Jun Yu

Singapore Management University - School of Economics

Professor

90 Stamford Road

178903

Singapore

http://www.mysmu.edu/faculty/yujun/

Singapore Management University - Lee Kong Chian School of Business

469 Bukit Timah Road

Singapore 912409

Singapore

  • Singapore Management University - School of Economics

    • Email
    • Tel: +6568280858
    • Fax: +6568280833

  • Singapore Management University - Lee Kong Chian School of Business

SCHOLARLY PAPERS

38

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8,377

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414

CROSSREF CITATIONS

399

Scholarly Papers (38)

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1.

Testing for Multiple Bubbles

Downloads 1,107 ( 27,058)
Citation 16

Testing for Multiple Bubbles

Cowles Foundation Discussion Paper No. 1843
Number of pages: 67 Posted: 09 Jan 2012
Peter C. B. Phillips, Shuping Shi, Shuping Shi and Jun Yu
Yale University - Cowles Foundation, Macquarie UniversityDepartment of Economics, Macquarie University and Singapore Management University - School of Economics
Downloads 986 (31,430)
Citation 25

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Date-stamping strategy, Generalized sup ADF test, Multiple bubbles, Rational bubble, Periodically collapsing bubbles, Sup ADF test

Testing for Multiple Bubbles

CAFE Research Paper No. 13.18
Number of pages: 67 Posted: 27 Aug 2013
Peter C. B. Phillips, Shuping Shi, Shuping Shi and Jun Yu
Yale University - Cowles Foundation, Macquarie UniversityDepartment of Economics, Macquarie University and Singapore Management University - School of Economics
Downloads 121 (312,707)
Citation 21

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Date-stamping strategy, Generalized sup ADF test, Multiple bubbles, Rational bubble, Periodically collapsing bubbles, Sup ADF test

2.

Bugs for a Bayesian Analysis of Stochastic Volatility Models

Auckland Department of Economics Working Paper No. 212
Number of pages: 17 Posted: 01 May 2001
Renate Meyer and Jun Yu
University of Auckland - Department of Statistics and Singapore Management University - School of Economics
Downloads 691 (51,905)
Citation 5

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Stochastic Volatility, Gibbs Sampler, BUGS, Heavy-tailed Distributions, Non-Gaussian Nonlinear Time Series Models, Leverage Effect

3.

Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500

Downloads 689 ( 52,099)
Citation 94

Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500

Cowles Foundation Discussion Paper No. 1914, FIRN Research Paper
Number of pages: 46 Posted: 18 Sep 2013
Peter C. B. Phillips, Shuping Shi, Shuping Shi and Jun Yu
Yale University - Cowles Foundation, Macquarie UniversityDepartment of Economics, Macquarie University and Singapore Management University - School of Economics
Downloads 688 (51,509)
Citation 109

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Date-stamping strategy, Flexible window, Generalized sup ADF test, Multiple bubbles, Rational bubble, Periodically collapsing bubbles, Sup ADF test 

Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500

International Economic Review, Vol. 56, Issue 4, pp. 1043-1078, 2015
Number of pages: 36 Posted: 29 Oct 2015
Peter C. B. Phillips, Shuping Shi and Jun Yu
Yale University - Cowles Foundation, Singapore Management University and Singapore Management University - School of Economics
Downloads 1 (896,203)
Citation 1

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4.

Dating the Timeline of Financial Bubbles During the Subprime Crisis

Cowles Foundation Discussion Paper No. 1770
Number of pages: 41 Posted: 14 Sep 2010
Peter C. B. Phillips and Jun Yu
Yale University - Cowles Foundation and Singapore Management University - School of Economics
Downloads 668 (54,230)
Citation 31

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Financial bubbles, Crashes, Date stamping, Explosive behavior, Mildly explosive process, Subprime crisis, Timeline

5.

Self-Exciting Jumps, Learning, and Asset Pricing Implications

Number of pages: 52 Posted: 07 Jan 2012 Last Revised: 18 Jun 2014
Andras Fulop, Junye Li and Jun Yu
ESSEC Business School, Fudan University - School of Management and Singapore Management University - School of Economics
Downloads 410 (98,763)
Citation 4

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Self-Excitation, Jump Clustering, Tail Behaviors, Parameter Learning, Sequential Bayes Factor, Excess Volatility, Volatility Forecasting, Option Pricing

6.

Empirical Characteristic Function Estimation and its Applications

Number of pages: 39 Posted: 31 May 2004
Jun Yu
Singapore Management University - School of Economics
Downloads 379 (108,047)
Citation 11

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Diffusion process, Poisson jump, Self-exciting, GMM, Jump clustering

7.

Explosive Behavior in the 1990s Nasdaq: When did Exuberance Escalate Asset Values?

Downloads 372 (109,674)
Citation 41

Explosive Behavior in the 1990s Nasdaq: When did Exuberance Escalate Asset Values?

Cowles Foundation Discussion Paper No. 1699
Number of pages: 37 Posted: 05 Jun 2009
Peter C. B. Phillips, Yangru Wu and Jun Yu
Yale University - Cowles Foundation, Rutgers University, Newark - School of Business - Department of Finance & Economics and Singapore Management University - School of Economics
Downloads 228 (182,430)
Citation 25

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explosive root, irrational exuberance, mildly explosive process, Nasdaq bubble, periodically collapsing bubble, sup test, unit root test

Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?

Hong Kong Institute for Monetary and Financial Research (HKIMR) Research Paper WP No. 22/2007
Number of pages: 40 Posted: 12 Feb 2008
Peter C. B. Phillips, Yangru Wu and Jun Yu
Yale University - Cowles Foundation, Rutgers University, Newark - School of Business - Department of Finance & Economics and Singapore Management University - School of Economics
Downloads 144 (273,682)
Citation 16

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Explosive root, irrational exuberance, mildly explosive process, Nasdaq bubble, periodically collapsing bubble, sup test, time-varying discount rate, unit root test

8.

A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market

Cowles Foundation Discussion Paper No. 1969
Number of pages: 23 Posted: 03 Dec 2014
Liang Jiang, Peter C. B. Phillips and Jun Yu
Singapore Management University - School of Economics, Yale University - Cowles Foundation and Singapore Management University - School of Economics
Downloads 361 (114,112)
Citation 3

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Repeat sales, Hedonic models, Prediction, Index, Explosive, Cooling measures

9.

On Leverage in a Stochastic Volatility Model

Number of pages: 16 Posted: 06 Apr 2004
Jun Yu
Singapore Management University - School of Economics
Downloads 326 (127,605)
Citation 35

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Bayes factors, Leverage effect, Markov chain Monte Carlo, Nonlinear state space models, Quasi maximum likelihood

10.

A Class of Nonlinear Stochastic Volatility Models

Univ. of Auckland, Economics Working Paper No. 229
Number of pages: 33 Posted: 04 May 2002
Jun Yu and Zhenlin Yang
Singapore Management University - School of Economics and Singapore Management University
Downloads 314 (132,472)

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Box-Cox Transformation, GARCH, EMM, Stochastic Volatility

11.

Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate

Number of pages: 23 Posted: 20 Aug 2001
Jun Yu and Peter C. B. Phillips
Singapore Management University - School of Economics and Yale University - Cowles Foundation
Downloads 298 (140,133)

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Gaussian Estimation, Nonlinear Diffusion, Normalizing Transformation

12.

Empirical Characteristic Function in Time Series Estimation

Auckland Department of Economics Working Paper No. 200
Number of pages: 41 Posted: 01 May 2001
John Knight and Jun Yu
University of Western Ontario, Faculty of Social Science, Deparment of Economics (Deceased) and Singapore Management University - School of Economics
Downloads 237 (176,295)
Citation 5

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Empirical Characteristic Function, Stationary Processes, Gaussian ARMA Processes, Stable ARMA Processes

13.

Jackknifing Bond Option Prices

Cowles Foundation Discussion Paper No. 1392
Number of pages: 52 Posted: 24 Jan 2003 Last Revised: 15 Nov 2013
Peter C. B. Phillips and Jun Yu
Yale University - Cowles Foundation and Singapore Management University - School of Economics
Downloads 235 (177,704)
Citation 3

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Bias Reduction, Option Pricing, Bond Pricing, Term Structure of Interest Rates, Re-sampling, Estimation of Continuous Time Models

14.

Deviance Information Criterion for Comparing Stochastic Volatility Models

U of Auckland, Economics Working Paper No. 228
Number of pages: 40 Posted: 15 Aug 2002
Andreas Berg, Renate Meyer and Jun Yu
University of Auckland - Department of Statistics, University of Auckland - Department of Statistics and Singapore Management University - School of Economics
Downloads 235 (177,704)
Citation 19

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Model Selection, Bayesian Deviance, Model Complexity, MCMC, Leverage Effect, Jumps

15.

Testing for Multiple Bubbles: Limit Theory of Real Time Detectors

Downloads 223 (186,666)
Citation 24

Testing for Multiple Bubbles: Limit Theory of Real Time Detectors

Cowles Foundation Discussion Paper No. 1915
Number of pages: 76 Posted: 18 Sep 2013
Peter C. B. Phillips, Shuping Shi, Shuping Shi and Jun Yu
Yale University - Cowles Foundation, Macquarie UniversityDepartment of Economics, Macquarie University and Singapore Management University - School of Economics
Downloads 222 (187,099)
Citation 22

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Bubble duration, Consistency, Dating algorithm, Limit theory, Multiple bubbles, Real time detector

Testing for Multiple Bubbles: Limit Theory of Real‐Time Detectors

International Economic Review, Vol. 56, Issue 4, pp. 1079-1134, 2015
Number of pages: 56 Posted: 29 Oct 2015
Peter C. B. Phillips, Shuping Shi and Jun Yu
Yale University - Cowles Foundation, Singapore Management University and Singapore Management University - School of Economics
Downloads 1 (896,203)
Citation 7

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16.

Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance

Cowles Foundation Discussion Paper No. 1597
Number of pages: 35 Posted: 02 Jan 2007
Peter C. B. Phillips and Jun Yu
Yale University - Cowles Foundation and Singapore Management University - School of Economics
Downloads 214 (194,038)
Citation 2

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Maximum likelihood, Transition density, Discrete sampling, Continuous record, Realized volatility, Bias reduction, Jackknife, Indirect inference

17.

Bayesian Analysis of Bubbles in Asset Prices

Number of pages: 35 Posted: 24 Feb 2014 Last Revised: 12 Sep 2017
Andras Fulop and Jun Yu
ESSEC Business School and Singapore Management University - School of Economics
Downloads 206 (201,109)

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Parameter Learning, Markov Switching, MCMC

18.

On Stiffness in Affine Asset Pricing Models

Downloads 182 (224,601)

On Stiffness in Affine Asset Pricing Models

Number of pages: 24 Posted: 28 Feb 2005
Shirley J. Huang and Jun Yu
Singapore Management University - Lee Kong Chian School of Business and Singapore Management University - School of Economics
Downloads 182 (224,664)
Citation 1

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Affine asset pricing, Characteristic function, Numerical efficiency, Ricatti equations, Explicit and implicit methods, Ordinary differential equations, A-stability

On Stiffness in Affine Asset Pricing Models

Journal of Computational Finance, Forthcoming
Posted: 06 Feb 2007
Shirley J. Huang and Jun Yu
Singapore Management University - Lee Kong Chian School of Business and Singapore Management University - School of Economics

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Affine asset pricing, Characteristic function, Numerical efficiency, Ricatti equations, Explicit and implicit methods, Ordinary differential equations, A-stability

19.

A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations

Number of pages: 28 Posted: 18 Jul 2005
Peter C. B. Phillips and Jun Yu
Yale University - Cowles Foundation and Singapore Management University - School of Economics
Downloads 151 (262,617)
Citation 1

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Maximum likelihood, Girsnov theorem, Discrete sampling, Continuous record, Realized volatility

20.

Indirect Inference for Dynamic Panel Models

Cowles Foundation Discussion Paper No. 1550
Number of pages: 21 Posted: 12 Jan 2006
Christian Gourieroux, Peter C. B. Phillips and Jun Yu
University of Toronto - Department of Economics, Yale University - Cowles Foundation and Singapore Management University - School of Economics
Downloads 149 (265,449)
Citation 50

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Autoregression, Bias reduction, Dynamic panel, Fixed effects, Indirect inference

21.

Simulation-Based Estimation of Contingent-Claims Prices

Downloads 117 (318,613)

Simulation-Based Estimation of Contingent-Claims Prices

Cowles Foundation Discussion Paper No. 1596
Number of pages: 31 Posted: 02 Jan 2007
Peter C. B. Phillips and Jun Yu
Yale University - Cowles Foundation and Singapore Management University - School of Economics
Downloads 117 (320,309)

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Bias reduction, Bond pricing, Indirect inference, Option pricing, Simulation-based estimation

Simulation-Based Estimation of Contingent-Claims Prices

The Review of Financial Studies, Vol. 22, Issue 9, pp. 3669-3705, 2009
Posted: 08 Sep 2009
Peter C. B. Phillips and Jun Yu
Yale University - Cowles Foundation and Singapore Management University - School of Economics

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C11, C15, G12

22.

Robust Deviance Information Criterion for Latent Variable Models

CAFE Research Paper No. 13.19
Number of pages: 45 Posted: 27 Aug 2013
Yong Li, Tao Zeng and Jun Yu
Renmin University of China, Singapore Management University and Singapore Management University - School of Economics
Downloads 115 (322,501)
Citation 25

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AIC, DIC, EM Algorithm, Latent variable models, Markov Chain Monte Carlo

23.

Information Loss in Volatility Measurement with Flat Price Trading

Cowles Foundation Discussion Paper No. 1598
Number of pages: 28 Posted: 02 Jan 2007
Peter C. B. Phillips and Jun Yu
Yale University - Cowles Foundation and Singapore Management University - School of Economics
Downloads 109 (334,723)

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Bernoulli process, Brownian semimartingale, Flat trading, Quarticity function, Realized volatility

24.

Temporal Aggregation and Risk-Return Relation

Finance Research Letters, Forthcoming
Number of pages: 19 Posted: 03 Feb 2007
Xing Jin, Leping Wang and Jun Yu
National University of Singapore (NUS), Independent and Singapore Management University - School of Economics
Downloads 94 (368,680)

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25.

Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior

Cowles Foundation Discussion Paper No. 1842
Number of pages: 32 Posted: 09 Jan 2012
Peter C. B. Phillips, Shuping Shi, Shuping Shi and Jun Yu
Yale University - Cowles Foundation, Macquarie UniversityDepartment of Economics, Macquarie University and Singapore Management University - School of Economics
Downloads 91 (376,321)
Citation 3

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Unit root test, Mildly explosive process, Recursive regression, Size and power

26.

Specification Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles

Hong Kong Institute for Monetary and Financial Research (HKIMR) Research Paper WP No. 17/2011
Number of pages: 32 Posted: 29 Jun 2011
Shuping Shi, Shuping Shi, Peter C. B. Phillips and Jun Yu
Macquarie UniversityDepartment of Economics, Macquarie University, Yale University - Cowles Foundation and Singapore Management University - School of Economics
Downloads 71 (434,220)

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Unit Root Test, Mildly Explosive Process, Recursive Regression, Size, Power

27.

Double Asymptotics for Explosive Continuous Time Models

CAFE Research Paper No. 13.21
Number of pages: 27 Posted: 27 Aug 2013
Xiaohu Wang and Jun Yu
Singapore Management University and Singapore Management University - School of Economics
Downloads 45 (535,810)

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Explosive, Continuous Time, LÈvy Process, Invariance Principle, Double Asymptotics

28.

Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour

Cowles Foundation Discussion Paper No. 2114, Journal of Econometrics, Forthcoming
Number of pages: 49 Posted: 12 Dec 2017 Last Revised: 10 Jan 2022
Yubo Tao, Peter C. B. Phillips and Jun Yu
University of Macau - Department of Economics, Yale University - Cowles Foundation and Singapore Management University - School of Economics
Downloads 44 (540,601)
Citation 3

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Continuous time models, Explosive path, Extreme behaviour, Random coefficient autoregression, Infill asymptotics, Bubble testing

29.

Volatility Puzzle

Number of pages: 39 Posted: 10 Jan 2022
Shuping Shi, Shuping Shi and Jun Yu
Macquarie UniversityDepartment of Economics, Macquarie University and Singapore Management University - School of Economics
Downloads 43 (545,397)

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Long memory; fractional integration; roughness; short-run dynamics; realized volatility

30.

A Posterior-Based Wald-Type Statistic for Hypothesis Testing

Number of pages: 47 Posted: 10 Jun 2018
Yong Li, Xiaobin LIU, Tao Zeng and Jun Yu
Renmin University of China, Singapore Management University - School of Economics, Singapore Management University and Singapore Management University - School of Economics
Downloads 43 (545,397)
Citation 1

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Decision Theory, Hypothesis Testing, Latent Variable Models, Posterior Simulation, Wald Test

31.

A Panel Clustering Approach to Analyzing Bubble Behavior

Cowles Foundation Discussion Paper No. 2323
Number of pages: 123 Posted: 02 Apr 2022
Yanbo Liu, Peter C. B. Phillips and Jun Yu
Singapore Management University, School of Economics, Students, Yale University - Cowles Foundation and Singapore Management University - School of Economics
Downloads 39 (565,347)

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Bubbles, Clustering, Mildly explosive behavior, $k$-means, Latent membership detection

32.

Fractional Stochastic Volatility Model

Number of pages: 23 Posted: 09 Jan 2021 Last Revised: 12 Oct 2021
Shuping Shi, Shuping Shi, Xiaobin Liu and Jun Yu
Macquarie UniversityDepartment of Economics, Macquarie University, School of Economics, Academy of Financial Research, Zhejiang University and Singapore Management University - School of Economics
Downloads 38 (570,453)

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Fractional Brownian motion; stochastic volatility; long memory; variance-covariance matrix; spectral density; rough volatility

33.

Bias in Estimating Multivariate and Univariate Diffusions

Cowles Foundation Discussion Paper No. 1778
Number of pages: 38 Posted: 12 Jan 2011
Xiaohu Wang, Peter C. B. Phillips and Jun Yu
University of Central Florida - Department of Public Administration, Yale University - Cowles Foundation and Singapore Management University - School of Economics
Downloads 37 (575,673)
Citation 2

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Bias, Diffusion, Euler approximation, Trapezoidal approximation, Milstein approximation

34.

Forecasting Realized Volatility Using a Nonnegative Semiparametric Model

Journal of Risk and Financial Management, 2019
Number of pages: 30 Posted: 06 Sep 2019
Anders Eriksson, Daniel P. A. Preve and Jun Yu
J.P. Morgan Chase & Co., Singapore Management University and Singapore Management University - School of Economics
Downloads 24 (655,515)

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Volatility forecasting, Realized volatility, Linear programming estimator, Tukey’s power transformation, Nonlinear nonnegative autoregression, Forecast comparisons

35.

Model Selection for Explosive Models

Advances in Econometrics (Essays in Honour of Cheng Hsiao), Vol 41. Forthcoming
Number of pages: 31 Posted: 17 Mar 2017 Last Revised: 10 Jan 2019
Yubo Tao and Jun Yu
University of Macau - Department of Economics and Singapore Management University - School of Economics
Downloads 20 (684,788)
Citation 1

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Model Selection, Information Criteria, Local-To-Unit-Root Model, Mildly Explosive Model, Unit Root Model, Indirect Inference

36.

Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behavior

Journal of Econometrics, 209(2), 208-237. DOI: 10.1016/j.jeconom.2019.01.002. , The University of Auckland Business School Research Paper Series
Posted: 21 Mar 2022
Yubo Tao, Peter C. B. Phillips and Jun Yu
University of Macau - Department of Economics, Yale University - Cowles Foundation and Singapore Management University - School of Economics

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Continuous time models, Explosive path, Extreme behavior, Random coefficient, autoregression, Infill asymptotics, Bubble testing

37.

Bias in the Estimation of Mean Reversion in Continuous-Time Lévy Processes

Economics Letters, 2015, vol. 134, 16-19.
Posted: 27 Feb 2016
Yong Bao, Aman Ullah, Yun Wang and Jun Yu
Purdue University, University of California, Riverside (UCR) - Department of Economics, University of International Business and Economics (UIBE) and Singapore Management University - School of Economics

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Bias, Mean reversion parameter, Lévy processes

38.

Specification Sensitivity in Right‐Tailed Unit Root Testing for Explosive Behaviour

Oxford Bulletin of Economics and Statistics, Vol. 76, Issue 3, pp. 315-333, 2014
Number of pages: 19 Posted: 24 Apr 2014
Peter C. B. Phillips, Shuping Shi, Shuping Shi and Jun Yu
Yale University - Cowles Foundation, Macquarie UniversityDepartment of Economics, Macquarie University and Singapore Management University - School of Economics
Downloads 0 (875,962)
Citation 7

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