Working Papers

from Sim Kee Boon Institute for Financial Economics
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CoFie-09-2009: Simulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models

Tore Selland Kleppe, Skaug Author Email:, Hans J. and Jun Yu

CoFie-08-2009: Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance

Peter C. B. Phillips and Jun Yu

CoFie-07-2009: Dating the Timeline of Financial Bubbles During the Subprime Crisis

Peter C. B. Phillips and Jun Yu

CoFie-06-2009: Econometric Inference in the Vicinity of Unity

Peter C. B. Phillips and Magdalinos Author Email:, Tassos

CoFie-05-2009: Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods in Time Series Data

Peter C. B. Phillips and Jun Yu

CoFie-04-2009: Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results

Jun Yu

CoFie-03-2009: Infinite Density at the Median and the Typical Shape of Stock Return Distributions

Peter C. B. Phillips, Cho Author Email:, Jin Seo and Chirok Han

CoFie-02-2009: LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities

Peter C. B. Phillips, Cho Author Email:, Jin Seo and Chirok Han

CoFie-01-2009: Dynamic Misspecification in Nonparametric Cointegrating Regression

Peter C. B. Phillips and Kasparis Author Email:, Ioannis

CoFie-07-2008: Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises

Huang Author Email:shirleyhuang@smu.edu.sg, Shirley and Jun Yu

CoFie-06-2008: Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models

Jun Yu

CoFie-05-2008: Simulation-based Estimation of Contingent Claims Prices

Peter C. B. Phillips and Jun Yu

CoFie-04-2008: A Semiparametric Stochastic Volatility Model

Jun Yu

CoFie-03-2008: Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?

Peter C. B. Phillips, Wu Author Email:yangruwu@andromeda.rutgers.edu, Yangru and Jun Yu

CoFie-01-2008: Information Loss in Volatility Measurement with Flat Price Trading

Peter C. B. Phillips and Jun Yu

CoFie-02-2007: FORECASTING REALIZED VOLATILITY USING A NONNEGATIVE SEMIPARAMETRIC MODEL

Daniel Preve, Eriksson Author Email:, Anders and Jun Yu

CoFie-01-2007: Automated Likelihood Based Inference for Stochastic Volatility Models

Skaug Author Email:Hans.Skaug@math.uib.no, Hans J. and Jun Yu

01-2007: Automated Likelihood Based Inference for Stochastic Volatility Models

Jun Yu