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Jun Yu

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Personal Details

First Name: Jun
Middle Name:
Last Name: Yu
Suffix:

RePEc Short-ID: pyu5

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

Affiliation

(weights of affiliations)

Works


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Working papers

  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. 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.
  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. 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.
  6. 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.
  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.
  9. Peter C.B. Phillips & Shu-Ping Shi & Jun Yu, 2011. "Testing for Multiple Bubbles," Working Papers 09-2011, Singapore Management University, School of Economics.
  10. Yong Li & Jun Yu, 2011. "Bayesian Hypothesis Testing in Latent Variable Models," Working Papers 11-2011, Singapore Management University, School of Economics.
  11. Jun Yu, 2010. "Simulation-based Estimation Methods for Financial Time Series Models," Working Papers 19-2010, Singapore Management University, School of Economics.
  12. 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.
  13. 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.
  14. 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.
  15. Peter C.B. Phillips & Jun Yu & Eric Ghysels, 2010. "Measurement and High Finance," Working Papers 17-2010, Singapore Management University, School of Economics.
  16. 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.
  17. 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.
  18. 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.
  19. 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.
  20. 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.
  21. 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.
  22. 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.
  23. 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.
  24. 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.
  25. Hans J. Skaug & Jun Yu, 2009. "Automated Likelihood Based Inference for Stochastic Volatility Models," Working Papers 15-2009, Singapore Management University, School of Economics.
  26. 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.
  27. 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.
  28. 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.
  29. 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.
  30. 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.
  31. 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.
  32. Manabu Asai & Michael McAleer & Jun Yu, 2006. "Multivariate Stochastic Volatility," Microeconomics Working Papers 22058, East Asian Bureau of Economic Research.
  33. Jun Yu, 2006. "Temporal Aggregation and Risk-Return Relation," Working Papers 01-2007, Singapore Management University, School of Economics.
  34. 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.
  35. 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.
  36. 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.
  37. 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.
  38. 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.
  39. Jun Yu & Renate Meyer, 2004. "Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison," Working Papers 23-2004, Singapore Management University, School of Economics.
  40. Jun Yu, 2004. "On Leverage in a Stochastic Volatility Model," Econometric Society 2004 Far Eastern Meetings 506, Econometric Society.
  41. 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.
  42. Peter C.B. Phillips & Jun Yu, 2003. "Jackknifing Bond Option Prices," Cowles Foundation Discussion Papers 1392, Cowles Foundation for Research in Economics, Yale University.
  43. 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.
  44. 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.
  45. 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.
    RePEc:cuf:wpaper:70 is not listed on IDEAS

Articles

  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. 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.
  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. 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.
  5. 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.
  6. 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.
  7. 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.
  8. Peter C. B. Phillips & Jun Yu, 2009. "Simulation-Based Estimation of Contingent-Claims Prices," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 22(9), pages 3669-3705, September.
  9. Jin, Xing & Wang, Leping & Yu, Jun, 2007. "Temporal aggregation and risk-return relation," Finance Research Letters, Elsevier, vol. 4(2), pages 104-115, June.
  10. 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.
  11. Jun Yu & Renate Meyer, 2006. "Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison," Econometric Reviews, Taylor and Francis Journals, vol. 25(2-3), pages 361-384.
  12. Manabu Asai & Michael McAleer & Jun Yu, 2006. "Multivariate Stochastic Volatility: A Review," Econometric Reviews, Taylor and Francis Journals, vol. 25(2-3), pages 145-175.
  13. Phillips, Peter C.B. & Yu, Jun, 2006. "Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 202-208, April.
  14. 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.
  15. Yu, Jun, 2005. "On leverage in a stochastic volatility model," Journal of Econometrics, Elsevier, vol. 127(2), pages 165-178, August.
  16. 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.
  17. 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.
  18. Y. K. Tse & Xibin Zhang & Jun Yu, 2004. "Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method," Quantitative Finance, Taylor and Francis Journals, vol. 4(2), pages 158-169.
  19. Jun Yu, 2004. "Empirical Characteristic Function Estimation and Its Applications," Econometric Reviews, Taylor and Francis Journals, vol. 23(2), pages 93-123.
  20. 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.
  21. 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.
  22. Jun Yu, 2002. "Forecasting volatility in the New Zealand stock market," Applied Financial Economics, Taylor and Francis Journals, vol. 12(3), pages 193-202.
  23. 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.
  24. 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.
  25. 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.
  26. Graeme Guthrie & Julian Wright & Jun Yu, 1999. "Testing the expectations theory of the term structure for New Zealand," New Zealand Economic Papers, Taylor and Francis Journals, vol. 33(1), pages 93-114.

NEP Fields

44 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (1) 2012-04-17
  2. NEP-CFN: Corporate Finance (2) 2002-12-02 2003-02-03
  3. NEP-CMP: Computational Economics (2) 2003-02-03 2010-11-27
  4. NEP-ECM: Econometrics (28) 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 2009-04-18 2009-06-17 2010-02-27 2010-02-27 2010-11-27 2010-11-27 2010-11-27 2010-11-27 2010-11-27 2011-01-23 2011-07-21 2011-09-05 2011-09-05 2011-09-05 2011-09-05 2011-11-01 2012-01-18 2012-01-18 2012-04-17 Author is listed
  5. NEP-ENT: Entrepreneurship (1) 2001-11-27
  6. NEP-ETS: Econometric Time Series (33) 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 2009-04-18 2010-02-27 2010-02-27 2010-04-17 2010-09-25 2010-11-27 2010-11-27 2010-11-27 2010-11-27 2011-01-23 2011-07-21 2011-09-05 2011-09-05 2011-11-01 2012-01-18 2012-01-18 2012-04-10 2012-04-17 2012-04-17 2012-04-17 2012-04-17 2012-04-17 Author is listed
  7. NEP-FIN: Finance (1) 2006-10-14
  8. NEP-FMK: Financial Markets (5) 2002-12-02 2003-02-03 2006-09-30 2007-02-10 2009-06-17 Author is listed
  9. NEP-FOR: Forecasting (1) 2010-02-27
  10. NEP-HPE: History & Philosophy of Economics (1) 2010-11-27
  11. NEP-IFN: International Finance (1) 2002-12-02
  12. NEP-MAC: Macroeconomics (1) 2005-06-27
  13. NEP-MIC: Microeconomics (1) 2010-11-27
  14. NEP-MST: Market Microstructure (5) 2006-09-30 2007-01-13 2007-01-13 2007-02-10 2009-04-18 Author is listed
  15. NEP-NET: Network Economics (1) 2001-11-27
  16. NEP-ORE: Operations Research (8) 2010-11-27 2010-11-27 2010-11-27 2011-01-23 2011-09-05 2012-04-10 2012-04-17 2012-04-17 Author is listed
  17. NEP-RMG: Risk Management (4) 2002-12-02 2002-12-17 2003-02-03 2012-01-18
  18. NEP-SEA: South East Asia (24) 2006-09-30 2006-09-30 2006-10-14 2007-01-13 2007-01-13 2007-01-13 2010-02-27 2010-02-27 2010-04-17 2010-04-17 2010-09-25 2010-11-27 2010-11-27 2010-11-27 2010-11-27 2011-01-23 2011-07-21 2011-09-05 2011-09-05 2011-09-05 2011-11-01 2012-01-18 2012-01-18 2012-01-18 Author is listed
  19. NEP-URE: Urban & Real Estate Economics (2) 2010-04-17 2010-09-25

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