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Publications

by members of

Lee Kong Chian School of Business
Singapore Management University
Singapore, Singapore

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institutions, not those affilated at the time of publication. List of registered members. Register yourself. This page is updated in the first days of each month.
| Working papers | Journal articles |

Working papers

Undated material is listed at the end

2013

  1. Yong Bao & Aman Ullah & Yun Wang & Jun Yu, 2013. "Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Lévy Processes," Working Papers 02-2013, Singapore Management University, School of Economics.
  2. Peter C.B. Phillips & Shu-Ping Shi & Jun Yu, 2013. "Testing for Multiple Bubbles: Limit Theory of Real Time Detectors," Cowles Foundation Discussion Papers 1915, Cowles Foundation for Research in Economics, Yale University.
  3. Peter C.B. Phillips & Shu-Ping Shi & Jun Yu, 2013. "Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500," Cowles Foundation Discussion Papers 1914, Cowles Foundation for Research in Economics, Yale University.
  4. Xiaohu Wang & Jun Yu, 2013. "Limit Theory for an Explosive Autoregressive Process," Working Papers 08-2013, Singapore Management University, School of Economics.

2012

  1. Andras Fulop & Junye Li & Jun Yu, 2012. "Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility," Working Papers 03-2012, Singapore Management University, School of Economics.
  2. Xiaohu Wang & Jun Yu, 2012. "Double Asymptotics for Explosive Continuous Time Models," Working Papers 16-2012, Singapore Management University, School of Economics.
  3. Matthew S. Yiu & Jun Yu & Lu Jin, 2012. "Detecting Bubbles in Hong Kong Residential Property Market," Working Papers 31-2012, Singapore Management University, School of Economics.
  4. Yong Li & Tao Zeng & Jun Yu, 2012. "Robust Deviance Information Criterion for Latent Variable Models," Working Papers 30-2012, Singapore Management University, School of Economics.
  5. Andras Fulop & Junye Li & Jun Yu, 2012. "Investigating Impacts of Self-Exciting Jumps in Returns and Volatility: A Bayesian Learning Approach," Global COE Hi-Stat Discussion Paper Series gd12-264, Institute of Economic Research, Hitotsubashi University.
  6. Hennart, J.M.A., 2012. "Emerging market multinationals and the theory of the multinational enterprise," Open Access publications from Tilburg University urn:nbn:nl:ui:12-5608228, Tilburg University.

2011

  1. Xiaohu Wang & Peter C.B. Phillips & Jun Yu, 2011. "Bias in Estimating Multivariate and Univariate Diffusions," Cowles Foundation Discussion Papers 1778, Cowles Foundation for Research in Economics, Yale University.
  2. Shu-Ping Shi & Peter C. B. Phillips & Jun Yu, 2011. "Specification Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles," Working Papers 172011, Hong Kong Institute for Monetary Research.
  3. Yong Li & Jun Yu, 2011. "Bayesian Hypothesis Testing in Latent Variable Models," Working Papers 11-2011, Singapore Management University, School of Economics.
  4. Tore Selland Kleppe & Jun Yu & Hans J. skaug, 2011. "Simulated Maximum Likelihood Estimation for Latent Diffusion Models," Working Papers 10-2011, Singapore Management University, School of Economics.
  5. Peter C.B. Phillips & Shu-Ping Shi & Jun Yu, 2011. "Testing for Multiple Bubbles," Working Papers 09-2011, Singapore Management University, School of Economics.
  6. Ye Chen & Jun Yu, 2011. "Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models," Working Papers 12-2011, Singapore Management University, School of Economics.
  7. Peter C. B. Phillips & Shu-Ping Shi & Jun Yu, 2011. "Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior," Working Papers 15-2011, Singapore Management University, School of Economics.
  8. Xiaohu Wang & Jun Yu, 2011. "Double Asymptotics for an Explosive Continuous Time Model," Working Papers 16-2011, Singapore Management University, School of Economics.

2010

  1. Yong Li & Jun Yu, 2010. "A New Bayesian Unit Root Test in Stochastic Volatility Models," Working Papers 21-2010, Singapore Management University, School of Economics, revised Oct 2010.
  2. Qiankun Zhou & Jun Yu, 2010. "Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes," Working Papers 20-2010, Singapore Management University, School of Economics.
  3. Peter C.B. Phillips & Jun Yu, 2010. "Corrigendum to “A Gaussian Approach for Continuous Time Models of the Short Term Interest Rate"," Working Papers 18-2010, Singapore Management University, School of Economics.
  4. Peter C.B. Phillips & Jun Yu, 2010. "A Conversation with Eric Ghysels Co-President of the Society for Financial Econometrics," Working Papers 15-2010, Singapore Management University, School of Economics.
  5. Jun Yu, 2010. "Simulation-based Estimation Methods for Financial Time Series Models," Working Papers 19-2010, Singapore Management University, School of Economics.
  6. Peter C.B. Phillips & Jun Yu & Eric Ghysels, 2010. "Measurement and High Finance," Working Papers 17-2010, Singapore Management University, School of Economics.
  7. Tore Selland Kleppe & Jun Yu & Hans J. Skaug, 2010. "Estimating the GARCH Diffusion: Simulated Maximum Likelihood in Continuous Time," Working Papers 13-2010, Singapore Management University, School of Economics.
  8. Beugelsdijk, S. & Hennart, J.M.A. & Slangen, A.H.L. & Smeets, R., 2010. "Why and how FDI stocks are a biased measure of MNE affiliate activity," Open Access publications from Tilburg University urn:nbn:nl:ui:12-3982853, Tilburg University.
  9. Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2010. "Out-of-sample equity premium prediction: economic fundamentals vs. moving-average rules," Working Papers 2010-008, Federal Reserve Bank of St. Louis.

2009

  1. Daniel PREVE & Anders ERIKSSON & Jun YU, 2009. "Forecasting Realized Volatility Using A Nonnegative Semiparametric Model," Working Papers 22-2009, Singapore Management University, School of Economics.
  2. Tore Selland KLEPPE & Jun YU & Hans J. SKAUG, 2009. "Stimulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models," Working Papers 20-2009, Singapore Management University, School of Economics.
  3. Hans J. Skaug & Jun Yu, 2009. "Automated Likelihood Based Inference for Stochastic Volatility Models," Working Papers 15-2009, Singapore Management University, School of Economics.
  4. Peter C. B. Phillips & Jun Yu, 2009. "Dating the Timeline of Financial Bubbles During the Subprime Crisis," Working Papers 18-2009, Singapore Management University, School of Economics.
  5. Jun YU, 2009. "Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results," Working Papers 21-2009, Singapore Management University, School of Economics.
  6. Jun Yu, 2009. "Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models," Working Papers 16-2009, Singapore Management University, School of Economics.
  7. Shirley J. Huang & Jun Yu, 2009. "Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises," Finance Working Papers 23054, East Asian Bureau of Economic Research.
  8. Jun Yu, 2009. "Econometric Analysis of Continuous Time Models : A Survey of Peter Phillips’ Work and Some New Results," Microeconomics Working Papers 23046, East Asian Bureau of Economic Research.

2008

  1. Jun Yu, 2008. "A Semiparametric Stochastic Volatility Model," Working Papers CoFie-04-2008, Sim Kee Boon Institute for Financial Economics.
  2. Slangen, A.H.L. & Hennart, J-F., 2008. "Do Foreign Greenfields Outperform Foreign Acquisitions or Vice Versa? An Institutional Perspective," ERIM Report Series Research in Management ERS-2008-009-ORG, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni.

2007

  1. Peter C.B. Phillips & Jun Yu, 2007. "Information Loss in Volatility Measurement with Flat Price Trading," Cowles Foundation Discussion Papers 1598, Cowles Foundation for Research in Economics, Yale University.
  2. Peter C.B. Phillips & Jun Yu, 2007. "Simulation-based Estimation of Contingent-claims Prices," Cowles Foundation Discussion Papers 1596, Cowles Foundation for Research in Economics, Yale University.
  3. Peter C.B. Phillips & Jun Yu, 2007. "Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance," Cowles Foundation Discussion Papers 1597, Cowles Foundation for Research in Economics, Yale University.
  4. Peter C. B. Phillips & Yangru Wu & Jun Yu, 2007. "Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?," Working Papers 222007, Hong Kong Institute for Monetary Research.
  5. Hennart, J.M.A., 2007. "The theoretical rationale for a multinationality - performance relationship," Open Access publications from Tilburg University urn:nbn:nl:ui:12-284201, Tilburg University.
  6. Slangen, A.H.L. & Hennart, J-F., 2007. "Greenfield or Acquisition Entry: A Review of the Empirical Foreign Establishment Mode Literature," ERIM Report Series Research in Management ERS-2007-059-ORG, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni.

2006

  1. Christian Gourieroux & Peter C. B. Phillips & Jun Yu, 2006. "Indirect Inference for Dynamic Panel Models," Cowles Foundation Discussion Papers 1550, Cowles Foundation for Research in Economics, Yale University.
  2. Jun Yu, 2006. "Temporal Aggregation and Risk-Return Relation," Working Papers 01-2007, Singapore Management University, School of Economics.
  3. Manabu Asai & Michael McAleer & Jun Yu, 2006. "Multivariate Stochastic Volatility," Microeconomics Working Papers 22058, East Asian Bureau of Economic Research.
  4. Peter C. B. Phillips & Jun Yu, 2006. "A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete," Macroeconomics Working Papers 22472, East Asian Bureau of Economic Research.

2005

  1. Peter C.B. Phillips & Jun Yu, 2005. "A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations," Cowles Foundation Discussion Papers 1523, Cowles Foundation for Research in Economics, Yale University.
  2. Peter C. B. Phillips & Jun Yu, 2005. "Comment on “Realized Variance and Market Microstructure Noise” by Peter R. Hansen and Asger Lunde," Working Papers 13-2005, Singapore Management University, School of Economics.
  3. Peter C. B. Phillips & Jun Yu, 2005. "Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan," Working Papers 08-2005, Singapore Management University, School of Economics.
  4. Peter C. B. Phillips & Jun Yu, 2005. "Comments on “A selective overview of nonparametric methods in financial econometricsâ€Â," Finance Working Papers 22469, East Asian Bureau of Economic Research.
  5. Peter C. B. Phillips & Jun Yu, 2005. "Comment on “Realized Variance and Market Microstructure Noise†by Peter R. Hansen and Asger Lunde," Finance Working Papers 22470, East Asian Bureau of Economic Research.

2004

  1. Jun Yu, 2004. "On Leverage in a Stochastic Volatility Model," Econometric Society 2004 Far Eastern Meetings 506, Econometric Society.
  2. Jun Yu, 2004. "Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility," Working Papers 24-2004, Singapore Management University, School of Economics.
  3. Jun Yu & Renate Meyer, 2004. "Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison," Working Papers 23-2004, Singapore Management University, School of Economics.
  4. Hagen, James M. & Hennart, Jean-Francois, 2004. "Foreign Production: The Weak Link in Tests of the Internationalization Process Model," Working Papers 127789, Cornell University, Department of Applied Economics and Management.

2003

  1. Peter C.B. Phillips & Jun Yu, 2003. "Jackknifing Bond Option Prices," Cowles Foundation Discussion Papers 1392, Cowles Foundation for Research in Economics, Yale University.

2002

  1. Y.K. Tse & Xibin Zhang & Jun Yu, 2002. "Estimation of Hyperbolic Diffusion Using MCMC Method," Monash Econometrics and Business Statistics Working Papers 18/02, Monash University, Department of Econometrics and Business Statistics.
  2. Jun Yu & Zhenlin Yang & Xibin Zhang, 2002. "A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options," Monash Econometrics and Business Statistics Working Papers 17/02, Monash University, Department of Econometrics and Business Statistics.
  3. Hennart, J.M.A. & Roehl, T. & Zeng, M., 2002. "Do exits proxy for a liability of foreigners? The case of Japanese exits from the United States," Open Access publications from Tilburg University urn:nbn:nl:ui:12-91319, Tilburg University.
  4. Hennart, Jean-Francois & Roehl, Thomas & Hagen, James M., 2002. "Are Joint Ventures with Local Firms an Efficient Way to Enter a Culturally Distant Market? The Case of Japanese Entry into the United States," Working Papers 127311, Cornell University, Department of Applied Economics and Management.

2001

  1. Jun Yu & Peter C.B. Phillips, 2001. "Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate," Cowles Foundation Discussion Papers 1309, Cowles Foundation for Research in Economics, Yale University.
  2. Hennart, J.M.A., 2001. "Explaining the swollen middle: Why most transactions are a mix of market and hierarchy," Open Access publications from Tilburg University urn:nbn:nl:ui:12-87538, Tilburg University.
  3. Hennart, J.M.A. & Roehl, T. & Zeng, M., 2001. "What do affiliate exits tell us about the challenges of managing in the United States?," Open Access publications from Tilburg University urn:nbn:nl:ui:12-87415, Tilburg University.

1998

  1. Hennart, J.M.A., 1998. "Transaction cost theory and the free standing firm," Open Access publications from Tilburg University urn:nbn:nl:ui:12-78989, Tilburg University.
  2. Hennart, J.M.A. & Kryda, G.M., 1998. "Why do traders invest in manufacturing?," Open Access publications from Tilburg University urn:nbn:nl:ui:12-79477, Tilburg University.

1997

  1. Hennart, J.-F.M.A. & Reddy, S., 1997. "The choice between mergers/acquisitions and joint ventures: the case of Japanese investors in the United States," Open Access publications from Tilburg University urn:nbn:nl:ui:12-175778, Tilburg University.

1996

  1. Hennart, J.-F.M.A. & Kay, N. & Ramsay, H, 1996. "Collaboration and the European Internal Market," Open Access publications from Tilburg University urn:nbn:nl:ui:12-175798, Tilburg University.

1995

  1. Dess, G. & Gupta, A. & Hennart, J.-F. & Hill, C., 1995. "Conducting and integrating strategy research at the international, corporate, and business levels : issues and directions," Open Access publications from Tilburg University urn:nbn:nl:ui:12-174007, Tilburg University.
  2. Hennart, J.F.M.A., 1995. "Is international business a distinct field of inquiry?," Open Access publications from Tilburg University urn:nbn:nl:ui:12-186394, Tilburg University.

1994

  1. Hennart, J.-F., 1994. "International capital tranfers : a transaction cost framework," Open Access publications from Tilburg University urn:nbn:nl:ui:12-174428, Tilburg University.
  2. Hennart, J.-F., 1994. "The 'comparative institutional' theory of the firm : some implications for corporate strategy," Open Access publications from Tilburg University urn:nbn:nl:ui:12-174427, Tilburg University.
  3. Hennart, J.-F. & Park, Y.R., 1994. "Location, governance and strategic determinants of Japanese manufacturing investment in the United States," Open Access publications from Tilburg University urn:nbn:nl:ui:12-174010, Tilburg University.
  4. Hennart, J.-F.M.A., 1994. "Free-standing firms and the iternalization of markets for financial capital : a response to casson," Open Access publications from Tilburg University urn:nbn:nl:ui:12-175802, Tilburg University.

1993

  1. Hennart, J.-F. & Park, Y.R., 1993. "Greenfield vs. Acquisition : the strategy of Japanes investors in the United states," Open Access publications from Tilburg University urn:nbn:nl:ui:12-174430, Tilburg University.
  2. Hennart, J.-F. & Anderson, E., 1993. "Countertrade and the minimization of transaction costs : an empirical examination," Open Access publications from Tilburg University urn:nbn:nl:ui:12-174429, Tilburg University.
  3. Hennart, J.-F.M.A., 1993. ""Transaction costs and the multinational enterprise : the case of tin"," Open Access publications from Tilburg University urn:nbn:nl:ui:12-176219, Tilburg University.

1992

  1. Hennart, J.F.M.A., 1992. "The informal sector in Chad," Open Access publications from Tilburg University urn:nbn:nl:ui:12-189963, Tilburg University.

1991

  1. Hennart, J.-F., 1991. "Control in multinational firms : the role of price and hierarchy," Open Access publications from Tilburg University urn:nbn:nl:ui:12-174431, Tilburg University.
  2. Hennart, J.-F.M.A., 1991. "The transaction costs theory of joint ventures : an empirical study of Japanese subsidiaries in the United States," Open Access publications from Tilburg University urn:nbn:nl:ui:12-175820, Tilburg University.
  3. Hennart, J.-F.M.A., 1991. "Es la teoria de la internalizacion una teoria general de la empresa multinacional? El caso de la 'empresa de exportacion de capital," Open Access publications from Tilburg University urn:nbn:nl:ui:12-175899, Tilburg University.

1990

  1. Hennart, J.-F., 1990. "Some empirical dimensions of countertrade," Open Access publications from Tilburg University urn:nbn:nl:ui:12-174432, Tilburg University.

1989

  1. Hennart, J.-F., 1989. "Can the the new forms of investment substitute for the old forms? : a transaction costs perspective," Open Access publications from Tilburg University urn:nbn:nl:ui:12-174433, Tilburg University.
  2. Hennart, J.-F.M.A., 1989. "Transaction costs theory of equity joint ventures," Open Access publications from Tilburg University urn:nbn:nl:ui:12-175839, Tilburg University.
  3. Hennart, J.F.M.A., 1989. "Review of the book The world mining industry, R.F. Mikesell and J.W. Whitney, 1987, 0043381200," Open Access publications from Tilburg University urn:nbn:nl:ui:12-175963, Tilburg University.
  4. Hennart, J.-F.M.A., 1989. "The transaction cost rationale for countertrade," Open Access publications from Tilburg University urn:nbn:nl:ui:12-175838, Tilburg University.

1988

  1. Hennart, J.F.M.A., 1988. "Review of the book The firm and the market: Studies on multinational enterprise and the scope of the firm, M. Casson, 1987, 0631152482," Open Access publications from Tilburg University urn:nbn:nl:ui:12-175964, Tilburg University.
  2. Hennart, J.-F.M.A., 1988. "Upstream vertical integration in the world aluminum and tin industries : a comparative study of the choice between market and intrafirm coordination," Open Access publications from Tilburg University urn:nbn:nl:ui:12-175858, Tilburg University.

1986

  1. Hennart, J.-F.M.A., 1986. ""Internalization in practice : foreign direct investment in Malaysian tin mining"," Open Access publications from Tilburg University urn:nbn:nl:ui:12-175878, Tilburg University.
  2. Hennart, J.F.M.A., 1986. "Review of the book French multinationals, J. Savary, 1984, 0861873637," Open Access publications from Tilburg University urn:nbn:nl:ui:12-175965, Tilburg University.
  3. Hennart, J.-F.M.A., 1986. "What is internalization?," Open Access publications from Tilburg University urn:nbn:nl:ui:12-175859, Tilburg University.

1980

  1. Hennart, J.-F.M.A., 1980. "L'effet des syndicats Francais sur les Salaires = The differential wage impact of French labor unions," Open Access publications from Tilburg University urn:nbn:nl:ui:12-175898, Tilburg University.

1977

  1. Hennart, J.F.M.A., 1977. "A theory of foreign direct investment," Open Access publications from Tilburg University urn:nbn:nl:ui:12-186411, Tilburg University.

1969

  1. D. McRae, 1969. "Linear Decision and Control," Working papers 40, Massachusetts Institute of Technology (MIT), Department of Economics.

1968

  1. D. MacRae, 1968. "Production and Investment in an Equilibrium Economy," Working papers 18, Massachusetts Institute of Technology (MIT), Department of Economics.
  2. D. McRae, 1968. "A Dual Maximum Principle for Discrete-Time Linear Systems with Economic Application," Working papers 20, Massachusetts Institute of Technology (MIT), Department of Economics.
  3. D. McRae, 1968. "On the Duality Between Allocation and Valuation," Working papers 27, Massachusetts Institute of Technology (MIT), Department of Economics.

Undated

  1. Peter C.B.Phillips & Jun Yu, . "Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods in Time Series Data," Working Papers CoFie-05-2009, Sim Kee Boon Institute for Financial Economics.

Journal articles

2014

  1. Li, Yong & Zeng, Tao & Yu, Jun, 2014. "A new approach to Bayesian hypothesis testing," Journal of Econometrics, Elsevier, vol. 178(P3), pages 602-612.
  2. Phillips, Peter C.B. & Yu, Jun, 2014. "Special Issue Of Econometric Theory On Seta 2010: Editors’ Introduction," Econometric Theory, Cambridge University Press, vol. 30(01), pages 1-2, February.

2013

  1. Yiu, Matthew S. & Yu, Jun & Jin, Lu, 2013. "Detecting bubbles in Hong Kong residential property market," Journal of Asian Economics, Elsevier, vol. 28(C), pages 115-124.

2012

  1. Phillips, Peter C.B. & Yu, Jun, 2012. "The Et Interview: A Conversation With Eric Ghysels," Econometric Theory, Cambridge University Press, vol. 28(01), pages 207-217, February.
  2. Yu, Jun, 2012. "A semiparametric stochastic volatility model," Journal of Econometrics, Elsevier, vol. 167(2), pages 473-482.
  3. Yu, Jun, 2012. "Bias in the estimation of the mean reversion parameter in continuous time models," Journal of Econometrics, Elsevier, vol. 169(1), pages 114-122.
  4. Li, Yong & Yu, Jun, 2012. "Bayesian hypothesis testing in latent variable models," Journal of Econometrics, Elsevier, vol. 166(2), pages 237-246.

2011

  1. Wang, Xiaohu & Phillips, Peter C.B. & Yu, Jun, 2011. "Bias in estimating multivariate and univariate diffusions," Journal of Econometrics, Elsevier, vol. 161(2), pages 228-245, April.
  2. Peter C. B. Phillips & Yangru Wu & Jun Yu, 2011. "EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 52(1), pages 201-226, 02.
  3. Peter C. B. Phillips & Jun Yu, 2011. "Dating the timeline of financial bubbles during the subprime crisis," Quantitative Economics, Econometric Society, vol. 2(3), pages 455-491, November.
  4. Tu, Jun & Zhou, Guofu, 2011. "Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies," Journal of Financial Economics, Elsevier, vol. 99(1), pages 204-215, January.

2010

  1. Gouriéroux, Christian & Phillips, Peter C.B. & Yu, Jun, 2010. "Indirect inference for dynamic panel models," Journal of Econometrics, Elsevier, vol. 157(1), pages 68-77, July.
  2. Huang, Shirley J. & Yu, Jun, 2010. "Bayesian analysis of structural credit risk models with microstructure noises," Journal of Economic Dynamics and Control, Elsevier, vol. 34(11), pages 2259-2272, November.
  3. Sjoerd Beugelsdijk & Jean-Fran�ois Hennart & Arjen Slangen & Roger Smeets, 2010. "Why and how FDI stocks are a biased measure of MNE affiliate activity," Journal of International Business Studies, Palgrave Macmillan, vol. 41(9), pages 1444-1459, December.
  4. Jun Tu, 2010. "Is Regime Switching in Stock Returns Important in Portfolio Decisions?," Management Science, INFORMS, vol. 56(7), pages 1198-1215, July.
  5. Tu, Jun & Zhou, Guofu, 2010. "Incorporating Economic Objectives into Bayesian Priors: Portfolio Choice under Parameter Uncertainty," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(04), pages 959-986, August.

2009

  1. Phillips, Peter C.B. & Yu, Jun, 2009. "A two-stage realized volatility approach to estimation of diffusion processes with discrete data," Journal of Econometrics, Elsevier, vol. 150(2), pages 139-150, June.
  2. Peter C. B. Phillips & Jun Yu, 2009. "Simulation-Based Estimation of Contingent-Claims Prices," Review of Financial Studies, Society for Financial Studies, vol. 22(9), pages 3669-3705, September.
  3. Jean-Fran�ois Hennart, 2009. "Down with MNE-centric theories! Market entry and expansion as the bundling of MNE and local assets," Journal of International Business Studies, Palgrave Macmillan, vol. 40(9), pages 1432-1454, December.

2008

  1. Arjen H. L. Slangen & Jean-François Hennart, 2008. "Do Foreign Greenfields Outperform Foreign Acquisitions or Vice Versa? An Institutional Perspective," Journal of Management Studies, Wiley Blackwell, vol. 45(7), pages 1301-1328, November.
  2. Arjen H L Slangen & Jean-Fran�ois Hennart, 2008. "Do multinationals really prefer to enter culturally distant countries through greenfields rather than through acquisitions? The role of parent experience and subsidiary autonomy," Journal of International Business Studies, Palgrave Macmillan, vol. 39(3), pages 472-490, April.

2007

  1. Jin, Xing & Wang, Leping & Yu, Jun, 2007. "Temporal aggregation and risk-return relation," Finance Research Letters, Elsevier, vol. 4(2), pages 104-115, June.
  2. Shirley J. Huang & Qianqiu Liu & Jun Yu, 2007. "Realized Daily Variance of S&P 500 Cash Index: A Revaluation of Stylized Facts," Annals of Economics and Finance, Society for AEF, vol. 8(1), pages 33-56, May.
  3. Bas Daamen & Jean-Francois Hennart & Dong-Jae Kim & Young-Ryeol Park, 2007. "Sources of and Responses to the Liability of Foreignness: The Case of Korean Companies in the Netherlands," Global Economic Review, Taylor & Francis Journals, vol. 36(1), pages 17-35.
  4. Slangen, Arjen & Hennart, Jean-François, 2007. "Greenfield or acquisition entry: A review of the empirical foreign establishment mode literature," Journal of International Management, Elsevier, vol. 13(4), pages 403-429, December.

2006

  1. Yu, Jun & Yang, Zhenlin & Zhang, Xibin, 2006. "A class of nonlinear stochastic volatility models and its implications for pricing currency options," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2218-2231, December.
  2. Phillips, Peter C.B. & Yu, Jun, 2006. "Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 202-208, April.
  3. Jun Yu & Renate Meyer, 2006. "Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 361-384.
  4. Manabu Asai & Michael McAleer & Jun Yu, 2006. "Multivariate Stochastic Volatility: A Review," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 145-175.
  5. Jean-François Hennart, 2006. "Alliance Research: Less is More," Journal of Management Studies, Wiley Blackwell, vol. 43(7), pages 1621-1628, November.
  6. Yongmiao Hong & Jun Tu & Guofu Zhou, 2006. "Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation," Review of Financial Studies, Society for Financial Studies, vol. 20(5), pages 1547-1581, 2007 23.

2005

  1. Yu, Jun, 2005. "On leverage in a stochastic volatility model," Journal of Econometrics, Elsevier, vol. 127(2), pages 165-178, August.
  2. Peter C. B. Phillips, 2005. "Jackknifing Bond Option Prices," Review of Financial Studies, Society for Financial Studies, vol. 18(2), pages 707-742.

2004

  1. Berg, Andreas & Meyer, Renate & Yu, Jun, 2004. "Deviance Information Criterion for Comparing Stochastic Volatility Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 22(1), pages 107-20, January.
  2. Y. K. Tse & Xibin Zhang & Jun Yu, 2004. "Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method," Quantitative Finance, Taylor & Francis Journals, vol. 4(2), pages 158-169.
  3. Jun Yu, 2004. "Empirical Characteristic Function Estimation and Its Applications," Econometric Reviews, Taylor & Francis Journals, vol. 23(2), pages 93-123.
  4. Chen, Shih-Fen S. & Hennart, Jean-Francois, 2004. "A hostage theory of joint ventures: why do Japanese investors choose partial over full acquisitions to enter the United States?," Journal of Business Research, Elsevier, vol. 57(10), pages 1126-1134, October.
  5. Tu, Jun & Zhou, Guofu, 2004. "Data-generating process uncertainty: What difference does it make in portfolio decisions?," Journal of Financial Economics, Elsevier, vol. 72(2), pages 385-421, May.

2002

  1. Jun Yu, 2002. "Forecasting volatility in the New Zealand stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 12(3), pages 193-202.
  2. John L. Knight & Stephen E. Satchell & Jun Yu, 2002. "Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method," Australian & New Zealand Journal of Statistics, Australian Statistical Publishing Association Inc., vol. 44(3), pages 319-335, 09.
  3. Knight, John L. & Yu, Jun, 2002. "Empirical Characteristic Function In Time Series Estimation," Econometric Theory, Cambridge University Press, vol. 18(03), pages 691-721, June.
  4. Shih-Fen S Chen & Jean-Francois Hennart, 2002. "Japanese Investors' Choice of Joint Ventures Versus Wholly-owned Subsidiaries in the US: The Role of Market Barriers and Firm Capabilities," Journal of International Business Studies, Palgrave Macmillan, vol. 33(1), pages 1-18, March.
  5. Jean-Fran�ois Hennart & Ming Zeng, 2002. "Cross-Cultural Differences and Joint Venture Longevity," Journal of International Business Studies, Palgrave Macmillan, vol. 33(4), pages 699-716, December.
  6. Hennart, Jean-François & Roehl, Thomas & Zeng, Ming, 2002. "Do exits proxy a liability of foreignness?: The case of Japanese exits from the US," Journal of International Management, Elsevier, vol. 8(3), pages 241-264.

2001

  1. Jun Yu & Peter C. B. Phillips, 2001. "A Gaussian approach for continuous time models of the short-term interest rate," Econometrics Journal, Royal Economic Society, vol. 4(2), pages 3.
  2. Qi-Man Shao & Hao Yu & Jun Yu, 2001. "Do Stock Returns Follow a Finite Variance Distribution?," Annals of Economics and Finance, Society for AEF, vol. 2(2), pages 467-486, November.

2000

  1. Renate Meyer & Jun Yu, 2000. "BUGS for a Bayesian analysis of stochastic volatility models," Econometrics Journal, Royal Economic Society, vol. 3(2), pages 198-215.

1999

  1. Graeme Guthrie & Julian Wright & Jun Yu, 1999. "Testing the expectations theory of the term structure for New Zealand," New Zealand Economic Papers, Taylor & Francis Journals, vol. 33(1), pages 93-114.

1998

  1. Edward Ng, 1998. "Asymmetric Price Response to Supply: Evidence from Singapore," International Real Estate Review, Asian Real Estate Society, vol. 1(1), pages 45-63.
  2. Jean-Fran�ois Hennart & Jorma Larimo, 1998. "The Impact of Culture on the Strategy of Multinational Enterprises: Does National Origin Affect Ownership Decisions?," Journal of International Business Studies, Palgrave Macmillan, vol. 29(3), pages 515-538, September.

1996

  1. Neil M. Kay & Harvie Ramsay & Jean-Francois Hennart, 1996. "Industrial Collaboration and the European Internal Market," Journal of Common Market Studies, Wiley Blackwell, vol. 34(3), pages 465-475, 09.

1993

  1. Hennart, Jean-Francois & Anderson, Erin, 1993. "Countertrade and the Minimization of Transaction Costs: An Empirical Examination," Journal of Law, Economics and Organization, Oxford University Press, vol. 9(2), pages 290-313, October.
  2. Jean-François Hennart & Young-Ryeol Park, 1993. "Greenfield vs. Acquisition: The Strategy of Japanese Investors in the United States," Management Science, INFORMS, vol. 39(9), pages 1054-1070, September.

1991

  1. Jean-François Hennart, 1991. "The Transaction Costs Theory of Joint Ventures: An Empirical Study of Japanese Subsidiaries in the United States," Management Science, INFORMS, vol. 37(4), pages 483-497, April.

1990

  1. Jean-Francois Hennart, 1990. "Some Empirical Dimensions of Countertrade," Journal of International Business Studies, Palgrave Macmillan, vol. 21(2), pages 243-270, June.

1989

  1. Hennart, Jean-Francois, 1989. "The Transaction-Cost Rationale for Countertrade," Journal of Law, Economics and Organization, Oxford University Press, vol. 5(1), pages 127-53, Spring.
  2. Jean-Fran�ois Hennart, 1989. "Can the “New Forms of Investment” Substitute for the “Old Forms”? A Transaction Costs Perspective," Journal of International Business Studies, Palgrave Macmillan, vol. 20(2), pages 211-234, June.

1988

  1. Francois Hennart, Jean, 1988. "Upstream vertical integration in the aluminum and tin industries : A comparative study of the choice between market and intrafirm coordination," Journal of Economic Behavior & Organization, Elsevier, vol. 9(3), pages 281-299, April.

1986

  1. Jean-Francois Hennart, 1986. "Internalization in Practice: Early Foreign Direct Investments in Malaysian Tin Mining," Journal of International Business Studies, Palgrave Macmillan, vol. 17(2), pages 131-143, June.

1982

  1. MacRae, C. Duncan, 1982. "Urban housing with discrete structures," Journal of Urban Economics, Elsevier, vol. 11(2), pages 131-147, March.

1981

  1. MacRae, C. Duncan & Turner, Margery Austin, 1981. "Estimating demand for owner-occupied housing subject to the income tax," Journal of Urban Economics, Elsevier, vol. 10(3), pages 338-356, November.

1979

  1. J. Eric Fredland & C. Duncan MacRae, 1979. "FHA Multifamily Financial Failure: A Review of Empirical Studies," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 7(1), pages 95-122.

1978

  1. David J. Fullerton & C. Duncan MacRae, 1978. "FHA, Racial Discrimination and Urban Mortgages," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 6(4), pages 451-470.

1977

  1. MacRae, C Duncan, 1977. "A Political Model of the Business Cycle," Journal of Political Economy, University of Chicago Press, vol. 85(2), pages 239-63, April.
  2. MacRae, C. Duncan & Struyk, Raymond J., 1977. "The Federal Housing Administration (FHA), tenure choice, and residential land use," Journal of Urban Economics, Elsevier, vol. 4(3), pages 360-378, July.

1976

  1. MacRae, C Duncan & MacRae, Elizabeth Chase, 1976. "Labor Supply and the Payroll Tax," American Economic Review, American Economic Association, vol. 66(3), pages 408-09, June.

1974

  1. MacRae, C Duncan, 1974. "Equilibrium, Efficiency, and the Golden Rule," The Quarterly Journal of Economics, MIT Press, vol. 88(1), pages 143-48, February.

1972

  1. MacRae, C Duncan, 1972. "The Relation between Unemployment and Inflation in the Laffer-Ranson Model," The Journal of Business, University of Chicago Press, vol. 45(4), pages 513-18, October.

1971

  1. Charles C. Holt & C. Duncan MacRae & Stuart O. Schweitzer & Ralph E. Smith, 1971. "Manpower Proposals for Phase III," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 2(3), pages 703-734.