Faculty Profile

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Education

Current Position(s) Held

Awards, Recognition and Honors

• Lee Kuan Yew Fellow for Research Excellence, Singapore Management University, 2009-2010
• Lee Kuan Yew Fellow for Research Excellence, Singapore Management University, 2004-2005
• Research Excellence Award at the University of Auckland , 2002
• Marsden Award of the Royal Society of New Zealand , 2001
• The A R Bergstrom Prize in Econometrics, 1999
• T.M. Browns Ph.D. Thesis Prize at the University of Western Ontario , 1998

Research Interests

• Financial Econometrics
• Asset Pricing
• Econometric Theory

Journal Articles (Refereed)

1. LI, Y., WANG, N., YU, J., ‘Improved Marginal Likelihood Estimation via Power Posteriors and Importance Sampling’, Journal of Econometrics, forthcoming.
2. LIU, X., LI, Y, YU, J., ZENG, T., ‘A Posterior-Based Wald-Type Statistic for Hypothesis Testing’, Journal of Econometrics, forthcoming.
3. WANG, X., XIAO, W., YU, J., ‘Modeling and Forecasting Realized Volatility with the Fractional Ornstein-Uhlenbeck Process’ , Journal of Econometrics, forthcoming.
4. LUI, Y., XIAO, W., and YU, J., ‘The Grid Bootstrap for Continuous Time Models’, Journal of Business & Economic Statistics, forthcoming.
5. LI, Y., ZENG, T., YU, J., ‘Deviance Information Criterion for Latent Variable Models and Missepecified Models’. Journal of Econometrics, 2020, 216(2), 450-493.
6. QIU, Y., XIE, T., YU, J. ZHOU, Q., ‘Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks’, Journal of Financial Econometrics, 2020, forthcoming
7. TAO, Y., PHILLIPS, P.C.B., YU, J., ‘Random Coefficient Continuous Systems: Testing for Unstable and Explosive Behaviour’, Journal of Econometrics, 2019, 208-237.
8. LI, Y., YU, J., ZENG, T., ‘Hypothesis Testing, Specification Testing and Model Selection Based on the MCMC Output using R’, Handbook of Statistics, 2019, Vol 41, Chapter 4, 81-115.
9. XIAO, W., YU, J., ‘Asymptotic Theory for Estimating the Drift Parameters in the Fractional Vasicek Model’, Econometric Theory, 2019, 38, 198-231.
10. LI, Y., YU, J., ZENG, T., ‘Specification Tests based on MCMC Output’. Journal of Econometrics, 2018, 207, 237-260.
11. JIANG, L., WANG, X., YU, J., ‘New Distribution Theory for the Estimation of Structural Break Point in Mean’. Journal of Econometrics, 2018, 205, 156-176.
12. PHILLIPS, P.C.B., CHEN, Y., YU, J., ‘Limit Theory for Continuous Time Systems with Mildly Explosive Regression’, Journal of Econometrics, 2017, 201, 400-416.
13. WANG, X., YU, J., ‘Double Asymptotics for Explosive Continuous Time Models’, Journal of Econometrics, 2016, 193, 35-53.
14. LI, Y, LIU, X, YU, J., ‘A Bayesian Chi-Squared Test for Hypothesis Testing’, Journal of Econometrics, 2015, 189, 54-69.
15. PHILLIPS, P.C.B., SHI, S., YU, J., ‘Testing Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500’, International Economic Review, 2015, 56(4), 1043-1078.
16. PHILLIPS, P.C.B., SHI, S., YU, J., ‘Testing Multiple Bubbles: Limit Theory of Real Time Detectors’, International Economic Review, 2015, 56(4), 1079-1134.
17. FULOP, A., LI, J., YU, J., ‘Self-Exciting Jumps, Learning, and Asset Pricing Implications’. Review of Financial Studies, 2015, 28(3), 876-912.
18. KLEPPE, T.S., YU, J., SKAUG, H., ‘Simulated Maximum Likelihood Estimation for Latent Diffusion Models’. Journal of Econometrics, 2014, 180, 73-80.
19. LI, Y., ZENG, T., YU, J., ‘A New Approach to Bayesian Hypothesis Testing’, Journal of Econometrics, 2014, 178, 602-612.
20. YU, J., ‘Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models’, Journal of Econometrics, 2012, 169, 114-122.
21. YU, J., ‘A Semiparametric Stochastic Volatility Model’, Journal of Econometrics, 2012, 167, 473-482.
22. LI, Y., YU, J., ‘Bayesian Hypothesis Testing in Latent Variable Models’, Journal of Econometrics, 2012, 166, 237-246.
23. PHILLIPS, P.C.B., YU, J., ‘Dating the Timeline of Financial Bubbles during the Subprime Crisis’, Quantitative Economics, 2011, 2, 455-491.
24. WANG, X., PHILLIPS, P.C.B., YU, J., ‘Bias in Estimating Multivariate and Univariate Diffusions’, Journal of Econometrics, 2011, 161, 228-245.
25. PHILLIPS, P.C.B., WU, Y., YU, J., ‘Explosive Behavior and the Nasdaq Bubble in the 1990s: When Does Irrational Exuberance Have Escalated Asset Values?’ International Economic Review, 2011, 52, 201-226.
26. GOURIEROUX, C., PHILLIPS, P.C.B., YU, J., ‘Indirect Inference for Dynamic Panel Models’, Journal of Econometrics, 2010, 157, 68-77.
27. PHILLIPS, P.C.B., YU, J., ‘Simulation-based Estimation of Contingent-claims Prices’, Review of Financial Studies, 2009, 22, 3669-3705.
28. PHILLIPS, P.C.B., YU, J., ‘A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete Data’, Journal of Econometrics, 2009, 150, 139-150.
29. PHILLIPS, P.C.B., YU, J., ‘Realized Variance and Microstructure Noise -- Comment’, Journal of Business & Economic Statistics, 2006, 24, 202-208.
30. PHILLIPS, P.C.B., YU, J., ‘Comments: A Selective Overview of Nonparametric Methods in Financial Econometrics’, Statistical Science, 2005, 20, 338-357.
31. YU, J., ‘On Leverage in a Stochastic Volatility Model’, Journal of Econometrics, 2005, 127, 165-178.
32. PHILLIPS, P.C.B., YU, J., ‘Jackknifing Bond Option Prices’, Review of Financial Studies, 2005, 18, 707-742.
33. BERG, A., MEYER, R., YU. J., ‘Deviance Information Criterion for Comparing Stochastic Volatility Models’, Journal of Business & Economic Statistics

Textbook

• HURN, S., MARTIN, V., PHILLIPS, P.C.B., YU, J., Financial Econometric Modelling, Oxford University Press, 2020, 640 pages

Research Advisor/ Co-research Advisor to

• KE Shuyao
• CHEN Yaohan

Past Doctoral Students Supervised

• Yinyu He, CKGSB-SMU DBA
• Gang Sun, CKGSB-SMU DBA
• Guangyu Wang, CKGSB-SMU DBA
• Fang Chao, CKGSB-SMU DBA
• Su Zhituan, CKGSB-SMU DBA
• Han Chen, PhD in Economics
• Yijie Fei, PhD in Economics
• Yiu Lim Lui, PhD in Economics
• Xueying Bian, PhD in Economics
• Yajie Zhang, PhD in Economics
• Yubo Tao, PhD in Economics
• Yanbo Liu, PhD in Economics
• Xiaohu Wang, PhD in Economics
• Tao Zeng, PhD in Economics
• Ye Chen, PhD in Economics
• Liang Jiang, PhD in Economics
• Xiaobin Liu, PhD in Economics
• Ming Zeng, PhD in Economics