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Details about Jun Yu

E-mail:
Homepage:http://www.mysmu.edu/faculty/yujun/default.htm
Phone:65 6828 0858
Postal address:Singapore Management University 90 Stamford Rd Singapore
Workplace:School of Economics, Singapore Management University, (more information at EDIRC)
Lee Kong Chian School of Business, Singapore Management University, (more information at EDIRC)

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Last updated 2017-08-06. Update your information in the RePEc Author Service.

Short-id: pyu5


Jump to Journal Articles

Working Papers

2014

  1. A Bayesian Chi-Squared Test for Hypothesis Testing
    Working Papers, Singapore Management University, School of Economics Downloads
    See also Journal Article in Journal of Econometrics (2015)
  2. A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    Also in Working Papers, Singapore Management University, School of Economics (2014) Downloads
  3. Bayesian Analysis of Bubbles in Asset Prices
    Working Papers, Singapore Management University, School of Economics Downloads View citations (1)
  4. Deviance Information Criterion for Comparing VAR Models
    Working Papers, Singapore Management University, School of Economics Downloads View citations (1)
  5. On Bias in the Estimation of Structural Break Points
    Working Papers, Singapore Management University, School of Economics Downloads

2013

  1. Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Lévy Processes
    Working Papers, Singapore Management University, School of Economics Downloads View citations (2)
  2. Limit Theory for an Explosive Autoregressive Process
    Working Papers, Singapore Management University, School of Economics Downloads
    See also Journal Article in Economics Letters (2015)
  3. Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500
    Working Papers, Singapore Management University, School of Economics Downloads View citations (18)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2013) Downloads View citations (19)

    See also Journal Article in International Economic Review (2015)
  4. Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors
    Working Papers, Singapore Management University, School of Economics Downloads View citations (4)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2013) Downloads View citations (4)

    See also Journal Article in International Economic Review (2015)

2012

  1. A New Bayesian Unit Root Test in Stochastic Volatility Models
    Working Papers, Singapore Management University, School of Economics Downloads
    Also in Working Papers, Singapore Management University, School of Economics (2010) Downloads View citations (1)
  2. Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes
    Working Papers, Singapore Management University, School of Economics Downloads
    Also in Working Papers, Singapore Management University, School of Economics (2010) Downloads View citations (2)
  3. Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility
    Working Papers, Singapore Management University, School of Economics Downloads View citations (2)
  4. Detecting Bubbles in Hong Kong Residential Property Market
    Working Papers, Singapore Management University, School of Economics Downloads View citations (4)
    See also Journal Article in Journal of Asian Economics (2013)
  5. Double Asymptotics for Explosive Continuous Time Models
    Working Papers, Singapore Management University, School of Economics Downloads
    See also Journal Article in Journal of Econometrics (2016)
  6. Investigating Impacts of Self-Exciting Jumps in Returns and Volatility: A Bayesian Learning Approach
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University Downloads
  7. Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models
    Working Papers, Singapore Management University, School of Economics Downloads
    Also in Working Papers, Singapore Management University, School of Economics (2011) Downloads View citations (1)
  8. Robust Deviance Information Criterion for Latent Variable Models
    Working Papers, Singapore Management University, School of Economics Downloads View citations (11)
  9. Simulated Maximum Likelihood Estimation for Latent Diffusion Models
    Working Papers, Singapore Management University, School of Economics Downloads
    Also in Working Papers, Singapore Management University, School of Economics (2011) Downloads
  10. Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior
    Working Papers, Singapore Management University, School of Economics Downloads View citations (2)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2012) Downloads View citations (1)
    Working Papers, Singapore Management University, School of Economics (2011) Downloads View citations (2)

    See also Journal Article in Oxford Bulletin of Economics and Statistics (2014)
  11. Testing for Multiple Bubbles
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (12)
    Also in Working Papers, Singapore Management University, School of Economics (2012) Downloads View citations (16)
    Working Papers, Singapore Management University, School of Economics (2011) Downloads View citations (17)

2011

  1. Bayesian Hypothesis Testing in Latent Variable Models
    Working Papers, Singapore Management University, School of Economics Downloads
    See also Journal Article in Journal of Econometrics (2012)
  2. Bias in Estimating Multivariate and Univariate Diffusions
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (6)
    See also Journal Article in Journal of Econometrics (2011)
  3. Double Asymptotics for an Explosive Continuous Time Model
    Working Papers, Singapore Management University, School of Economics Downloads View citations (1)
  4. Speci fication Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles
    Working Papers, Singapore Management University, School of Economics Downloads View citations (1)
    Also in Working Papers, Hong Kong Institute for Monetary Research (2011) Downloads View citations (2)

2010

  1. A Conversation with Eric Ghysels Co-President of the Society for Financial Econometrics
    Working Papers, Singapore Management University, School of Economics Downloads
  2. Corrigendum to “A Gaussian Approach for Continuous Time Models of the Short Term Interest Rate"
    Working Papers, Singapore Management University, School of Economics Downloads
  3. Dating the Timeline of Financial Bubbles during the Subprime Crisis
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (8)
    Also in Finance Working Papers, East Asian Bureau of Economic Research (2009) Downloads View citations (5)
    Working Papers, Singapore Management University, School of Economics (2009) Downloads View citations (3)

    See also Journal Article in Quantitative Economics (2011)
  4. Estimating the GARCH Diffusion: Simulated Maximum Likelihood in Continuous Time
    Working Papers, Singapore Management University, School of Economics Downloads View citations (1)
  5. Measurement and High Finance
    Working Papers, Singapore Management University, School of Economics Downloads
  6. Simulation-based Estimation Methods for Financial Time Series Models
    Working Papers, Singapore Management University, School of Economics Downloads

2009

  1. Automated Likelihood Based Inference for Stochastic Volatility Models
    Working Papers, Singapore Management University, School of Economics Downloads View citations (1)
  2. Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises
    Finance Working Papers, East Asian Bureau of Economic Research Downloads
    See also Journal Article in Journal of Economic Dynamics and Control (2010)
  3. Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models
    Working Papers, Singapore Management University, School of Economics Downloads View citations (1)
    Also in Microeconomics Working Papers, East Asian Bureau of Economic Research (2009) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2012)
  4. Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results
    Working Papers, Singapore Management University, School of Economics Downloads
    See also Journal Article in Econometric Theory (2014)
  5. Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips’ Work and Some New Results
    Microeconomics Working Papers, East Asian Bureau of Economic Research Downloads
  6. Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (5)
    Also in Working Papers, Hong Kong Institute for Monetary Research (2007) Downloads View citations (2)
    Working Papers, Singapore Management University, School of Economics (2009) Downloads View citations (9)
    Finance Working Papers, East Asian Bureau of Economic Research (2009) Downloads View citations (5)

    See also Journal Article in International Economic Review (2011)
  7. Forecasting Realized Volatility Using A Nonnegative Semiparametric Model
    Working Papers, Singapore Management University, School of Economics Downloads
    Also in Finance Working Papers, East Asian Bureau of Economic Research (2009) Downloads
  8. Information Loss in Volatility Measurement with Flat Price Trading
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University Downloads View citations (1)
    Also in Levine's Bibliography, UCLA Department of Economics (2007) Downloads View citations (2)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2007) Downloads View citations (2)
  9. Stimulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models
    Working Papers, Singapore Management University, School of Economics Downloads

2008

  1. Simulation-based Estimation of Contingent-claims Prices
    Finance Working Papers, East Asian Bureau of Economic Research Downloads
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2007) Downloads

    See also Journal Article in Review of Financial Studies (2009)

2007

  1. Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    Also in Development Economics Working Papers, East Asian Bureau of Economic Research (2006) Downloads View citations (2)

2006

  1. A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete
    Macroeconomics Working Papers, East Asian Bureau of Economic Research Downloads
  2. Indirect Inference for Dynamic Panel Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    Also in Development Economics Working Papers, East Asian Bureau of Economic Research (2006) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2010)
  3. Multivariate Stochastic Volatility
    Microeconomics Working Papers, East Asian Bureau of Economic Research Downloads View citations (57)
  4. Temporal Aggregation and Risk-Return Relation
    Working Papers, Warwick Business School, Finance Group Downloads
    Also in Working Papers, Singapore Management University, School of Economics (2006) Downloads

    See also Journal Article in Finance Research Letters (2007)

2005

  1. A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (5)
  2. Comment on “Realized Variance and Market Microstructure Noise†by Peter R. Hansen and Asger Lunde
    Finance Working Papers, East Asian Bureau of Economic Research Downloads
  3. Comment on “Realized Variance and Market Microstructure Noise” by Peter R. Hansen and Asger Lunde
    Working Papers, Singapore Management University, School of Economics Downloads
  4. Comments on “A selective overview of nonparametric methods in financial econometricsâ€Â
    Finance Working Papers, East Asian Bureau of Economic Research Downloads View citations (2)
  5. Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan
    Working Papers, Singapore Management University, School of Economics Downloads View citations (5)

2004

  1. Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility
    Working Papers, Singapore Management University, School of Economics Downloads View citations (3)
  2. Jackknifing Bond Option Prices
    Econometric Society 2004 North American Winter Meetings, Econometric Society Downloads View citations (2)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) Downloads View citations (2)
    Working Papers, Department of Economics, The University of Auckland (2002) Downloads

    See also Journal Article in Review of Financial Studies (2005)
  3. Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
    Working Papers, Singapore Management University, School of Economics Downloads
    See also Journal Article in Econometric Reviews (2006)
  4. On Leverage in a Stochastic Volatility Model
    Econometric Society 2004 Far Eastern Meetings, Econometric Society View citations (7)
    Also in Working Papers, Singapore Management University, School of Economics (2004) Downloads View citations (2)
    Econometric Society 2004 Far Eastern Meetings, Econometric Society (2004) View citations (7)

    See also Journal Article in Journal of Econometrics (2005)

2002

  1. A Class of Nonlinear Stochastic Volatility Models
    Working Papers, Department of Economics, The University of Auckland Downloads
  2. 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 Downloads View citations (7)
    See also Journal Article in Computational Statistics & Data Analysis (2006)
  3. Deviance Information Criterion as a Model Comparison Criterion for Stochastic Volatility Models
    Working Papers, Department of Economics, The University of Auckland Downloads
  4. Estimation of Hyperbolic Diffusion Using MCMC Method
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (12)
    Also in Working Papers, Department of Economics, The University of Auckland (2002) Downloads
  5. MCMC Methods for Estimating Stochastic Volatility Models with Liverage Effects: Comments on Jacquier, Polson and Rossi (2002)
    Working Papers, Department of Economics, The University of Auckland Downloads View citations (1)

2001

  1. Forecasting Volatility:Evidence from the German Stock Market
    Working Papers, Department of Economics, The University of Auckland Downloads
  2. Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)

2000

  1. BUGS for a Bayesian Analysis of Stochastic Volatility Models
    Working Papers, Department of Economics, The University of Auckland Downloads View citations (11)
    See also Journal Article in Econometrics Journal (2000)
  2. Exact Gaussian Estimation of Continuous Time Models of The Term Structure of Interest Rates Rankings of Economics Departments in New Zealand
    Working Papers, Department of Economics, The University of Auckland Downloads

1999

  1. A Test Statistic and Its Application in Modelling Daily Stock Returns
    Working Papers, Department of Economics, The University of Auckland Downloads
  2. Do Topics Diffuse from Core to Periphery Journals?
    Working Papers, Department of Economics, The University of Auckland Downloads
  3. Efficient Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method
    Working Papers, Department of Economics, The University of Auckland Downloads
  4. Empirical Characteristic Function in Time Series Estimation
    Working Papers, Department of Economics, The University of Auckland Downloads
    See also Journal Article in Econometric Theory (2002)
  5. Estimation of a Self-Exciting Poisson Jump Diffusion Model by the Empirical Characteristic Function Method
    Working Papers, Department of Economics, The University of Auckland Downloads
  6. Forecasting Volatility in the New Zealand Stock Market
    Working Papers, Department of Economics, The University of Auckland Downloads
    See also Journal Article in Applied Financial Economics (2002)

Journal Articles

2016

  1. Double asymptotics for explosive continuous time models
    Journal of Econometrics, 2016, 193, (1), 35-53 Downloads
    See also Working Paper (2012)

2015

  1. A Bayesian chi-squared test for hypothesis testing
    Journal of Econometrics, 2015, 189, (1), 54-69 Downloads View citations (2)
    See also Working Paper (2014)
  2. Asymptotic theory for linear diffusions under alternative sampling schemes
    Economics Letters, 2015, 128, (C), 1-5 Downloads View citations (2)
  3. Bias in the estimation of mean reversion in continuous-time Lévy processes
    Economics Letters, 2015, 134, (C), 16-19 Downloads
  4. Editorial
    Spatial Economic Analysis, 2015, 10, (1), 1-10 Downloads
  5. Limit theory for an explosive autoregressive process
    Economics Letters, 2015, 126, (C), 176-180 Downloads View citations (3)
    See also Working Paper (2013)
  6. New methodology for constructing real estate price indices applied to the Singapore residential market
    Journal of Banking & Finance, 2015, 61, (S2), S121-S131 Downloads View citations (2)
  7. Optimal jackknife for unit root models
    Statistics & Probability Letters, 2015, 99, (C), 135-142 Downloads
  8. Self-Exciting Jumps, Learning, and Asset Pricing Implications
    Review of Financial Studies, 2015, 28, (3), 876-912 Downloads View citations (2)
  9. TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500
    International Economic Review, 2015, 56, 1043-1078 Downloads View citations (27)
    See also Working Paper (2013)
  10. TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL‐TIME DETECTORS
    International Economic Review, 2015, 56, 1079-1134 Downloads View citations (18)
    See also Working Paper (2013)

2014

  1. A flexible and automated likelihood based framework for inference in stochastic volatility models
    Computational Statistics & Data Analysis, 2014, 76, (C), 642-654 Downloads
  2. A new approach to Bayesian hypothesis testing
    Journal of Econometrics, 2014, 178, (P3), 602-612 Downloads View citations (5)
  3. ECONOMETRIC ANALYSIS OF CONTINUOUS TIME MODELS: A SURVEY OF PETER PHILLIPS’S WORK AND SOME NEW RESULTS
    Econometric Theory, 2014, 30, (04), 737-774 Downloads View citations (2)
    See also Working Paper (2009)
  4. Maximum likelihood estimation of partially observed diffusion models
    Journal of Econometrics, 2014, 180, (1), 73-80 Downloads
  5. SPECIAL ISSUE OF ECONOMETRIC THEORY ON SETA 2010: EDITORS’ INTRODUCTION
    Econometric Theory, 2014, 30, (01), 1-2 Downloads
  6. Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour
    Oxford Bulletin of Economics and Statistics, 2014, 76, (3), 315-333 Downloads View citations (23)
    See also Working Paper (2012)

2013

  1. Detecting bubbles in Hong Kong residential property market
    Journal of Asian Economics, 2013, 28, (C), 115-124 Downloads View citations (25)
    See also Working Paper (2012)

2012

  1. A semiparametric stochastic volatility model
    Journal of Econometrics, 2012, 167, (2), 473-482 Downloads View citations (13)
  2. Bayesian hypothesis testing in latent variable models
    Journal of Econometrics, 2012, 166, (2), 237-246 Downloads View citations (13)
    See also Working Paper (2011)
  3. Bias in the estimation of the mean reversion parameter in continuous time models
    Journal of Econometrics, 2012, 169, (1), 114-122 Downloads View citations (13)
    See also Working Paper (2009)
  4. THE ET INTERVIEW: A CONVERSATION WITH ERIC GHYSELS
    Econometric Theory, 2012, 28, (01), 207-217 Downloads

2011

  1. Bias in estimating multivariate and univariate diffusions
    Journal of Econometrics, 2011, 161, (2), 228-245 Downloads View citations (3)
    See also Working Paper (2011)
  2. Corrigendum to ‘A Gaussian approach for continuous time models of short‐term interest rates’ (Yu, J. and P. C. B. Phillips, Econometrics Journal, 4, 210–24)
    Econometrics Journal, 2011, 14, 126-129 Downloads
  3. Dating the timeline of financial bubbles during the subprime crisis
    Quantitative Economics, 2011, 2, (3), 455-491 Downloads View citations (118)
    See also Working Paper (2010)
  4. EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?
    International Economic Review, 2011, 52, (1), 201-226 View citations (156)
    See also Working Paper (2009)

2010

  1. Bayesian analysis of structural credit risk models with microstructure noises
    Journal of Economic Dynamics and Control, 2010, 34, (11), 2259-2272 Downloads View citations (12)
    See also Working Paper (2009)
  2. Indirect inference for dynamic panel models
    Journal of Econometrics, 2010, 157, (1), 68-77 Downloads View citations (32)
    See also Working Paper (2006)

2009

  1. A two-stage realized volatility approach to estimation of diffusion processes with discrete data
    Journal of Econometrics, 2009, 150, (2), 139-150 Downloads View citations (6)
  2. Simulation-Based Estimation of Contingent-Claims Prices
    Review of Financial Studies, 2009, 22, (9), 3669-3705 Downloads View citations (13)
    See also Working Paper (2008)

2007

  1. Realized Daily Variance of S&P 500 Cash Index: A Revaluation of Stylized Facts
    Annals of Economics and Finance, 2007, 8, (1), 33-56 Downloads View citations (1)
  2. Temporal aggregation and risk-return relation
    Finance Research Letters, 2007, 4, (2), 104-115 Downloads
    See also Working Paper (2006)

2006

  1. A class of nonlinear stochastic volatility models and its implications for pricing currency options
    Computational Statistics & Data Analysis, 2006, 51, (4), 2218-2231 Downloads View citations (14)
    See also Working Paper (2002)
  2. Comment
    Journal of Business & Economic Statistics, 2006, 24, 202-208 Downloads
  3. Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
    Econometric Reviews, 2006, 25, (2-3), 361-384 Downloads View citations (42)
    See also Working Paper (2004)
  4. Multivariate Stochastic Volatility: A Review
    Econometric Reviews, 2006, 25, (2-3), 145-175 Downloads View citations (156)

2005

  1. Jackknifing Bond Option Prices
    Review of Financial Studies, 2005, 18, (2), 707-742 Downloads View citations (49)
    See also Working Paper (2004)
  2. On leverage in a stochastic volatility model
    Journal of Econometrics, 2005, 127, (2), 165-178 Downloads View citations (124)
    See also Working Paper (2004)

2004

  1. Deviance Information Criterion for Comparing Stochastic Volatility Models
    Journal of Business & Economic Statistics, 2004, 22, (1), 107-20 View citations (56)
  2. Empirical Characteristic Function Estimation and Its Applications
    Econometric Reviews, 2004, 23, (2), 93-123 Downloads View citations (28)
  3. Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method
    Quantitative Finance, 2004, 4, (2), 158-169 Downloads View citations (14)

2002

  1. EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION
    Econometric Theory, 2002, 18, (03), 691-721 Downloads View citations (24)
    See also Working Paper (1999)
  2. Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method
    Australian & New Zealand Journal of Statistics, 2002, 44, (3), 319-335 Downloads View citations (13)
  3. Forecasting volatility in the New Zealand stock market
    Applied Financial Economics, 2002, 12, (3), 193-202 Downloads View citations (33)
    See also Working Paper (1999)

2001

  1. A Gaussian approach for continuous time models of the short-term interest rate
    Econometrics Journal, 2001, 4, (2), 3 View citations (11)
  2. Do Stock Returns Follow a Finite Variance Distribution?
    Annals of Economics and Finance, 2001, 2, (2), 467-486 Downloads View citations (2)

2000

  1. BUGS for a Bayesian analysis of stochastic volatility models
    Econometrics Journal, 2000, 3, (2), 198-215 View citations (48)
    See also Working Paper (2000)

1999

  1. Testing the expectations theory of the term structure for New Zealand
    New Zealand Economic Papers, 1999, 33, (1), 93-114 Downloads View citations (5)
 
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