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Information about:
Jun Yu

Personal Details | Affiliation | Works
This is information that was supplied by Jun Yu in registering through RePEc. If you are Jun Yu , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Other registered authors

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: School of Economics Singapore Management University 90 Stamford Rd Singapore
Phone: 65 6828 0858

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

  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 & 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:

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

  4. 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:

  5. 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!]

  6. Jun Yu, 2006. "Temporal Aggregation and Risk-Return Relation," Working Papers 01-2007, Singapore Management University, School of Economics. [Downloadable!]
    Published as:

  7. 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!]

  8. 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!]

  9. 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!]

  10. Jun Yu, 2004. "On Leverage in a Stochastic Volatility Model," Econometric Society 2004 Far Eastern Meetings 506, Econometric Society.
    Other versions:
    Published as:

  11. 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!]

  12. 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!]

  13. Peter C.B. Phillips & Jun Yu, 2003. "Jackknifing Bond Option Prices," Cowles Foundation Discussion Papers 1392, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:
    Published as:

  14. 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!]

  15. 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:

  16. 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!]

Articles

  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. [Downloadable!] (restricted)

  2. 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. [Downloadable!] (restricted)
    Other versions:

  3. 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)
    Other versions:

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

  5. 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:

  6. 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:

  7. 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:

  8. 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.

  9. 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)

  10. 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)

  11. 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. [Downloadable!]

  12. 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.

  13. 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.

NEP Fields

15 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  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 (11) 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 Author is listed
  4. NEP-ENT: Entrepreneurship (1) 2001-11-27
  5. NEP-ETS: Econometric Time Series (12) 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 Author is listed
  6. NEP-FIN: Finance (1) 2006-10-14
  7. NEP-FMK: Financial Markets (5) 2002-12-02 2003-02-03 2006-09-30 2007-02-10 2009-06-17 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 (5) 2006-09-30 2007-01-13 2007-01-13 2007-02-10 2009-04-18 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
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This page was last updated on 2009-10-21.

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