Details about Jun Yu

Access statistics for papers by Jun Yu.

Last updated 2009-10-01. Update your information in the RePEc Author Service.

Short-id: pyu5

Working Papers

2009

1. Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?
   Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
   Also in Working Papers, Hong Kong Institute for Monetary Research (2007)
2. Information Loss in Volatility Measurement with Flat Price Trading
   Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University
   Also in Cowles Foundation Discussion Papers, Cowles Foundation, Yale University (2007)
   Levine's Bibliography, UCLA Department of Economics (2007)

2007

3. Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance
   Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
4. Simulation-based Estimation of Contingent-claims Prices
   Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
   See also Journal Article in Review of Financial Studies (2009)

2006

5. Indirect Inference for Dynamic Panel Models
   Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
6. Temporal Aggregation and Risk-Return Relation
   Working Papers, Singapore Management University, School of Economics
   See also Journal Article in Finance Research Letters (2007)

2005

7. A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations
   Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
8. Comment on “Realized Variance and Market Microstructure Noise” by Peter R. Hansen and Asger Lunde
   Working Papers, Singapore Management University, School of Economics
9. Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan
   Working Papers, Singapore Management University, School of Economics

2004

10. Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility
    Working Papers, Singapore Management University, School of Economics
11. Jackknifing Bond Option Prices
    Econometric Society 2004 North American Winter Meetings, Econometric Society View citations
    Also in Cowles Foundation Discussion Papers, Cowles Foundation, Yale University (2003) View citations
    See also Journal Article in Review of Financial Studies (2005)
12. Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
    Working Papers, Singapore Management University, School of Economics
13. On Leverage in a Stochastic Volatility Model
    Working Papers, Singapore Management University, School of Economics
    Also in Econometric Society 2004 Far Eastern Meetings, Econometric Society (2004) View citations
    Econometric Society 2004 Far Eastern Meetings, Econometric Society (2004) View citations
    See also Journal Article in Journal of Econometrics (2005)

2002

14. A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations
    See also Journal Article in Computational Statistics & Data Analysis (2006)
15. Estimation of Hyperbolic Diffusion Using MCMC Method
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations

2001

16. Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations

Journal Articles

2009

1. A two-stage realized volatility approach to estimation of diffusion processes with discrete data
   Journal of Econometrics, 2009, 150, (2), 139-150
2. Simulation-Based Estimation of Contingent-Claims Prices
   Review of Financial Studies, 2009, 22, (9), 3669-3705
   See also Working Paper (2007)

2007

3. Temporal aggregation and risk-return relation
   Finance Research Letters, 2007, 4, (2), 104-115
   See also Working Paper (2006)

2006

4. A class of nonlinear stochastic volatility models and its implications for pricing currency options
   Computational Statistics & Data Analysis, 2006, 51, (4), 2218-2231
   See also Working Paper (2002)
5. Comment
   Journal of Business & Economic Statistics, 2006, 24, 202-208

2005

6. Jackknifing Bond Option Prices
   Review of Financial Studies, 2005, 18, (2), 707-742 View citations
   See also Working Paper (2004)
7. On leverage in a stochastic volatility model
   Journal of Econometrics, 2005, 127, (2), 165-178 View citations
   See also Working Paper (2004)

2004

8. Deviance Information Criterion for Comparing Stochastic Volatility Models
   Journal of Business & Economic Statistics, 2004, 22, (1), 107-20 View citations

2002

9. EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION
   Econometric Theory, 2002, 18, (03), 691-721 View citations
10. Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method
    Australian & New Zealand Journal of Statistics, 2002, 44, (3), 319-335 View citations
11. Forecasting Volatility in the New Zealand Stock Market
    Applied Financial Economics, 2002, 12, (3), 193-202 View citations

2001

12. A Gaussian approach for continuous time models of the short-term interest rate
    Econometrics Journal, 2001, 4, (2), 3 View citations

2000

13. BUGS for a Bayesian analysis of stochastic volatility models
    Econometrics Journal, 2000, 3, (2), 198-215