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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417

CROSSREF CITATIONS

334

Scholarly Papers (38)

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1.

Testing for Multiple Bubbles

Downloads 1,353 (25,741)
Citation 10

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
University of Auckland Business School, Macquarie UniversityDepartment of Economics, Macquarie University and Singapore Management University - School of Economics
Downloads 1,209 (29,870)
Citation 23

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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
University of Auckland Business School, Macquarie UniversityDepartment of Economics, Macquarie University and Singapore Management University - School of Economics
Downloads 144 (345,533)
Citation 22

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

2.

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
University of Auckland Business School, Macquarie UniversityDepartment of Economics, Macquarie University and Singapore Management University - School of Economics
Downloads 786 (55,472)
Citation 109

Abstract:

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

3.

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 719 (62,501)
Citation 5

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

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
University of Auckland Business School and Singapore Management University - School of Economics
Downloads 712 (63,445)
Citation 41

Abstract:

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

5.

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, University of Auckland Business School and Singapore Management University - School of Economics
Downloads 505 (97,391)
Citation 5

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

6.

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 465 (107,577)
Citation 4

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

7.

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

Downloads 256 (108,379)
Citation 70

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
University of Auckland Business School, Rutgers University, Newark - School of Business - Department of Finance & Economics and Singapore Management University - School of Economics
Downloads 256 (205,004)
Citation 25

Abstract:

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

8.

Empirical Characteristic Function Estimation and its Applications

Number of pages: 39 Posted: 31 May 2004
Jun Yu
Singapore Management University - School of Economics
Downloads 394 (130,432)
Citation 12

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

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 347 (150,093)
Citation 38

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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 332 (157,373)

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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 University of Auckland Business School
Downloads 310 (169,327)

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Gaussian Estimation, Nonlinear Diffusion, Normalizing Transformation

12.

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 267 (197,460)
Citation 20

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

13.

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 260 (202,704)
Citation 7

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

14.

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
University of Auckland Business School and Singapore Management University - School of Economics
Downloads 254 (207,510)
Citation 5

Abstract:

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

15.

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
University of Auckland Business School, Macquarie UniversityDepartment of Economics, Macquarie University and Singapore Management University - School of Economics
Downloads 251 (209,911)
Citation 30

Abstract:

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

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
University of Auckland Business School and Singapore Management University - School of Economics
Downloads 238 (221,084)
Citation 4

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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 219 (239,420)

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Parameter Learning, Markov Switching, MCMC

18.

On Stiffness in Affine Asset Pricing Models

Downloads 200 (260,269)

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 200 (259,725)
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.

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, University of Auckland Business School and Singapore Management University - School of Economics
Downloads 166 (306,499)
Citation 50

Abstract:

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

20.

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
University of Auckland Business School and Singapore Management University - School of Economics
Downloads 165 (308,097)
Citation 1

Abstract:

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

21.

Simulation-Based Estimation of Contingent-Claims Prices

Downloads 157 (321,377)

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
University of Auckland Business School and Singapore Management University - School of Economics
Downloads 157 (321,577)

Abstract:

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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
University of Auckland Business School and Singapore Management University - School of Economics

Abstract:

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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 144 (344,912)
Citation 28

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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
University of Auckland Business School and Singapore Management University - School of Economics
Downloads 134 (364,792)
Citation 2

Abstract:

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

24.

Weak Identification of Long Memory with Implications for Inference

Number of pages: 40 Posted: 27 Jun 2022
Jia Li, Peter C. B. Phillips, Shuping Shi, Shuping Shi and Jun Yu
Singapore Management University, University of Auckland Business School, Macquarie UniversityDepartment of Economics, Macquarie University and Singapore Management University - School of Economics
Downloads 132 (373,340)
Citation 1

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Realized volatility; Weak identification; Disjoint confidence sets; Trading volume; Long memory

25.

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, University of Auckland Business School and Singapore Management University - School of Economics
Downloads 112 (416,932)

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

26.

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
University of Auckland Business School, Macquarie UniversityDepartment of Economics, Macquarie University and Singapore Management University - School of Economics
Downloads 109 (425,231)
Citation 6

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

27.

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 105 (436,724)

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28.

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, Zhejiang University - College of Economics and Singapore Management University - School of Economics
Downloads 77 (531,502)

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

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 76 (535,546)

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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 69 (564,786)
Citation 1

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

31.

Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour

Cowles Foundation Discussion Paper No. 2114, Journal of Econometrics, 209(2), 208-237. https://doi.org/10.1016/j.jeconom.2019.01.002.
Number of pages: 49 Posted: 12 Dec 2017 Last Revised: 12 May 2023
Yubo Tao, Peter C. B. Phillips and Jun Yu
University of Macau - Department of Economics, University of Auckland Business School and Singapore Management University - School of Economics
Downloads 63 (591,994)
Citation 2

Abstract:

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

32.

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 61 (601,681)

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

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, University of Auckland Business School and Singapore Management University - School of Economics
Downloads 58 (616,919)
Citation 2

Abstract:

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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 44 (696,480)

Abstract:

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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. pp. 73-103. https://doi.org/10.1108/S0731-905320200000041003
Number of pages: 31 Posted: 17 Mar 2017 Last Revised: 10 May 2023
Yubo Tao and Jun Yu
University of Macau - Department of Economics and Singapore Management University - School of Economics
Downloads 34 (765,672)
Citation 1

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

36.

Boosting Store Sales Through Machine Learning-Informed Promotional Decisions

Number of pages: 75 Posted: 16 Nov 2023
Yue Qiu, Wenbin Wang, Tian Xie, Jun Yu and Xinyu Zhang
Shanghai University of International Business and Economics, Shanghai University of Finance and Economics, Shanghai University of Finance and Economics - College of Business, Singapore Management University - School of Economics and Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences
Downloads 6 (1,015,303)

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machine learning, model uncertainty, model averaging, fashion sales forecasting, promotion evaluation

37.

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, University of Auckland Business School and Singapore Management University - School of Economics

Abstract:

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

38.

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