, D., Linton, O., & Wang, H. (n.d.). Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data. Econometric Theory.
2023
Modeling extreme risk spillovers between crude oil and Chinese energy futures markets
Ren, X., Li, Y., Sun, X., Bu, R., & Jawadi, F. (2023). Modeling extreme risk spillovers between crude oil and Chinese energy futures markets. Energy Economics, 126, 107007. doi:10.1016/j.eneco.2023.107007
Revisiting the linkages between oil prices and macroeconomy for the euro area: Does energy inflation still matter?
Jawadi, F., Cheffou, A. I., & Bu, R. (2023). Revisiting the linkages between oil prices and macroeconomy for the euro area: Does energy inflation still matter?. Energy Economics, 107058. doi:10.1016/j.eneco.2023.107058
Uniform and Lp Convergences for Nonparametric Continuous Time Regressions with Semiparametric Applications
Bu, R., Kim, J., & Wang, B. (2023). Uniform and Lp Convergences for Nonparametric Continuous Time Regressions with Semiparametric Applications. Journal of Econometrics. doi:10.1016/j.jeconom.2023.02.006
Economic Policy Uncertainty and Dynamic Correlations in Energy Markets: Assessment and Solutions (accepted)
Bu, R., Jawadi, F., Li, J., Ren, X., & Wang, X. (2023). Economic Policy Uncertainty and Dynamic Correlations in Energy Markets: Assessment and Solutions (accepted). Energy Economics. doi:10.1016/j.eneco.2022.106475
2022
The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility
Bu, R., Hizmeri, R., Izzeldin, M., Murphy, A., & Tsionas, M. (2023). The contribution of jump signs and activity to forecasting stock price volatility. Journal of Empirical Finance, 70, 144-164. doi:10.1016/j.jempfin.2022.12.001
A latent-factor-driven endogenousregime-switching non-Gaussianmodel: Evidence from simulation and application
Bu, R., Cheng, J., & Jawadi, F. (2022). A latent-factor-driven endogenousregime-switching non-Gaussianmodel: Evidence from simulation and application. INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 27(4), 3881-3896. doi:10.1002/ijfe.2192
What Affects the Relationship Between Oil Prices and the US Stock Market? A Mixed-Data Sampling Copula Approach*
Gong, Y., Bu, R., & Chen, Q. (2022). What Affects the Relationship Between Oil Prices and the US Stock Market? A Mixed-Data Sampling Copula Approach*. JOURNAL OF FINANCIAL ECONOMETRICS, 20(2), 253-277. doi:10.1093/jjfinec/nbz043
2021
Diffusion Copulas: Identification and Estimation
Bu, R., Hadri, K., & Kristensen, D. (2021). Diffusion Copulas: Identification and Estimation. Journal of Econometrics, 221(2), 616-643. doi:10.1016/j.jeconom.2020.06.004
2020
Macroeconomic fundamentals, jump dynamics and expected volatility
Pan, Z., Bu, R., Liu, L., & Wang, Y. (2020). Macroeconomic fundamentals, jump dynamics and expected volatility. QUANTITATIVE FINANCE, 20(8), 1345-1371. doi:10.1080/14697688.2020.1736317
A Bayesian approach to continuous type principal-agent problems
Assaf, A. G., Bu, R., & Tsionas, M. G. (2020). A Bayesian approach to continuous type principal-agent problems. European Journal of Operational Research, 280(3), 1188-1192. doi:10.1016/j.ejor.2019.07.058
A multifactor transformed diffusion model with applications to VIX and VIX futures
Bu, R., Jawadi, F., & Li, Y. (2020). A Multi-Factor Transformed Diffusion Model with Applications to VIX and VIX Futures. Econometric Reviews, 39(1), 27-53. doi:10.1080/07474938.2019.1690195
2019
Are financial returns really predictable out-of-sample?: Evidence from a new bootstrap test
Liu, L., Bu, R., Pan, Z., & Xu, Y. (2019). Are financial returns really predictable out-of-sample?: Evidence from a new bootstrap test. ECONOMIC MODELLING, 81, 124-135. doi:10.1016/j.econmod.2018.12.014
Does the Volatility of Volatility Risk Forecast Future Stock Returns?
Bu, R., Fu, X., & Jawadi, F. (2019). Does the Volatility of Volatility Risk Forecast Future Stock Returns?. Journal of International Financial Markets, Institutions and Money, 61, 16-36. doi:10.1016/j.intfin.2019.02.001
2017
Specification analysis in regime-switching continuous-time diffusion models for market volatility
Bu, R., Cheng, J., & Hadri, K. (2017). Specification analysis in regime-switching continuous-time diffusion models for market volatility. Studies in Nonlinear Dynamics and Econometrics, 21(1), 65-80. doi:10.1515/snde-2016-0047
An empirical comparison of transformed diffusion models for VIX and VIX futures
Bu, R., Jawadi, F., & Li, Y. (2017). An empirical comparison of transformed diffusion models for VIX and VIX futures. Journal of International Financial Markets, Institutions and Money, 46, 116-127. doi:10.1016/j.intfin.2016.08.003
2016
Reducible diffusions with time-varying transformations with application to short-term interest rates
Bu, R., Cheng, J., & Hadri, K. (2016). Reducible diffusions with time-varying transformations with application to short-term interest rates. ECONOMIC MODELLING, 52, 266-277. doi:10.1016/j.econmod.2014.10.039
2014
Modeling Interest Rates Using Reducible Stochastic Differential Equations: A Copula-based Multivariate Approach
Bu, R., Giet, L., Hadri, K., & Lubrano, M. (2014). Modeling Interest Rates Using Reducible Stochastic Differential Equations: A Copula-based Multivariate Approach. In Econometric Methods and Their Applications in Finance, Macro and Related Fields (pp. 5-29). WORLD SCIENTIFIC. doi:10.1142/9789814513470_0001
2011
Modeling Multivariate Interest Rates Using Time-Varying Copulas and Reducible Nonlinear Stochastic Differential Equations
Bu, R., Giet, L., Hadri, K., & Lubrano, M. (2011). Modeling Multivariate Interest Rates Using Time-Varying Copulas and Reducible Nonlinear Stochastic Differential Equations. Journal of Financial Econometrics, 9(1), 198-236. doi:10.1093/jjfinec/nbq022
2010
Testing for Stationarity in Heterogeneous Panel Data in the Case of Model Misspecification
Rao, Y., Hadri, K., & Bu, R. (2010). TESTING FOR STATIONARITY IN HETEROGENEOUS PANEL DATA IN THE CASE OF MODEL MISSPECIFICATION. Bulletin of Economic Research, 62(3), 209-225. doi:10.1111/j.1467-8586.2009.00327.x
2008
Maximum likelihood estimation of higher‐order integer‐valued autoregressive processes
Bu, R., McCabe, B., & Hadri, K. (2008). Maximum likelihood estimation of higher‐order integer‐valued autoregressive processes. Journal of Time Series Analysis, 29(6), 973-994. doi:10.1111/j.1467-9892.2008.00590.x
Model selection, estimation and forecasting in INAR(p) models: A likelihood-based Markov Chain approach
Bu, R., & McCabe, B. (2008). Model selection, estimation and forecasting in INAR(p) models: A likelihood-based Markov Chain approach. International Journal of Forecasting, 24(1), 151-162. doi:10.1016/j.ijforecast.2007.11.002
2007
Estimating option implied risk‐neutral densities using spline and hypergeometric functions
Bu, R., & Hadri, K. (2007). Estimating option implied risk‐neutral densities using spline and hypergeometric functions. The Econometrics Journal, 10(2), 216-244. doi:10.1111/j.1368-423x.2007.00206.x