Information about:
Jun Yu

Other registered authors

Email:
Homepage: http://www.mysmu.edu/faculty/yujun/default.htm
Postal Address: School of Economics Singapore Management University 90 Stamford Rd Singapore
Phone: 65 6828 0858

Affiliation

• School of Economics
  Singapore Management University

  Location: Singapore, Singapore
  Homepage: http://www.economics.smu.edu.sg/
  Email:
  Phone: 65-6828 0832
  Fax: 65-6828 0833
  Postal: 90 Stamford Road, Singapore 178903
  Handle: RePEc:edi:sesmusg (registered authors at this institution)

Working papers

1. 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, Yale University. [Downloadable!]

2. Peter C.B. Phillips & Jun Yu, 2007. "Simulation-based Estimation of Contingent-claims Prices," Cowles Foundation Discussion Papers 1596, Cowles Foundation, Yale University. [Downloadable!]

3. Peter C.B. Phillips & Jun Yu, 2007. "Information Loss in Volatility Measurement with Flat Price Trading," Cowles Foundation Discussion Papers 1598, Cowles Foundation, Yale University. [Downloadable!]
   Other versions:
   • Peter C.B. Phillips & Jun Yu, 2007. "Information Loss in Volatility Measurement with Flat Price Trading," Levine's Bibliography 321307000000000805, UCLA Department of Economics. [Downloadable!]

4. Christian Gourieroux & Peter C. B. Phillips & Jun Yu, 2006. "Indirect Inference for Dynamic Panel Models," Cowles Foundation Discussion Papers 1550, Cowles Foundation, Yale University. [Downloadable!]

5. 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. [Downloadable!]

6. 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. [Downloadable!]

7. 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, Yale University. [Downloadable!]

8. Jun Yu, 2004. "On Leverage in a Stochastic Volatility Model," Econometric Society 2004 Far Eastern Meetings 506, Econometric Society.
   Other versions:
   • Jun Yu, 2004. "On leverage in a stochastic volatility model," Econometric Society 2004 Far Eastern Meetings 497, Econometric Society.
   • Jun Yu, 2004. "On Leverage in a Stochastic Volatility Model," Working Papers 13-2004, Singapore Management University, School of Economics. [Downloadable!]
   
   Published as:
   • Yu, Jun, 2005. "On leverage in a stochastic volatility model," Journal of Econometrics, Elsevier, vol. 127(2), pages 165-178, August. [Downloadable!] (restricted)

9. Jun Yu & Renate Meyer, 2004. "Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison," Working Papers 23-2004, Singapore Management University, School of Economics. [Downloadable!]

10. 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. [Downloadable!]

11. Peter C.B. Phillips & Jun Yu, 2003. "Jackknifing Bond Option Prices," Cowles Foundation Discussion Papers 1392, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:
    • Jun Yu & Peter Phillips, 2004. "Jackknifing Bond Option Prices," Econometric Society 2004 North American Winter Meetings 115, Econometric Society. [Downloadable!]
    
    Published as:
    • Peter C. B. Phillips, 2005. "Jackknifing Bond Option Prices," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 18(2), pages 707-742. [Downloadable!] (restricted)

12. 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. [Downloadable!]

13. 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. [Downloadable!]
    Published as:
    • 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. [Downloadable!] (restricted)

14. 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, Yale University. [Downloadable!]

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. [Downloadable!] (restricted)

2. Phillips, Peter C.B. & Yu, Jun, 2006. "Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 202-208, April. [Downloadable!] (restricted)

3. 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. [Downloadable!] (restricted)
   Other versions:
   • 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. [Downloadable!]

4. Yu, Jun, 2005. "On leverage in a stochastic volatility model," Journal of Econometrics, Elsevier, vol. 127(2), pages 165-178, August. [Downloadable!] (restricted)
   Other versions:
   • Jun Yu, 2004. "On Leverage in a Stochastic Volatility Model," Econometric Society 2004 Far Eastern Meetings 506, Econometric Society.
   • Jun Yu, 2004. "On leverage in a stochastic volatility model," Econometric Society 2004 Far Eastern Meetings 497, Econometric Society.
   • Jun Yu, 2004. "On Leverage in a Stochastic Volatility Model," Working Papers 13-2004, Singapore Management University, School of Economics. [Downloadable!]

5. Peter C. B. Phillips, 2005. "Jackknifing Bond Option Prices," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 18(2), pages 707-742. [Downloadable!] (restricted)
   Other versions:
   • Jun Yu & Peter Phillips, 2004. "Jackknifing Bond Option Prices," Econometric Society 2004 North American Winter Meetings 115, Econometric Society. [Downloadable!]
   • Peter C.B. Phillips & Jun Yu, 2003. "Jackknifing Bond Option Prices," Cowles Foundation Discussion Papers 1392, Cowles Foundation, Yale University. [Downloadable!]

6. 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.

7. 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. [Downloadable!] (restricted)

8. Knight, John L. & Yu, Jun, 2002. "Empirical Characteristic Function In Time Series Estimation," Econometric Theory, Cambridge University Press, vol. 18(03), pages 691-721, May. [Downloadable!]

9. Yu, Jun, 2002. "Forecasting Volatility in the New Zealand Stock Market," Applied Financial Economics, Taylor and Francis Journals, vol. 12(3), pages 193-202, March. [Downloadable!] (restricted)

10. 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.

11. 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.

1. NEP-CFN: Corporate Finance (2) 2002-12-02 2003-02-03
2. NEP-CMP: Computational Economics (1) 2003-02-03
3. NEP-ECM: Econometrics (9) 2001-11-27 2002-12-10 2002-12-18 2003-02-10 2005-06-27 2006-01-24 2006-10-14 2007-01-13 2007-01-13 Author is listed
4. NEP-ENT: Entrepreneurship (1) 2001-11-27
5. NEP-ETS: Econometric Time Series (11) 2001-11-27 2002-12-02 2002-12-17 2005-06-27 2006-01-24 2006-09-30 2006-10-14 2007-01-13 2007-01-13 2007-01-13 2007-02-10 Author is listed
6. NEP-FIN: Finance (1) 2006-10-14
7. NEP-FMK: Financial Markets (4) 2002-12-02 2003-02-03 2006-09-30 2007-02-10 Author is listed
8. NEP-IFN: International Finance (1) 2002-12-02
9. NEP-MAC: Macroeconomics (1) 2005-06-27
10. NEP-MST: Market Microstructure (4) 2006-09-30 2007-01-13 2007-01-13 2007-02-10 Author is listed
11. NEP-NET: Network Economics (1) 2001-11-27
12. NEP-RMG: Risk Management (3) 2002-12-02 2002-12-17 2003-02-03
13. NEP-SEA: South East Asia (6) 2006-09-30 2006-09-30 2006-10-14 2007-01-13 2007-01-13 2007-01-13 Author is listed

This page was last updated on 2008-9-28.