Personal Details
First Name: Yangru
Middle Name:
Last Name: Wu
Suffix:
RePEc Short-ID: pwu24
Email: [This author has chosen not to make the email address public]
Homepage:
http://andromeda.rutgers.edu/~yangruwu
Postal Address:
Phone:
Affiliation
(in no particular order)
Works
| Working papers | Articles | Access
and download statistics | Citations (if
any)| NEP Fields |
Download all references for this author: available formats: HTML
(with abstracts),
plain text
(with abstracts),
BibTeX,
RIS (EndNote),
ReDIF
Working papers
- 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.
[Downloadable!]
Other versions: - Ronald J. Balvers & Yangru Wu, 2005.
"Optimal Transaction Filters Under Transitory Trading Opportunities: Theory and Empirical Illustration,"
Working Papers
022005, Hong Kong Institute for Monetary Research.
[Downloadable!]
Other versions: - Yangru Wu, 2004.
"Momentum Trading, Mean Reveral and Overration in Chinese Stock Market,"
Working Papers
232004, Hong Kong Institute for Monetary Research.
[Downloadable!]
- Andy C.C. Kwan & Yangru Wu, 2003.
"A Re-examination of the Finite-Sample Properties of Pena and Rodriguez's Portmanteau Test of Lack of Fit for Time Series,"
Departmental Working Papers
_157, Chinese University of Hong Kong, Department of Economics.
- Andy C.C. Kwan & Ah-Boon Sim & Yangru Wu, 2002.
"On the empirical size and power of normalized autocorrelation coefficients: A Monte Carlo investigation,"
Departmental Working Papers
_142, Chinese University of Hong Kong, Department of Economics.
- Ronald J. Balvers & Yangru Wu, 2002.
"Stock Market Integration, Return Forecastability and Implications for Market Efficiency: A Panel Study,"
Working Papers
112002, Hong Kong Institute for Monetary Research.
[Downloadable!]
- Andy C.C. Kwan & Yangru Wu, 2002.
"On the use of the sample partial autocorrelation for order determination in a pure autoregressive process: A Monte Carlo study and empirical example,"
Departmental Working Papers
_144, Chinese University of Hong Kong, Department of Economics.
Published as: - Andy C.C. Kwan & Ah-Boon Sim & Yangru Wu, 2002.
"On the size and power of portmanteau tests for randomness of a time series,"
Departmental Working Papers
_143, Chinese University of Hong Kong, Department of Economics.
- Andy C.C. Kwan & Ah-Boon Sim & Yangru Wu, 2000.
"Further Results on the Finite-Sample Distribution of Modified Portmanteau Tests for Randomness,"
Departmental Working Papers
_123, Chinese University of Hong Kong, Department of Economics.
- Andy C.C. Kwan & Ah-Boon Sim & Yangru Wu, 2000.
"On the Empirical Size of Normalized Autocorrelation Coefficients,"
Departmental Working Papers
_125, Chinese University of Hong Kong, Department of Economics.
- Kausik Chaudhuri & Yangru Wu, 2000.
"Random Walk versus Breaking Trend in Stock Prices: Evidence from Emerging Markets,"
Working Papers
2000-3, University of Sydney, Department of Economics.
[Downloadable!]
Other versions:
Published as: - Nelson Mark & Yangru Wu, 1998.
"Rethinking Deviations from Uncovered Interest Parity: The Role of Covariance Risk and Noise,"
Working Papers
98-05, Ohio State University, Department of Economics.
[Downloadable!]
Published as: - Nelson C. Mark & Yangru Wu, 1997.
"Risk, Policy Rules, and Noise: Rethinking Deviations from Uncovered Interest Parity,"
Tinbergen Institute Discussion Papers
97-041/2, Tinbergen Institute.
[Downloadable!]
Other versions: - Andy C.C., Kwan & Yangru, Wu, 1996.
"Further results on the finite-sample distribution of Monti's portmanteau test for the adequacy of an ARMA (p,q) model,"
Departmental Working Papers
_075, Chinese University of Hong Kong, Department of Economics.
- Andy C.C., Kwan & Yangru, Wu & Fassil, Nebebe, 1996.
"On the Finite-Sample Distribution of Separate Tests for Univarite Time Series Models,"
Departmental Working Papers
_069, Chinese University of Hong Kong, Department of Economics.
- Andy C.C., Kwan & Yangru, Wu, 1995.
"On the Finite-Sample Distribution of Monti's Portmanteau Test for the Adequacy of an ARMA (p,q) Model,"
Departmental Working Papers
_062, Chinese University of Hong Kong, Department of Economics.
- Yangru, Wu, 1993.
"Are There Rational Bubbles in Foreign Exchange Markets? -- Some Direct Tests,"
Departmental Working Papers
_027, Chinese University of Hong Kong, Department of Economics.
Articles
- Chua, Choong Tze & Lai, Sandy & Wu, Yangru, 2008.
"Effective fair pricing of international mutual funds,"
Journal of Banking & Finance,
Elsevier, vol. 32(11), pages 2307-2324, November.
[Downloadable!] (restricted)
- Balvers, Ronald J. & Wu, Yangru, 2006.
"Momentum and mean reversion across national equity markets,"
Journal of Empirical Finance,
Elsevier, vol. 13(1), pages 24-48, January.
[Downloadable!] (restricted)
Other versions: - Kwan, Andy C.C. & Sim, Ah-Boon & Wu, Yangru, 2005.
"A comparative study of the finite-sample performance of some portmanteau tests for randomness of a time series,"
Computational Statistics & Data Analysis,
Elsevier, vol. 48(2), pages 391-413, February.
[Downloadable!] (restricted)
- Andy C. C. Kwan & Ah-Boon Sim & Yangru Wu, 2005.
"On the size and power of normalized autocorrelation coefficients,"
Applied Financial Economics,
Taylor and Francis Journals, vol. 15(1), pages 1-11, January.
[Downloadable!] (restricted)
- Andy C. C. Kwan & Yangru Wu, 2005.
"On the use of the sample partial autocorrelation for order determination in a pure autoregressive process: a Monte Carlo study and empirical example,"
Applied Economics Letters,
Taylor and Francis Journals, vol. 12(3), pages 133-139, February.
[Downloadable!] (restricted)
Other versions: - Patro, Dilip K. & Wu, Yangru, 2004.
"Predictability of short-horizon returns in international equity markets,"
Journal of Empirical Finance,
Elsevier, vol. 11(4), pages 553-584, September.
[Downloadable!] (restricted)
- Qi, Min & Wu, Yangru, 2003.
"Nonlinear prediction of exchange rates with monetary fundamentals,"
Journal of Empirical Finance,
Elsevier, vol. 10(5), pages 623-640, December.
[Downloadable!] (restricted)
- Chaudhuri, Kausik & Wu, Yangru, 2003.
"Random walk versus breaking trend in stock prices: Evidence from emerging markets,"
Journal of Banking & Finance,
Elsevier, vol. 27(4), pages 575-592, April.
[Downloadable!] (restricted)
Other versions: - Dilip K. Patro & John K. Wald & Yangru Wu, 2002.
"The Impact of Macroeconomic and Financial Variables on Market Risk: Evidence from International Equity Returns,"
European Financial Management,
Blackwell Publishing Ltd, vol. 8(4), pages 421-447.
[Downloadable!] (restricted)
- Patro, Dilip K. & Wald, John K. & Wu, Yangru, 2002.
"Explaining exchange rate risk in world stock markets: A panel approach,"
Journal of Banking & Finance,
Elsevier, vol. 26(10), pages 1951-1972, October.
[Downloadable!] (restricted)
- Wu, Yangru & Zhang, Junxi, 2001.
"The Effects of Inflation on the Number of Firms and Firm Size,"
Journal of Money, Credit and Banking,
Blackwell Publishing, vol. 33(2), pages 251-71, May.
- Wu, Yangru & Zhang, Junxi, 2000.
"Endogenous markups and the effects of income taxation:: Theory and evidence from OECD countries,"
Journal of Public Economics,
Elsevier, vol. 77(3), pages 383-406, September.
[Downloadable!] (restricted)
- Ronald Balvers & Yangru Wu & Erik Gilliland, 2000.
"Mean Reversion across National Stock Markets and Parametric Contrarian Investment Strategies,"
Journal of Finance,
American Finance Association, vol. 55(2), pages 745-772, 04.
[Downloadable!] (restricted)
- Wu, Yangru & Zhang, Junxi, 2000.
"Monopolistic competition, increasing returns to scale, and the welfare costs of inflation,"
Journal of Monetary Economics,
Elsevier, vol. 46(2), pages 417-440, October.
[Downloadable!] (restricted)
- Kwan, Andy C C & Wu, Yangru & Zhang, Junxi, 1999.
" Fixed Investment and Economic Growth in China,"
Economic Change and Restructuring,
Springer, vol. 32(1), pages 67-79.
[Downloadable!] (restricted)
- Song, Frank M. & Wu, Yangru, 1998.
"Hysteresis in unemployment: Evidence from OECD countries,"
The Quarterly Review of Economics and Finance,
Elsevier, vol. 38(2), pages 181-192.
[Downloadable!] (restricted)
- Wu, Yangru & Zhang, Junxi, 1998.
"Endogenous growth and the welfare costs of inflation: a reconsideration,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 22(3), pages 465-482, March.
[Downloadable!] (restricted)
- Wu, Yangru & Zhang, Junxi, 1998.
"An empirical investigation on the time-series behavior of the U.S.-China trade deficit,"
Journal of Asian Economics,
Elsevier, vol. 9(3), pages 467-485.
[Downloadable!] (restricted)
- Mark, Nelson C & Wu, Yangru, 1998.
"Rethinking Deviations from Uncovered Interest Parity: The Role of Covariance Risk and Noise,"
Economic Journal,
Royal Economic Society, vol. 108(451), pages 1686-1706, November.
[Downloadable!] (restricted)
Other versions: - Song, Frank M & Wu, Yangru, 1997.
"Hysteresis in Unemployment: Evidence from 48 U.S. States,"
Economic Inquiry,
Oxford University Press, vol. 35(2), pages 235-43, April.
- Yangru Wu & Hua Zhang, 1997.
"Forward premiums as unbiased predictors of future currency depreciation: a non-parametric analysis,"
Journal of International Money and Finance,
Elsevier, vol. 16(4), pages 609-623, August.
[Downloadable!] (restricted)
- Yangru Wu, 1997.
"The trend behavior of real exchange rates: Evidence from OECD countries,"
Review of World Economics (Weltwirtschaftliches Archiv),
Springer, vol. 133(2), pages 282-296, 06.
[Downloadable!] (restricted)
- Wu, Yangru & Zhang, Hua, 1997.
" Do Interest Rates Follow Unit-Root Processes? Evidence from Cross-Maturity Treasury Bill Yields,"
Review of Quantitative Finance and Accounting,
Springer, vol. 8(1), pages 69-81, January.
[Downloadable!] (restricted)
- Wu, Yangru, 1997.
"Rational Bubbles in the Stock Market: Accounting for the U.S. Stock-Price Volatility,"
Economic Inquiry,
Oxford University Press, vol. 35(2), pages 309-19, April.
- Mark Holmes & Yangru Wu, 1997.
"Capital controls and covered interest parity in the EU: Evidence from a panel-data unit root test,"
Review of World Economics (Weltwirtschaftliches Archiv),
Springer, vol. 133(1), pages 76-89, March.
[Downloadable!] (restricted)
- Hai, Weike & Mark, Nelson C & Wu, Yangru, 1997.
"Understanding Spot and Forward Exchange Rate Regressions,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 12(6), pages 715-34, Nov.-Dec..
[Downloadable!]
- Yangru Wu & Hua Zhang, 1996.
"Asymmetry in forward exchange rate bias: A puzzling result,"
Economics Letters,
Elsevier, vol. 50(3), pages 407-411, March.
[Downloadable!] (restricted)
- Yangru Wu, 1996.
"Mean Reversion In Equilibrium Real Exchange Rates,"
International Economic Journal,
Korean International Economic Association, vol. 10(2), pages 85-104, June.
[Downloadable!] (restricted)
- Wu, Yangru & Zhang, Hua, 1996.
"Mean Reversion in Interest Rates: New Evidence from a Panel of OECD Countries,"
Journal of Money, Credit and Banking,
Blackwell Publishing, vol. 28(4), pages 604-21, November.
[Downloadable!] (restricted)
- Wu, Yangru, 1996.
"Are Real Exchange Rates Nonstationary? Evidence from a Panel-Data Test,"
Journal of Money, Credit and Banking,
Blackwell Publishing, vol. 28(1), pages 54-63, February.
[Downloadable!] (restricted)
- Wu, Yangru, 1995.
"Are there rational bubbles in foreign exchange markets? Evidence from an alternative test,"
Journal of International Money and Finance,
Elsevier, vol. 14(1), pages 27-46, February.
[Downloadable!] (restricted)
NEP Fields
2 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
- NEP-CFN: Corporate Finance (1) 1999-02-08 Author is listed
- NEP-FMK: Financial Markets (1) 2001-12-04 Author is listed
Did you know? The yearly budget of IDEAS is exactly $0: it relies entirely on volunteer work.
This page was last updated on 2009-11-14.
This information is provided to you by