Jun Yu
Names
Identifer
Contact
| homepage: |
https://fba.um.edu.mo/faculty/junyu/ |
|
| phone: |
85388224171 |
| postal address: |
Faculty of Business Administration
University of Macau, E22
Avenida da Universidade,
Taipa, Macau, China |
Affiliations
-
University of Macau
/ Faculty of Business Administration (weight: 99%)
-
Singapore Management University (weight: 1%)
Research profile
author of:
- Model Selection for Explosive Models (RePEc:arx:papers:1703.02720)
by Yubo Tao & Jun Yu - A New Wald Test for Hypothesis Testing Based on MCMC outputs (RePEc:arx:papers:1801.00973)
by Yong Li & Xiaobin Liu & Jun Yu & Tao Zeng - MCMC Methods for Estimating Stochastic Volatility Models with Liverage Effects: Comments on Jacquier, Polson and Rossi (2002) (RePEc:auc:wpaper:138)
by Yu, Jun - Exact Gaussian Estimation of Continuous Time Models of The Term Structure of Interest Rates Rankings of Economics Departments in New Zealand (RePEc:auc:wpaper:161)
by Phillips, Peter & Yu, Jun - Estimation of a Self-Exciting Poisson Jump Diffusion Model by the Empirical Characteristic Function Method (RePEc:auc:wpaper:168)
by Yu, Jun - Forecasting Volatility in the New Zealand Stock Market (RePEc:auc:wpaper:175)
by Yu, Jun - Deviance Information Criterion as a Model Comparison Criterion for Stochastic Volatility Models (RePEc:auc:wpaper:178)
by Berg, Andreas & Meyer, Renate & Yu, Jun - Estimation of Hyperbolic Diffusion using MCMC Method (RePEc:auc:wpaper:182)
by Tse, Y.K. & Zhang, Bill & Yu, Jun - Jacknifing Bond Option Prices (RePEc:auc:wpaper:187)
by Yu, Jun & Phillips, Peter - A Test Statistic and Its Application in Modelling Daily Stock Returns (RePEc:auc:wpaper:192)
by Shao, Qi-Man & Yu, Hao & Yu, Jun - A Class of Nonlinear Stochastic Volatility Models (RePEc:auc:wpaper:203)
by Yu, Jun & Yang, Zhenlin - Efficient Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method (RePEc:auc:wpaper:205)
by Knight, John & Satchell, Stephen & Yu, Jun - BUGS for a Bayesian Analysis of Stochastic Volatility Models (RePEc:auc:wpaper:206)
by Meyer, Renate & Yu, Jun - Forecasting Volatility:Evidence from the German Stock Market (RePEc:auc:wpaper:217)
by Bluhm, Hagen & Yu, Jun - Empirical Characteristic Function in Time Series Estimation (RePEc:auc:wpaper:220)
by Knight, John & Yu, Jun - Do Topics Diffuse from Core to Periphery Journals? (RePEc:auc:wpaper:222)
by Bandyopadhyay, Debasis & Yu, Jun - Deviance Information Criterion for Comparing Stochastic Volatility Models (RePEc:bes:jnlbes:v:22:y:2004:i:1:p:107-20)
by Berg, Andreas & Meyer, Renate & Yu, Jun - Comment (RePEc:bes:jnlbes:v:24:y:2006:p:202-208)
by Phillips, Peter C.B. & Yu, Jun - Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method (RePEc:bla:anzsta:v:44:y:2002:i:3:p:319-335)
by John L. Knight & Stephen E. Satchell & Jun Yu - Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour (RePEc:bla:obuest:v:76:y:2014:i:3:p:315-333)
by Peter C. B. Phillips & Shuping Shi & Jun Yu - Mildly Explosive Autoregression with Anti‐persistent Errors (RePEc:bla:obuest:v:83:y:2021:i:2:p:518-539)
by Yiu Lim Lui & Weilin Xiao & Jun Yu - Information Loss in Volatility Measurement with Flat Price Trading (RePEc:cla:levrem:321307000000000805)
by Peter C.B. Phillips & Jun Yu - Do Stock Returns Follow a Finite Variance Distribution? (RePEc:cuf:journl:y:2001:v:2:i:2:p:467-486)
by Qi-Man Shao & Hao Yu & Jun Yu - Realized Daily Variance of S&P 500 Cash Index: A Revaluation of Stylized Facts (RePEc:cuf:journl:y:2007:v:8:i:1:p:33-56)
by Shirley J. Huang & Qianqiu Liu & Jun Yu - An Improved Bayesian Unit Root Test in Stochastic Volatility Models (RePEc:cuf:journl:y:2019:v:20:i:1:liyu)
by Yong Li & Jun Yu - Unknown item RePEc:cuf:wpaper:70 (paper)
- Empirical Characteristic Function In Time Series Estimation (RePEc:cup:etheor:v:18:y:2002:i:03:p:691-721_18)
by Knight, John L. & Yu, Jun - Special Issue Of Econometric Theory On Seta 2010: Editors’ Introduction (RePEc:cup:etheor:v:30:y:2014:i:01:p:1-2_00)
by Phillips, Peter C.B. & Yu, Jun - Econometric Analysis Of Continuous Time Models: A Survey Of Peter Phillips’S Work And Some New Results (RePEc:cup:etheor:v:30:y:2014:i:04:p:737-774_00)
by Yu, Jun - Asymptotic Theory For Estimating Drift Parameters In The Fractional Vasicek Model (RePEc:cup:etheor:v:35:y:2019:i:01:p:198-231_00)
by Xiao, Weilin & Yu, Jun - Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate (RePEc:cwl:cwldpp:1309)
by Jun Yu & Peter C.B. Phillips - Jackknifing Bond Option Prices (RePEc:cwl:cwldpp:1392)
by Peter C.B. Phillips & Jun Yu - A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations (RePEc:cwl:cwldpp:1523)
by Peter C.B. Phillips & Jun Yu - Indirect Inference for Dynamic Panel Models (RePEc:cwl:cwldpp:1550)
by Christian Gourieroux & Peter C. B. Phillips & Jun Yu - Simulation-based Estimation of Contingent-claims Prices (RePEc:cwl:cwldpp:1596)
by Peter C.B. Phillips & Jun Yu - Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance (RePEc:cwl:cwldpp:1597)
by Peter C.B. Phillips & Jun Yu - Information Loss in Volatility Measurement with Flat Price Trading (RePEc:cwl:cwldpp:1598)
by Peter C.B. Phillips & Jun Yu - Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? (RePEc:cwl:cwldpp:1699)
by Peter C.B. Phillips & Yangru Wu & Jun Yu - Dating the Timeline of Financial Bubbles during the Subprime Crisis (RePEc:cwl:cwldpp:1770)
by Peter C. B. Phillips & Jun Yu - Bias in Estimating Multivariate and Univariate Diffusions (RePEc:cwl:cwldpp:1778)
by Xiaohu Wang & Peter C.B. Phillips & Jun Yu - Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior (RePEc:cwl:cwldpp:1842)
by Peter C.B. Phillips & Shu-Ping Shi & Jun Yu - Testing for Multiple Bubbles (RePEc:cwl:cwldpp:1843)
by Peter C.B. Phillips & Shu-Ping Shi & Jun Yu - Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500 (RePEc:cwl:cwldpp:1914)
by Peter C.B. Phillips & Shu-Ping Shi & Jun Yu - Testing for Multiple Bubbles: Limit Theory of Real Time Detectors (RePEc:cwl:cwldpp:1915)
by Peter C.B. Phillips & Shu-Ping Shi & Jun Yu - A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market (RePEc:cwl:cwldpp:1969)
by Liang Jiang & Peter C.B. Phillips & Jun Yu - Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour (RePEc:cwl:cwldpp:2114)
by Yubo Tao & Peter C.B. Phillips & Jun Yu - A Panel Clustering Approach to Analyzing Bubble Behavior (RePEc:cwl:cwldpp:2323)
by Yanbo Liu & Peter C. B. Phillips & Jun Yu - Weak Identification of Long Memory with Implications for Inference (RePEc:cwl:cwldpp:2334)
by Jia Li & Peter C. B. Phillips & Shuping Shi & Jun Yu - Robust Testing for Explosive Behavior with Strongly Dependent Errors (RePEc:cwl:cwldpp:2350)
by Yiu Lim Lui & Jun Yu & Peter C. B. Phillips - Indirect Inference for Dynamic Panel Models (RePEc:eab:develo:22421)
by Christian Gouriéroux & Peter C. B. Phillips & Jun Yu - Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance (RePEc:eab:develo:22471)
by Peter C. B. Phillips & Jun Yu - Comments on “A selective overview of nonparametric methods in financial econometrics†(RePEc:eab:financ:22469)
by Peter C. B. Phillips & Jun Yu - Comment on “Realized Variance and Market Microstructure Noise†by Peter R. Hansen and Asger Lunde (RePEc:eab:financ:22470)
by Peter C. B. Phillips & Jun Yu - Simulation-based Estimation of Contingent-claims Prices (RePEc:eab:financ:22473)
by Peter C. B. Phillips & Jun Yu - Forecasting Realized Volatility Using A Nonnegative Semiparametric Model (RePEc:eab:financ:23049)
by Daniel Preve & Anders Eriksson & Jun Yu - Explosive Behavior in the 1990s Nasdaq : When Did Exuberance Escalate Asset Values? (RePEc:eab:financ:23050)
by Peter C.B. Philips & Yangru Wu & Jun Yu - Dating the Timeline of Financial Bubbles During the Subprime Crisis (RePEc:eab:financ:23051)
by Peter C. B. Phillips & Jun Yu - Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises (RePEc:eab:financ:23054)
by Shirley J. Huang & Jun Yu - A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete (RePEc:eab:macroe:22472)
by Peter C. B. Phillips & Jun Yu - Multivariate Stochastic Volatility (RePEc:eab:microe:22058)
by Manabu Asai & Michael McAleer & Jun Yu - Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models (RePEc:eab:microe:23045)
by Jun Yu - Econometric Analysis of Continuous Time Models : A Survey of Peter Phillips’ Work and Some New Results (RePEc:eab:microe:23046)
by Jun Yu - On leverage in a stochastic volatility model (RePEc:ecm:feam04:497)
by Jun Yu - On Leverage in a Stochastic Volatility Model (RePEc:ecm:feam04:506)
by Jun Yu - Jackknifing Bond Option Prices (RePEc:ecm:nawm04:115)
by Jun Yu & Peter Phillips - Dating the timeline of financial bubbles during the subprime crisis (RePEc:ecm:quante:v:2:y:2011:i:3:p:455-491)
by Peter C. B. Phillips & Jun Yu - BUGS for a Bayesian analysis of stochastic volatility models (RePEc:ect:emjrnl:v:3:y:2000:i:2:p:198-215)
by Renate Meyer & Jun Yu - A Gaussian approach for continuous time models of the short-term interest rate (RePEc:ect:emjrnl:v:4:y:2001:i:2:p:3)
by Jun Yu & Peter C. B. Phillips - Detecting bubbles in Hong Kong residential property market (RePEc:eee:asieco:v:28:y:2013:i:c:p:115-124)
by Yiu, Matthew S. & Yu, Jun & Jin, Lu - A class of nonlinear stochastic volatility models and its implications for pricing currency options (RePEc:eee:csdana:v:51:y:2006:i:4:p:2218-2231)
by Yu, Jun & Yang, Zhenlin & Zhang, Xibin - A flexible and automated likelihood based framework for inference in stochastic volatility models (RePEc:eee:csdana:v:76:y:2014:i:c:p:642-654)
by Skaug, Hans J. & Yu, Jun - Bayesian analysis of structural credit risk models with microstructure noises (RePEc:eee:dyncon:v:34:y:2010:i:11:p:2259-2272)
by Huang, Shirley J. & Yu, Jun - Limit theory for an explosive autoregressive process (RePEc:eee:ecolet:v:126:y:2015:i:c:p:176-180)
by Wang, Xiaohu & Yu, Jun - Asymptotic theory for linear diffusions under alternative sampling schemes (RePEc:eee:ecolet:v:128:y:2015:i:c:p:1-5)
by Zhou, Qiankun & Yu, Jun - Bias in the estimation of mean reversion in continuous-time Lévy processes (RePEc:eee:ecolet:v:134:y:2015:i:c:p:16-19)
by Bao, Yong & Ullah, Aman & Wang, Yun & Yu, Jun - Asymptotic theory for rough fractional Vasicek models (RePEc:eee:ecolet:v:177:y:2019:i:c:p:26-29)
by Xiao, Weilin & Yu, Jun - On leverage in a stochastic volatility model (RePEc:eee:econom:v:127:y:2005:i:2:p:165-178)
by Yu, Jun - A two-stage realized volatility approach to estimation of diffusion processes with discrete data (RePEc:eee:econom:v:150:y:2009:i:2:p:139-150)
by Phillips, Peter C.B. & Yu, Jun - Indirect inference for dynamic panel models (RePEc:eee:econom:v:157:y:2010:i:1:p:68-77)
by Gouriéroux, Christian & Phillips, Peter C.B. & Yu, Jun - Bias in estimating multivariate and univariate diffusions (RePEc:eee:econom:v:161:y:2011:i:2:p:228-245)
by Wang, Xiaohu & Phillips, Peter C.B. & Yu, Jun - Bayesian hypothesis testing in latent variable models (RePEc:eee:econom:v:166:y:2012:i:2:p:237-246)
by Li, Yong & Yu, Jun - A semiparametric stochastic volatility model (RePEc:eee:econom:v:167:y:2012:i:2:p:473-482)
by Yu, Jun - Bias in the estimation of the mean reversion parameter in continuous time models (RePEc:eee:econom:v:169:y:2012:i:1:p:114-122)
by Yu, Jun - A new approach to Bayesian hypothesis testing (RePEc:eee:econom:v:178:y:2014:i:p3:p:602-612)
by Li, Yong & Zeng, Tao & Yu, Jun - Maximum likelihood estimation of partially observed diffusion models (RePEc:eee:econom:v:180:y:2014:i:1:p:73-80)
by Kleppe, Tore Selland & Yu, Jun & Skaug, Hans J. - A Bayesian chi-squared test for hypothesis testing (RePEc:eee:econom:v:189:y:2015:i:1:p:54-69)
by Li, Yong & Liu, Xiao-Bin & Yu, Jun - Double asymptotics for explosive continuous time models (RePEc:eee:econom:v:193:y:2016:i:1:p:35-53)
by Wang, Xiaohu & Yu, Jun - Inference in continuous systems with mildly explosive regressors (RePEc:eee:econom:v:201:y:2017:i:2:p:400-416)
by Chen, Ye & Phillips, Peter C.B. & Yu, Jun - New distribution theory for the estimation of structural break point in mean (RePEc:eee:econom:v:205:y:2018:i:1:p:156-176)
by Jiang, Liang & Wang, Xiaohu & Yu, Jun - Specification tests based on MCMC output (RePEc:eee:econom:v:207:y:2018:i:1:p:237-260)
by Li, Yong & Yu, Jun & Zeng, Tao - Random coefficient continuous systems: Testing for extreme sample path behavior (RePEc:eee:econom:v:209:y:2019:i:2:p:208-237)
by Tao, Yubo & Phillips, Peter C.B. & Yu, Jun - Deviance information criterion for latent variable models and misspecified models (RePEc:eee:econom:v:216:y:2020:i:2:p:450-493)
by Li, Yong & Yu, Jun & Zeng, Tao - Posterior-based Wald-type statistics for hypothesis testing (RePEc:eee:econom:v:230:y:2022:i:1:p:83-113)
by Liu, Xiaobin & Li, Yong & Yu, Jun & Zeng, Tao - Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process (RePEc:eee:econom:v:232:y:2023:i:2:p:389-415)
by Wang, Xiaohu & Xiao, Weilin & Yu, Jun - Improved marginal likelihood estimation via power posteriors and importance sampling (RePEc:eee:econom:v:234:y:2023:i:1:p:28-52)
by Li, Yong & Wang, Nianling & Yu, Jun - Robust testing for explosive behavior with strongly dependent errors (RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003421)
by Lui, Yiu Lim & Phillips, Peter C.B. & Yu, Jun - Temporal aggregation and risk-return relation (RePEc:eee:finlet:v:4:y:2007:i:2:p:104-115)
by Jin, Xing & Wang, Leping & Yu, Jun - New methodology for constructing real estate price indices applied to the Singapore residential market (RePEc:eee:jbfina:v:61:y:2015:i:s2:p:s121-s131)
by Jiang, Liang & Phillips, Peter C.B. & Yu, Jun - Optimal jackknife for unit root models (RePEc:eee:stapro:v:99:y:2015:i:c:p:135-142)
by Chen, Ye & Yu, Jun - Unknown item RePEc:eme:aeco11:s0731-9053(2010)0000026009 (chapter)
- Unknown item RePEc:eme:aeco11:s0731-905320140000033017 (chapter)
- Unknown item RePEc:eme:aeco11:s0731-905320200000041003 (chapter)
- Simulated maximum likelihood estimation of continuous time stochastic volatility models (RePEc:eme:aecozz:s0731-9053(2010)0000026009)
by Tore Selland Kleppe & Jun Yu & H.J. Skaug - Deviance Information Criterion for Comparing VAR Models (RePEc:eme:aecozz:s0731-905320140000033017)
by Tao Zeng & Yong Li & Jun Yu - Model Selection for Explosive Models (RePEc:eme:aecozz:s0731-905320200000041003)
by Yubo Tao & Jun Yu - Asymptotic Properties of the Least Squares Estimator in Local to Unity Processes with Fractional Gaussian Noise (RePEc:eme:aecozz:s0731-90532023000045a002)
by Xiaohu Wang & Weilin Xiao & Jun Yu - Bayesian Analysis of Bubbles in Asset Prices (RePEc:gam:jecnmx:v:5:y:2017:i:4:p:47-:d:115992)
by Andras Fulop & Jun Yu - Maximum Likelihood Estimation for the Fractional Vasicek Model (RePEc:gam:jecnmx:v:8:y:2020:i:3:p:32-:d:397839)
by Katsuto Tanaka & Weilin Xiao & Jun Yu - Forecasting Realized Volatility Using a Nonnegative Semiparametric Model (RePEc:gam:jjrfmx:v:12:y:2019:i:3:p:139-:d:262198)
by Anders Eriksson & Daniel P. A. Preve & Jun Yu - Specification Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles (RePEc:hkm:wpaper:172011)
by Shu-Ping Shi & Peter C. B. Phillips & Jun Yu - Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? (RePEc:hkm:wpaper:222007)
by Peter C. B. Phillips & Yangru Wu & Jun Yu - Information Loss in Volatility Measurement with Flat Price Trading (RePEc:hst:ghsdps:gd08-039)
by Peter C. B. Phillips & Jun Yu - Investigating Impacts of Self-Exciting Jumps in Returns and Volatility: A Bayesian Learning Approach (RePEc:hst:ghsdps:gd12-264)
by Andras Fulop & Junye Li & Jun Yu - EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES? (RePEc:ier:iecrev:v:52:y:2011:i:1:p:201-226)
by Peter C. B. Phillips & Yangru Wu & Jun Yu - Volatility Puzzle: Long Memory or Antipersistency (RePEc:inm:ormnsc:v:69:y:2023:i:7:p:3861-3883)
by Shuping Shi & Jun Yu - A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options (RePEc:msh:ebswps:2002-17)
by Jun Yu & Zhenlin Yang & Xibin Zhang - Estimation of Hyperbolic Diffusion Using MCMC Method (RePEc:msh:ebswps:2002-18)
by Y.K. Tse & Xibin Zhang & Jun Yu - Bubble testing under polynomial trends (RePEc:oup:emjrnl:v:26:y:2023:i:1:p:25-44.)
by Xiaohu Wang & Jun Yu - Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks
[Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts] (RePEc:oup:jfinec:v:20:y:2022:i:1:p:160-186.)
by Yue Qiu & Tian Xie & Jun Yu & Qiankun Zhou - Jackknifing Bond Option Prices (RePEc:oup:rfinst:v:18:y:2005:i:2:p:707-742)
by Peter C. B. Phillips - Simulation-Based Estimation of Contingent-Claims Prices (RePEc:oup:rfinst:v:22:y:2009:i:9:p:3669-3705)
by Peter C. B. Phillips & Jun Yu - Self-Exciting Jumps, Learning, and Asset Pricing Implications (RePEc:oup:rfinst:v:28:y:2015:i:3:p:876-912.)
by Andras Fulop & Junye Li & Jun Yu - Model Selection for Explosive Models (RePEc:ris:smuesw:2016_006)
by Tao, Yubo & Yu, Jun - Asymptotic Theory for Estimating the Persistent Parameter in the Fractional Vasicek Model (RePEc:ris:smuesw:2016_013)
by Xiao, Weilin & Yu, Jun - Shrinkage Estimation of Covariance Matrix for Portfolio Choice with High Frequency Data (RePEc:ris:smuesw:2016_014)
by Liu, Cheng & Xia, Ningning & Yu, Jun - Deviance Information Criterion for Bayesian Model Selection: Justification and Variation (RePEc:ris:smuesw:2017_005)
by Li, Yong & Yu, Jun & Zeng, Tao - Asymptotic Theory for Estimating Drift Parameters in the Fractional Vasicek Model (RePEc:ris:smuesw:2017_008)
by Xiao, Weilin & Yu, Jun - A Specification Test based on the MCMC Output (RePEc:ris:smuesw:2017_009)
by Li, Yong & Yu, Jun & Zeng, Tao - In-fill Asymptotic Theory for Structural Break Point in Autoregression: A Unified Theory (RePEc:ris:smuesw:2017_010)
by Jiang, Liang & Wang, Xiaohu & Yu, Jun - Bubble Testing under Deterministic Trends (RePEc:ris:smuesw:2017_014)
by Wang, Xiaohu & Yu, Jun - Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour (RePEc:ris:smuesw:2017_018)
by Tao, Yubo & Phillips, Peter C.B. & Yu, Jun - Integrated Deviance Information Criterion for Latent Variable Models (RePEc:ris:smuesw:2018_006)
by Li, Yong & Yu, Jun & Zeng, Tao - Asymptotic Theory for Rough Fractional Vasicek Models (RePEc:ris:smuesw:2018_007)
by Xiao, Weilin & Yu, Jun - A Posterior-Based Wald-Type Statistic for Hypothesis Testing (RePEc:ris:smuesw:2018_008)
by Li, Yong & Liu, Xiaobin & Zeng, Tao & Yu, Jun - The Grid Bootstrap for Continuous Time Models (RePEc:ris:smuesw:2018_020)
by Lui, Yiu Lim & Xiao, Weilin & Yu, Jun - Mild-explosive and Local-to-mild-explosive Autoregressions with Serially Correlated Errors (RePEc:ris:smuesw:2018_022)
by Lui, Yiu Lim & Xiao, Weilin & Yu, Jun - Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks (RePEc:ris:smuesw:2019_007)
by Qiu, Yue & Xie, Tian & Yu, Jun & Zhou, Qiankun - Maximum Likelihood Estimation for the Fractional Vasicek Model (RePEc:ris:smuesw:2019_008)
by Tanaka, Katsuto & Xiao, Weilin & Yu, Jun - Housing Equity and Household Consumption in Retirement: Evidence from the Singapore Life Panel (RePEc:ris:smuesw:2019_010)
by Chen, Lipeng & Jiang, Liang & Phang, Sock Yong & Yu, Jun - A Quantile-based Asset Pricing Model (RePEc:ris:smuesw:2019_015)
by Ando, Tomohiro & Bai, Jushan & Nishimura, Mitohide & Yu, Jun - Improved Marginal Likelihood Estimation via Power Posteriors and Importance Sampling (RePEc:ris:smuesw:2019_016)
by Li, Yong & Wang, Nianling & Yu, Jun - Estimation and Inference of Fractional Continuous-Time Model with Discrete-Sampled Data (RePEc:ris:smuesw:2019_017)
by Wang, Xiaohu & Xiao, Weilin & Yu, Jun - Local Powers of Least-Squares-Based Test for Panel Fractional Ornstein-Uhlenbeck Process (RePEc:ris:smuesw:2020_006)
by Tanaka, Katsuto & Xiao, Weilin & Yu, Jun - Forecast combinations in machine learning (RePEc:ris:smuesw:2020_013)
by Qiu, Yue & Xie, Tian & Yu, Jun - Econometric Methods and Data Science Techniques: A Review of Two Strands of Literature and an Introduction to Hybrid Methods (RePEc:ris:smuesw:2020_016)
by Xie, Tian & Yu, Jun & Zeng, Tao - Forecasting Singapore GDP using the SPF data (RePEc:ris:smuesw:2020_017)
by Xie, Tian & Yu, Jun - Persistent and Rough Volatility (RePEc:ris:smuesw:2020_023)
by Liu, Xiaobin & Shi, Shuping & Yu, Jun - Asymptotic Properties of Least Squares Estimator in Local to Unity Processes with Fractional Gaussian Noises (RePEc:ris:smuesw:2020_027)
by Wang, Xiaohu & Xiao, Weilin & Yu, Jun - Latent Local-to-Unity Models (RePEc:ris:smuesw:2021_004)
by Yu, Jun - Different Strokes for Different Folks: Long Memory and Roughness (RePEc:ris:smuesw:2021_007)
by Shi, Shuping & Yu, Jun - A Panel Clustering Approach to Analyzing Bubble Behavior (RePEc:ris:smuesw:2022_001)
by Liu, Yanbo & Phillips, Peter C. B. & Yu, Jun - Weak Identification of Long Memory with Implications for Inference (RePEc:ris:smuesw:2022_008)
by Li, Jia & Phillips, Peter C. B. & Shi, Shuping & Yu, Jun - Robust Testing for Explosive Behavior with Strongly Dependent Errors (RePEc:ris:smuesw:2022_011)
by Lui, Yiu Lim & Phillips, Peter C.B. & Yu, Jun - On the Optimal Forecast with the Fractional Brownian Motion (RePEc:ris:smuesw:2022_012)
by Wang, Xiaohu & Yu, Jun & Zhang, Chen - Finite Sample Comparison of Alternative Estimators for Fractional Gaussian Noise (RePEc:ris:smuesw:2022_013)
by Shi, Shuping & Yu, Jun & Zhang, Chen - Temporal Aggregation and Risk-Return Relation (RePEc:siu:wpaper:01-2007)
by Jun Yu - Deviance Information Criterion for Comparing VAR Models (RePEc:siu:wpaper:01-2014)
by Tao Zeng & Yong Li & Jun Yu - New Distribution Theory for the Estimation of Structural Break Point in Mean (RePEc:siu:wpaper:01-2016)
by Jiang Liang & Wang Xiaohu & Jun Yu - Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Lévy Processes (RePEc:siu:wpaper:02-2013)
by Yong Bao & Aman Ullah & Yun Wang & Jun Yu - Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility (RePEc:siu:wpaper:03-2012)
by Andras Fulop & Junye Li & Jun Yu - A Bayesian Chi-Squared Test for Hypothesis Testing (RePEc:siu:wpaper:03-2014)
by Yong Li & Xiao-Bin Liu & Jun Yu - Limit Theory for Continuous Time Systems with Mildly Explosive Regressors (RePEc:siu:wpaper:03-2015)
by Peter C. B. Phillips & Ye Chen & Jun Yu - Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500 (RePEc:siu:wpaper:04-2013)
by Peter C. B. Phillips & Shu-Ping Shi & Jun Yu - Bayesian Analysis of Bubbles in Asset Prices (RePEc:siu:wpaper:04-2014)
by Andras Fulop & Jun Yu - Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors (RePEc:siu:wpaper:05-2013)
by Peter C. B. Phillips & Shu-Ping Shi & Jun Yu - Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan (RePEc:siu:wpaper:08-2005)
by Peter C. B. Phillips & Jun Yu - Speci fication Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles (RePEc:siu:wpaper:08-2011)
by Shu-Ping Shi & Peter C.B. Phillips & Jun Yu - Limit Theory for an Explosive Autoregressive Process (RePEc:siu:wpaper:08-2013)
by Xiaohu Wang & Jun Yu - Testing for Multiple Bubbles (RePEc:siu:wpaper:09-2011)
by Peter C.B. Phillips & Shu-Ping Shi & Jun Yu - Simulated Maximum Likelihood Estimation for Latent Diffusion Models (RePEc:siu:wpaper:10-2011)
by Tore Selland Kleppe & Jun Yu & Hans J. skaug - Bayesian Hypothesis Testing in Latent Variable Models (RePEc:siu:wpaper:11-2011)
by Yong Li & Jun Yu - Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes (RePEc:siu:wpaper:11-2012)
by Qiankun Zhou & Jun Yu - Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models (RePEc:siu:wpaper:12-2011)
by Ye Chen & Jun Yu - Simulated Maximum Likelihood Estimation for Latent Diffusion Models (RePEc:siu:wpaper:12-2012)
by Tore Selland Kleppe & Jun Yu & Hans J. Skaug - On Leverage in a Stochastic Volatility Model (RePEc:siu:wpaper:13-2004)
by Jun Yu - Comment on “Realized Variance and Market Microstructure Noise” by Peter R. Hansen and Asger Lunde (RePEc:siu:wpaper:13-2005)
by Peter C. B. Phillips & Jun Yu - Estimating the GARCH Diffusion: Simulated Maximum Likelihood in Continuous Time (RePEc:siu:wpaper:13-2010)
by Tore Selland Kleppe & Jun Yu & Hans J. Skaug - Testing for Multiple Bubbles (RePEc:siu:wpaper:13-2012)
by Peter C. B. Phillips & Shu-Ping Shi & Jun Yu - A New Bayesian Unit Root Test in Stochastic Volatility Models (RePEc:siu:wpaper:14-2012)
by Yong Li & Jun Yu - Automated Likelihood Based Inference for Stochastic Volatility Models (RePEc:siu:wpaper:15-2009)
by Hans J. Skaug & Jun Yu - A Conversation with Eric Ghysels Co-President of the Society for Financial Econometrics (RePEc:siu:wpaper:15-2010)
by Peter C.B. Phillips & Jun Yu - Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior (RePEc:siu:wpaper:15-2011)
by Peter C. B. Phillips & Shu-Ping Shi & Jun Yu - Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models (RePEc:siu:wpaper:15-2012)
by Ye Chen & Jun Yu - Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models (RePEc:siu:wpaper:16-2009)
by Jun Yu - Double Asymptotics for an Explosive Continuous Time Model (RePEc:siu:wpaper:16-2011)
by Xiaohu Wang & Jun Yu - Double Asymptotics for Explosive Continuous Time Models (RePEc:siu:wpaper:16-2012)
by Xiaohu Wang & Jun Yu - Measurement and High Finance (RePEc:siu:wpaper:17-2010)
by Peter C.B. Phillips & Jun Yu & Eric Ghysels - Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior (RePEc:siu:wpaper:17-2012)
by Peter C. B. Phillips & Shu-Ping Shi & Jun Yu - Dating the Timeline of Financial Bubbles During the Subprime Crisis (RePEc:siu:wpaper:18-2009)
by Peter C. B. Phillips & Jun Yu - Corrigendum to “A Gaussian Approach for Continuous Time Models of the Short Term Interest Rate" (RePEc:siu:wpaper:18-2010)
by Peter C.B. Phillips & Jun Yu - Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? (RePEc:siu:wpaper:19-2009)
by Peter C.B. PHILIPS & Yangru WU & Jun YU - Simulation-based Estimation Methods for Financial Time Series Models (RePEc:siu:wpaper:19-2010)
by Jun Yu - A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market (RePEc:siu:wpaper:19-2014)
by Liang Jiang & Peter C.B. Phillips & Jun Yu - Stimulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models (RePEc:siu:wpaper:20-2009)
by Tore Selland KLEPPE & Jun YU & Hans J. SKAUG - Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes (RePEc:siu:wpaper:20-2010)
by Qiankun Zhou & Jun Yu - Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results (RePEc:siu:wpaper:21-2009)
by Jun YU - A New Bayesian Unit Root Test in Stochastic Volatility Models (RePEc:siu:wpaper:21-2010)
by Yong Li & Jun Yu - Forecasting Realized Volatility Using A Nonnegative Semiparametric Model (RePEc:siu:wpaper:22-2009)
by Daniel PREVE & Anders ERIKSSON & Jun YU - On Bias in the Estimation of Structural Break Points (RePEc:siu:wpaper:22-2014)
by Liang Jiang & Xiaohu Wang & Jun Yu - Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison (RePEc:siu:wpaper:23-2004)
by Jun Yu & Renate Meyer - Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility (RePEc:siu:wpaper:24-2004)
by Jun Yu - Robust Deviance Information Criterion for Latent Variable Models (RePEc:siu:wpaper:30-2012)
by Yong Li & Tao Zeng & Jun Yu - Detecting Bubbles in Hong Kong Residential Property Market (RePEc:siu:wpaper:31-2012)
by Matthew S. Yiu & Jun Yu & Lu Jin - Automated Likelihood Based Inference for Stochastic Volatility Models (RePEc:skb:wpaper:01-2007)
by Jun Yu - Automated Likelihood Based Inference for Stochastic Volatility Models (RePEc:skb:wpaper:cofie-01-2007)
by Hans J. Skaug & Jun Yu - Information Loss in Volatility Measurement with Flat Price Trading (RePEc:skb:wpaper:cofie-01-2008)
by Peter C.B.Phillips & Jun Yu - SpeciÖcation Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles (RePEc:skb:wpaper:cofie-01-2011)
by Shu-Ping Shi & Peter C. B. Phillips & Jun Yu - Forecasting Realized Volatility Using A Nonnegative Semiparametric Model (RePEc:skb:wpaper:cofie-02-2007)
by Daniel Preve & Anders Eriksson & Jun Yu - Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? (RePEc:skb:wpaper:cofie-03-2008)
by Peter C.B.Phillips & Yangru Wu & Jun Yu - Testing for Multiple Bubbles (RePEc:skb:wpaper:cofie-03-2011)
by Peter C. B. Phillips & Shu-Ping Shi & Jun Yu - Detecting Bubbles in Hong Kong Residential Property Market (RePEc:skb:wpaper:cofie-03-2012)
by Matthew S. Yiu & Jun Yu & Lu Jin - Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Levy Processes (RePEc:skb:wpaper:cofie-03-2013)
by Yong Bao & Aman Ullah & Yun Wang & Jun Yu - A Semiparametric Stochastic Volatility Model (RePEc:skb:wpaper:cofie-04-2008)
by Jun Yu - Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results (RePEc:skb:wpaper:cofie-04-2009)
by Jun Yu - Simulated Maximum Likelihood Estimation for Latent Diffusion Models (RePEc:skb:wpaper:cofie-04-2011)
by Tore Selland Kleppe & Jun Yu & Hans J. Skaug - Robust Deviance Information Criterion for Latent Variable Models (RePEc:skb:wpaper:cofie-04-2012)
by Yong Li & Zeng Tao & Jun Yu - Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors (RePEc:skb:wpaper:cofie-04-2013)
by Peter C. B. Phillips & Shu-Ping Shi & Jun Yu - Simulation-based Estimation of Contingent Claims Prices (RePEc:skb:wpaper:cofie-05-2008)
by Peter C.B.Phillips & Jun Yu - Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods in Time Series Data (RePEc:skb:wpaper:cofie-05-2009)
by Peter C.B.Phillips & Jun Yu - Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models (RePEc:skb:wpaper:cofie-06-2008)
by Jun Yu - Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises (RePEc:skb:wpaper:cofie-07-2008)
by Shirley J. Huang & Jun Yu - Dating the Timeline of Financial Bubbles During the Subprime Crisis (RePEc:skb:wpaper:cofie-07-2009)
by Peter C.B.Phillips & Jun Yu - Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance (RePEc:skb:wpaper:cofie-08-2009)
by Peter C.B.Phillips & Jun Yu - Simulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models (RePEc:skb:wpaper:cofie-09-2009)
by Tore Selland Kleppe & Hans J. Skaug & Jun Yu - Speci cation Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior (RePEc:skb:wpaper:cofie-09-2011)
by Peter C. B. Phillips & Shu-Ping Shi & Jun Yu - Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility (RePEc:skb:wpaper:cofie-10-2011)
by Andras Fulop & Junye Li & Jun Yu - Information loss in volatility measurement with flat price trading (RePEc:spr:empeco:v:64:y:2023:i:6:d:10.1007_s00181-022-02353-y)
by Peter C. B. Phillips & Jun Yu - Unknown item RePEc:taf:apfiec:v:12:y:2002:i:3:p:193-202 (article)
- Empirical Characteristic Function Estimation and Its Applications (RePEc:taf:emetrv:v:23:y:2004:i:2:p:93-123)
by Jun Yu - Multivariate Stochastic Volatility: A Review (RePEc:taf:emetrv:v:25:y:2006:i:2-3:p:145-175)
by Manabu Asai & Michael McAleer & Jun Yu - Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison (RePEc:taf:emetrv:v:25:y:2006:i:2-3:p:361-384)
by Jun Yu & Renate Meyer - In-fill asymptotic theory for structural break point in autoregressions (RePEc:taf:emetrv:v:40:y:2020:i:4:p:359-386)
by Liang Jiang & Xiaohu Wang & Jun Yu - Latent local-to-unity models (RePEc:taf:emetrv:v:42:y:2023:i:7:p:586-611)
by Xiaohu Wang & Jun Yu - The Grid Bootstrap for Continuous Time Models (RePEc:taf:jnlbes:v:40:y:2022:i:3:p:1390-1402)
by Yiu Lim Lui & Weilin Xiao & Jun Yu - Testing the expectations theory of the term structure for New Zealand (RePEc:taf:nzecpp:v:33:y:1999:i:1:p:93-114)
by Graeme Guthrie & Julian Wright & Jun Yu - Housing equity and household consumption in retirement: evidence from the Singapore Life Panel© (RePEc:taf:nzecpp:v:55:y:2021:i:1:p:124-140)
by Lipeng Chen & Liang Jiang & Sock-Yong Phang & Jun Yu - On the optimal forecast with the fractional Brownian motion (RePEc:taf:quantf:v:24:y:2024:i:2:p:337-346)
by Xiaohu Wang & Jun Yu & Chen Zhang - Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method (RePEc:taf:quantf:v:4:y:2004:i:2:p:158-169)
by Y. K. Tse & Xibin Zhang & Jun Yu - Editorial (RePEc:taf:specan:v:10:y:2015:i:1:p:1-10)
by B. Fingleton & M. Abreu & P. Amaral & L. Corrado & F. Fuerst & H. Garretsen & D. Igliori & J. Le Gallo & P. McCann & J. McCombie & V. Monastiriotis & G. Pryce & J. Yu - Corrigendum to ‘A Gaussian approach for continuous time models of short‐term interest rates’ (Yu, J. and P. C. B. Phillips, Econometrics Journal, 4, 210–24) (RePEc:wly:emjrnl:v:14:y:2011:i::p:126-129)
by Peter C. B. Phillips & Jun Yu - Testing For Multiple Bubbles: Historical Episodes Of Exuberance And Collapse In The S&P 500 (RePEc:wly:iecrev:v:56:y:2015:i:4:p:1043-1078)
by Peter C. B. Phillips & Shuping Shi & Jun Yu - Testing For Multiple Bubbles: Limit Theory Of Real‐Time Detectors (RePEc:wly:iecrev:v:56:y:2015:i:4:p:1079-1134)
by Peter C. B. Phillips & Shuping Shi & Jun Yu - A Panel Clustering Approach To Analyzing Bubble Behavior (RePEc:wly:iecrev:v:64:y:2023:i:4:p:1347-1395)
by Yanbo Liu & Peter C. B. Phillips & Jun Yu