Articles with public access mandates - Ruijun BuLearn more
Available somewhere: 9
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
Mandates: National Natural Science Foundation of China
Macroeconomic fundamentals, jump dynamics and expected volatility
Z Pan, R Bu, L Liu, Y Wang
Quantitative Finance 20 (8), 1345-1371, 2020
Mandates: National Natural Science Foundation of China
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
Mandates: UK Economic and Social Research Council
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
Mandates: UK Economic and Social Research Council
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
Mandates: National Natural Science Foundation of China
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
Mandates: UK Economic and Social Research Council
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
Mandates: UK Economic and Social Research Council
A multifactor transformed diffusion model with applications to VIX and VIX futures
R Bu, F Jawadi, Y Li
Econometric Reviews 39 (1), 27-53, 2020
Mandates: UK Economic and Social Research Council
Uniform and Lp convergences for nonparametric continuous time regressions with semiparametric applications
R Bu, J Kim, B Wang
Journal of Econometrics 235 (2), 1934-1954, 2023
Mandates: UK Economic and Social Research Council, Agence Nationale de la Recherche
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