Email

junyu@um.edu.mo

Tel

+853 8822-4716

Office

E22-4047
Faculty of Business Administration
University of Macau, E22
Avenida da Universidade,
Taipa, Macau, China

Google Citations

https://scholar.google.com/citations?hl=en&user=bGGyV5IAAAAJ&view_op=list_works

A Book in Honor of me forthcoming at CUP

Textbook

My textbook “Financial Econometric Modeling” (order it from OUP, Amazon, or Book Depository)

Editorial Service

1. Journal of Econometrics
2. Econometric Theory

UMDF Chair Professor of Finance and Economics
Chair Professor of Finance and Economics
Dean of Faculty of Business Administration

Education

  • Ph.D. (Economics), University of Western Ontario, 1998
  • B.Sc. (Mathematics), Wuhan University, 1990
  • B.A. (Economics), Wuhan University, 1990

Past Regular Positions Held

  • Lee Kong Chian Professor of Economics and Finance, School of Economics and Lee Kong Chian School of Business, Singapore Management University,  2016 – 2023
  • Lead PI, Centre for Research on the Economics of Ageing, 2014-2020
  • Director, Sim Kee Boon Institute for Financial Economics, 2011-2013
  • Co-Director, Centre for Financial Econometrics, Sim Kee Boon Institute for Financial Economics, 2010-2013
  • Professor of Economics and Finance, Singapore Management University, 2011-2016
  • Professor of Economics, School of Economics, Singapore Management University, 2009-2011
  • Deputy Director (Academic), Sim Kee Boon Institute for Financial Economics, 2008- 2010
  • Deputy Director, Centre for Financial Econometrics, Sim Kee Boon Institute for Financial Economics, 2008-2009
  • Associate Professor of Economics, Singapore Management University, 2004-2008
  • Senior Lecturer, Department of Economics, University of Auckland (tenured), 2002- 2003
  • Lecturer, Department of Economics, University of Auckland, 1998-2001

Awards

  • Fellow, Journal of Econometrics, 2011
  • Inaugural Fellow, Society of Financial Econometrics (SoFiE), 2012
  • Chang Jiang Scholar, Ministry of Education of China, 2017-2019
  • Certificate for Highly Cited Research, Journal of Asian Economics, 2016
  • Outstanding Referee, Journal of Economic and Dynamic Control, 2012
  • Nominee, Teaching Excellence in Postgraduate Professional Programmes Award, Singapore Management University, 2021
  • Lee Kuan Yew Fellow for Research Excellence, Singapore Management University, 2010
  • Lee Kuan Yew Fellow for Research Excellence, Singapore Management University, 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
  • M. Browns Ph.D. Thesis Prize at the University of Western Ontario, 1998
  • Doctoral Fellowship of Social Sciences and Humanities Research Council of Canada (SSHRC), 1997
  • Doctoral Scholarship of Natural Sciences and Engineering Research Council of Canada (NSERC), 1997
  • Ontario Graduate Scholarship, 1997
  • Sir Arthur Currie Memorial Scholarship at the University of Western Ontario, 1995
  • Special University Scholarship at the University of Western Ontario, 1993-1998
  • Graduate Tuition Scholarship at the University of Western Ontario, 1994-1998
  • Undergraduate Fellowship, Wuhan University, 1990

Research Interests

  • Primary: Financial Econometrics, Econometric Theory, Empirical Asset Pricing
  • Secondary: Real Estate Economics and Finance, Empirical Macroeconomics

Selected Journal Articles

  1. WANG, X., YU, J., ZHANG, C., ‘On the Optimal Forecast with the Fractional Brownian Motion‘, Quantitative Finance, forthcoming. https://doi.org/10.1080/14697688.2023.2297730. (ABS3) (data and Matlab code)
  2. LUI, Y.L., PHILLIPS, P.C.B., YU, J., ‘Robust Testing for Explosive Behavior with Strongly Dependent Errors’, Journal of Econometrics, 2024,  238, 105626. https://doi.org/10.1016/j.jeconom.2023.105626. (ABS4)
  3. LIU, Y., PHILLIPS, P.C.B., YU, J., ‘A Panel Clustering Approach to Analysing Bubble Behaviour’, International Economic Review, 2023, 64(4), 1347-1395. https://doi.org/10.1111/iere.12647. (ABS4)
  4. SHI, S., YU, J., ‘Volatility Puzzle: Long Memory or Anti-persistency’, Management Science, 2023, 69(7), 3861-3883. https://doi.org/10.1287/mnsc.2022.4552. (ABS4*, FT50, UTD)
  5. WANG, X., YU, J., ‘Latent Local-to-unity Models’. Econometric Reviews, 2023, 42(7), 586-611. http://dx.doi.org/10.1080/07474938.2023.2215034 (ABS3)
  6. LI, Y., WANG, N., YU, J., ‘Improved Marginal Likelihood Estimation via Power Posteriors and Importance Sampling’, Journal of Econometrics, 2023, 234, 28-52. https://doi.org/10.1016/j.jeconom.2021.11.009 (ABS4)
  7. WANG, X., XIAO, W., YU, J., ‘Modeling and Forecasting Realized Volatility with the Fractional Ornstein-Uhlenbeck Process’, Journal of Econometrics, 2023, 232, 389-415. https://doi.org/10.1016/j.jeconom.2021.08.001 (ABS4)
  8. WANG, X., YU, J., ‘Bubble Testing under Polynomial Trends’, Econometrics Journal, 2023, 26(1). 25-44. (ABS3)
  9. LIU, X., LI, Y, YU, J., ZENG, T., ‘A Posterior-Based Wald-Type Statistic for Hypothesis Testing’, Journal of Econometrics, 2022, 230, 83-113. (ABS4)
  10. LUI, Y., XIAO, W., and YU, J., ‘The Grid Bootstrap for Continuous Time Models’, Journal of Business & Economic Statistics, 2022, 40(3), 1390-1402. (ABS4)
  11. QIU, Y., XIE, T., YU, J. ZHOU, Q., ‘Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks’, Journal of Financial Econometrics, 2022, 20(1), 160-186. (ABS3)
  12. LUI, LUI, Y., XIAO, W., and YU, J., ‘Mild-explosive and Local-to-mild-explosive Autoregressions with Serially Correlated Errors’, Oxford Bulletin of Economics and Statistics, 2021, 83(2), 518-539. (ABS3)
  13. JIANG, L., WANG, X., YU, J., ‘In-fill Asymptotic Theory for Structural Break Point in Autoregression’, Econometric Reviews, 2021, 40, 359-386. (ABS3)
  14. LI, Y., YU, J., ZENG, T., ‘Deviance Information Criterion for Latent Variable Models and Missepecified Models’, Journal of Econometrics, 2020, 216(2), 450493. (ABS4)
  15. TAO, Y., PHILLIPS, P.C.B., YU, J., ‘Random Coefficient Continuous Systems: Testing for Unstable and Explosive Behaviour’, Journal of Econometrics, 2019, 208- 237. (ABS4)
  16. XIAO, W., YU, J., ‘Asymptotic Theory for Estimating the Drift Parameters in the Fractional Vasicek Model’, Econometric Theory, 2019, 38, 198-231. (ABS4)
  17. XIAO, W., YU, J., ‘Asymptotic Theory for Rough Fractional Vasicek Models’, Economics Letters, 2019, 177, 26-29. (ABS3)
  18. LI, Y., YU, J., ZENG, T., ‘Specification Tests based on MCMC Output’, Journal of Econometrics, 2018, 207, 237-260. (ABS4)
  19. 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. (ABS4)
  20. 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. (ABS4)
  21. WANG, X., YU, J., ‘Double Asymptotics for Explosive Continuous Time Models’, Journal of Econometrics, 2016, 193, 35-53. (ABS4)
  22. LI, Y, LIU, X, YU, J., ‘A Bayesian Chi-Squared Test for Hypothesis Testing’, Journal of Econometrics, 2015, 189, 54-69. (ABS4)
  23. 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. (ABS4)
  24. 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. (ABS4)
  25. PHILLIPS, P.C.B., SHI, S., YU, J., ‘Supplement to Two Papers on Multiple Bubbles’, International Economic Review, Online Supplementary Material, 2015, 56(4). (ABS4)
  26. JIANG, L., PHILLIPS, P.C.B., YU, J., ‘New Methodology for Constructing Real Estate Price Indices Applied to the Singapore Residential Market’, Journal of Banking and Finance, 2015, 61, S121-S131. (ABS3)
  27. FULOP, A., LI, J., YU, J., ‘Self-Exciting Jumps, Learning, and Asset Pricing Implications’, Review of Financial Studies, 2015, 28(3), 876-912. (ABS4*, FT50, UTD)
  28. ZHOU, Q., YU, J., ‘Asymptotic Theory for Linear Diffusions under Alternative Sampling Scheme’, Economics Letters, 2015, 128, 1-5. (ABS3)
  29. WANG, X., YU, J., ‘Limit Theory for an Explosive Autoregressive Process’, Economics Letters, 2015, 126, 176-180. (ABS3)
  30. BAO, Y., ULLAH, A., WANG, Y., YU, J., ‘Bias in the Estimation of Mean Reversion in Continuous-Time Levy Processes’, Economics Letters, 2015, 134, 1619. (ABS3)
  31. KLEPPE, T.S., YU, J., SKAUG, H., ‘Simulated Maximum Likelihood Estimation for Latent Diffusion Models’, Journal of Econometrics, 2014, 180, 73-80. (ABS4)
  32. LI, Y., ZENG, T., YU, J., ‘A New Approach to Bayesian Hypothesis Testing’, Journal of Econometrics, 2014, 178, 602-612. (ABS4)
  33. PHILLIPS, P.C.B., SHI, S., YU, J., ‘Specification Sensitivity in the Right-tailed Unit Root Testing for Explosive Behaviour’, Oxford Bulletin of Economics and Statistics, 2014, 76, 315-333. (ABS3)
  34. YU, J., ‘Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips’ Work and Some New Results’, Econometric Theory, 2014, 30, 737-774. (ABS4)
  35. SKAUG, H., YU, J., ‘Automatic Likelihood Analysis of Stochastic Volatility Models’, Computational Statistics and Data Analysis, 2014, 76, 642-654. (ABS3)
  36. YU, J., ‘Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models’, Journal of Econometrics, 2012, 169, 114-122. (ABS4)
  37. YU, J., ‘A Semiparametric Stochastic Volatility Model’, Journal of Econometrics, 2012, 167, 473-482. (ABS4)
  38. LI, Y., YU, J., ‘Bayesian Hypothesis Testing in Latent Variable Models’, Journal of Econometrics, 2012, 166, 237-246. (ABS4)
  39. PHILLIPS, P.C.B., YU, J., ‘Dating the Timeline of Financial Bubbles during the Subprime Crisis’, Quantitative Economics, 2011, 2, 455-491. (ABS4)
  40. WANG, X., PHILLIPS, P.C.B., YU, J., ‘Bias in Estimating Multivariate and Univariate Diffusions’, Journal of Econometrics, 2011, 161, 228-245. (ABS4)
  41. PHILLIPS, P.C.B., YU, J., ‘Corrigendum to “A Gaussian Approach for Continuous Time Models of the Short Term Interest Rate”‘, Econometrics Journal, 2011, 14, 216- 219. (ABS3)
  42. 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. (ABS4)
  43. HUANG, S., YU, J., ‘Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises’, Journal of Economic Dynamics and Control, 2010, 34, 2259- 2272. (ABS3)
  44. GOURIEROUX, C., PHILLIPS, P.C.B., YU, J., ‘Indirect Inference for Dynamic Panel Models’, Journal of Econometrics, 2010, 157, 68-77. (ABS4)
  45. PHILLIPS, P.C.B., YU, J., ‘Simulation-based Estimation of Contingent-claims Prices’, Review of Financial Studies, 2009, 22, 3669-3705. (ABS4*, FT50, UTD)
  46. 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. (ABS4)
  47. ASAI, M., McALEER, M., YU, J., ‘Multivariate Stochastic Volatility: A Review’, Econometric Reviews, 2006, 25, 145-175. (ABS3)
  48. YU, J., YANG, Z., ZHANG, X.B., ‘A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options’, Computational Statistics and Data Analysis, 2006, 51, 2218-2231. (ABS3)
  49. PHILLIPS, P.C.B., YU, J., ‘Realized Variance and Microstructure Noise -Comment’, Journal of Business & Economic Statistics, 2006, 24, 202-208. F(ABS4)
  50. YU, J., MEYER, R., ‘Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison’, Econometric Reviews, 2006, 25, 361-384. (ABS3)
  51. YU, J., ‘On Leverage in a Stochastic Volatility Model’, Journal of Econometrics, 2005, 127, 165-178. (ABS4)
  52. PHILLIPS, P.C.B., YU, J., ‘Jackknifing Bond Option Prices’, Review of Financial Studies, 2005, 18, 707-742. (ABS4*, FT50, UTD)
  53. BERG, A., MEYER, R., YU. J., ‘Deviance Information Criterion for Comparing Stochastic Volatility Models’, Journal of Business & Economic Statistics, 2004, 22, 107-120. (ABS4)
  54. YU, J., ‘Empirical Characteristic Function Estimation and Its Applications’, Econometric Reviews, 2004, 23, 93-123. (ABS3)
  55. TSE, Y.K., ZHANG, X.B., YU, J., ‘Estimation of Hyperbolic Diffusion using MCMC Method’, Quantitative Finance, 2004, 4, 158-169. (ABS3)
  56. KNIGHT, J., YU, J., ‘Empirical Characteristic Function in Time Series Estimation’, Econometric Theory, 2002, 18, 691-721. (ABS4)
  57. YU, J., PHILLIPS, P.C.B., ‘A Gaussian Approach for Continuous Time Models of Short Term Interest Rates’, Econometrics Journal, 2001, 4, 211-225. (ABS3)
  58. MEYER, R., YU, J., ‘BUGS for a Bayesian Analysis of Stochastic Volatility Models’, Econometrics Journal, 2000, 3, 198-215. (ABS3)

Working Papers

  1. Weak Identification of Long Memory with Implications for volatility modelling  (with Jia Li, Peter Phillips, Shuping Shi)  previously entitled Weak Identification of Long Memory with Implications for Inference
  2. Fractional Gaussian Noise: Spectral Density and Estimation Methods (previously titled Finite Sample Comparison of Alternative Estimators for Fractional Gaussian Noise) (with Shuping Shi and Chen Zhang)
  3. Fractional Stochastic Volatility Model (with Xiaobin Liu and Shuping Shi)
  4. Local Powers of Least-Squares-Based Test for Panel Fractional Ornstein-Uhlenbeck Process (with Katsuto Tanaka and Weilin Xiao)
  5. Econometric Methods and Data Science Techniques: A Review of Two Strands of Literature and an Introduction to Hybrid Methods (with Tian Xie and Tao Zeng)
  6. A Quantile-based Asset Pricing Model (with Tomohiro Ando, Jushan Bai and Mitohide Nishimura)
  7. Boosting Store Sales Through Machine Learning-Informed Promotional Decisions  (with Yue Qiu, Wenbin Wang, Tian Xie, Xinyu Zhang)
  8. Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods in Time Series Data (with Peter Phillips)
  9. Shrinkage Estimation of Covariance Matrix for Portfolio Choice with High Frequency Data (with Cheng Liu and Ningning Xia)
  10. Deviance Information Criterion for Model Selection: Theoretical Justification and Applications  (with Yong Li, Nianling Wang and Tao Zeng)
  11. Hypothesis Testing via Posterior-Test-Based Bayes Factors (with Yong Li, Nianling Wang and Yonghui Zhang)
  12. Asymptotic Theory for Explosive Fractional Ornstein-Uhlenbeck Processes (with Hui Jiang, Yajuan Pan, Weilin Xiao, Qingshan Yang)
  13. On the Spectral Density of Fractional Ornstein-Uhlenbeck Processes (with Shuping Shi and Chen Zhang)
  14. Multivariate Stochastic Volatility Models based on Generalized Fisher Transformation (with Yijie Fei and Han Chen)

Book Publication

  1. HURN, S, MARTIN, , PHILLIPS, P.C.B., YU, J., ‘Financial Econometric Modeling’, Oxford University Press, 2020, 640 pages

Media/Press Coverage

  1. “Innovation Offers Strategic opportunities for property sector”, The Business Times, September 30, 2014
  2. “资产泡沫的预警系统”, 2014 年 9 月 30 日, 联合早报
  3. “新大拟推出新指数 更全面反映本地私宅走势”, 2013 年 5 月 8 日, 联合早报
  4. “新大拟推出新指数 更全面反映本地私宅走势”, 2013 年 5 月 10 日, 中国新加坡经贸合作网
  5. “中国本科教育水平偏高学生能吃苦”, 2013 年 4 月, 新华网, 人民网, 上海教育新闻网, 中国经济网, 新浪网, 国务院新闻办公室, 捷讯网, 新华网, 中国青年网, 中国网, 中国新闻网, 凤凰网, 京报网, 新浪网
  6. “外国学者不认为中国学生到海外读研是中国人才流失”, 2013 年 4 月 14 日, 人民网
  7. “US Economy and QE3”, February 2, 2012, Channel 8, http://www.smu.edu.sg/institutes/skbife/archive/media12.asp
  8. “Euro Debt Crisis”, December 8, 2011, Channel 8, http://www.smu.edu.sg/institutes/skbife/archive/media11.asp
  9. “New Tool to Help Inflation Forecasts”, January 11, 2012, Straits Times
  10. “两项新指数推出可预测一与五年通胀”, 2012 年 1 月 11 日, 联合早报
  11. “New Index Tracks Inflation Expectations”, January 11, 2012, The Business Times
  12. “MasterCard and Singapore Management University Launch Singapore Inflation Index”, January 11, 2012, Singapore Business Review
  13. “New Singapore Inflation Index Launched”, January 10, 2012, AsiaOne
  14. “MasterCard and Singapore Management University Launch New Singapore Inflation Index”, January 11, 2012, The Financial