Working Papers

From Singapore Management University, Sim Kee Boon Institute for Financial Economics
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10-2011: Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility

Andras Fulop Author Email:fulop@essec.fr, Junye Li Author Email:li@essec.fr and Jun Yu

09-2011: Speci cation Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior

Peter Phillips, Shu-Ping Shi Author Email:shuping.shi@anu.edu.au and Jun Yu

09-2009: Simulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models

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

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

Peter Phillips and Jun Yu

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

Peter Phillips and Jun Yu

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

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

06-2009: Econometric Inference in the Vicinity of Unity

Peter Phillips and Tassos Magdalinos Author Email:

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

Jun Yu

05-2011: ESTIMATION OF TIME VARYING ADJUSTED PROBABILITY OF INFORMED TRADING AND PROBABILITY OF SYMMETRIC ORDER-FLOW SHOCK

Daniel Preve and Yiu-Kuen Tse Author Email:yktse@smu.edu.sg

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

Peter Phillips and Jun Yu

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

Peter Phillips and Jun Yu

04-2013: Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors

Peter Phillips, Shu-Ping Shi Author Email: and Jun Yu

04-2012: Robust Deviance Information Criterion for Latent Variable Models

Yong Li, Zeng Tao Author Email:taozeng@smu.edu.sg and Jun Yu

04-2011: Simulated Maximum Likelihood Estimation for Latent Diffusion Models

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

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

Jun Yu

04-2008: A Semiparametric Stochastic Volatility Model

Jun Yu

03-2013: Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Levy Processes

Yong Bao, Aman Ullah Author Email:aman.ullah@ucr.edu, Yun Wang Author Email:wyuncolor@gmail.com and Jun Yu

03-2012: Detecting Bubbles in Hong Kong Residential Property Market

Matthew Yiu Author Email:matthew.yiu@amro-asia.org, Jun Yu and Lu Jin Author Email:ljin@hkma.gov.hk

03-2011: Testing for Multiple Bubbles

Peter Phillips, Shu-Ping Shi Author Email:shuping.shi@anu.edu.au and Jun Yu

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

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

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

Peter Phillips, Yangru Wu and Jun Yu

02-2013: MEASURE OF LOCATION-BASED ESTIMATORS IN SIMPLE LINEAR REGRESSION

Daniel Preve and Xijia LIU Author Email:xijia.liu@statistics.uu.se

02-2012: Estimation of High-Frequency Volatility: An Autoregressive Conditional Duration Approach

Yiu-Kuen Tse Author Email:yktse@smu.edu.sg and Thomas Yang Author Email:tao.yang@bc.edu

02-2011: Forecasting the Equity Risk Premium: The Role of Technical Indicators

Christopher Neely, David E. Rapach Author Email:rapachde@slu.edu, Jun Tu and Guofu Zhou

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

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

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

Daniel Preve, Anders Eriksson Author Email: and Jun Yu

01-2012: Estimation of Monthly Volatility: An Empirical Comparison of Realized Volatility, GARCH and ACD-ICV Methods

Shouwei Liu Author Email: and Yiu-Kuen Tse Author Email:yktse@smu.edu.sg

01-2011: SpeciÖcation Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles

Shu-Ping Shi Author Email:shuping.shi@anu.edu.au, Peter Phillips and Jun Yu

01-2009: Dynamic Misspecification in Nonparametric Cointegrating Regression

Peter Phillips and Ioannis Kasparis Author Email:

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

Peter Phillips and Jun Yu

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

Jun Yu

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

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