UMDF Chair Professor of Finance and Economics
Chair Professor of Finance and Economics
Dean of Faculty of Business Administration
- Ph.D. (Economics), University of Western Ontario, 1998
- B.Sc. (Mathematics), Wuhan University, 1990
- B.A. (Economics), Wuhan University, 1990
- 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
- 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
- Primary: Financial Econometrics, Econometric Theory, Empirical Asset Pricing
- Secondary: Real Estate Economics and Finance, Empirical Macroeconomics
- LI, J., PHILLIPS, P.C.B., SHI, S., YU, J. Weak Identification of Long Memory with Implications for volatility modelling Review of Financial Studies forthcoming. (ABS4*, FT50, UTD)
- SHI, S., YU, J., ZHANG, C., On the Spectral Density of Fractional Ornstein-Uhlenbeck Processes, Journal of Econometrics, 2024, 245, 05872. (ABS4)
- SHI, S., YU, J., ZHANG, C., ‘Fractional Gaussian Noise: Spectral Density and Estimation Methods‘ (previously titled Finite Sample Comparison of Alternative Estimators for Fractional Gaussian Noise). Journal of Time Series Analysis, forthcoming. (ABS3)
- TANAKA, K., XIAO, W., YU, J., Local Powers of Least-Squares-Based Test for Panel Fractional Ornstein-Uhlenbeck Process (with Katsuto Tanaka and Weilin Xiao) Journal of Time Series Analysis, forthcoming. (ABS3) DOI:10.1111/jtsa.12777
- LIU, X., SHI, S., YU, J., Fractional Stochastic Volatility Model Journal of Time Series Analysis, forthcoming. (ABS3)
- WANG, X., YU, J., ZHANG, C., ‘On the Optimal Forecast with the Fractional Brownian Motion‘, Quantitative Finance, 2024, 24(2), 337-346. https://doi.org/10.1080/14697688.2023.2297730. (ABS3) (data and Matlab code)
- 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)
- 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)
- 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)
- 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)
- 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)
- 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)
- WANG, X., YU, J., ‘Bubble Testing under Polynomial Trends’, Econometrics Journal, 2023, 26(1). 25-44. (ABS3)
- 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)
- 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)
- 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)
- 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)
- JIANG, L., WANG, X., YU, J., ‘In-fill Asymptotic Theory for Structural Break Point in Autoregression’, Econometric Reviews, 2021, 40, 359-386. (ABS3)
- LI, Y., YU, J., ZENG, T., ‘Deviance Information Criterion for Latent Variable Models and Missepecified Models’, Journal of Econometrics, 2020, 216(2), 450493. (ABS4)
- 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)
- XIAO, W., YU, J., ‘Asymptotic Theory for Estimating the Drift Parameters in the Fractional Vasicek Model’, Econometric Theory, 2019, 38, 198-231. (ABS4)
- XIAO, W., YU, J., ‘Asymptotic Theory for Rough Fractional Vasicek Models’, Economics Letters, 2019, 177, 26-29. (ABS3)
- LI, Y., YU, J., ZENG, T., ‘Specification Tests based on MCMC Output’, Journal of Econometrics, 2018, 207, 237-260. (ABS4)
- 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)
- 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)
- WANG, X., YU, J., ‘Double Asymptotics for Explosive Continuous Time Models’, Journal of Econometrics, 2016, 193, 35-53. (ABS4)
- LI, Y, LIU, X, YU, J., ‘A Bayesian Chi-Squared Test for Hypothesis Testing’, Journal of Econometrics, 2015, 189, 54-69. (ABS4)
- 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)
- 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)
- 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)
- 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)
- 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)
- ZHOU, Q., YU, J., ‘Asymptotic Theory for Linear Diffusions under Alternative Sampling Scheme’, Economics Letters, 2015, 128, 1-5. (ABS3)
- WANG, X., YU, J., ‘Limit Theory for an Explosive Autoregressive Process’, Economics Letters, 2015, 126, 176-180. (ABS3)
- 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)
- KLEPPE, T.S., YU, J., SKAUG, H., ‘Simulated Maximum Likelihood Estimation for Latent Diffusion Models’, Journal of Econometrics, 2014, 180, 73-80. (ABS4)
- LI, Y., ZENG, T., YU, J., ‘A New Approach to Bayesian Hypothesis Testing’, Journal of Econometrics, 2014, 178, 602-612. (ABS4)
- 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)
- 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)
- SKAUG, H., YU, J., ‘Automatic Likelihood Analysis of Stochastic Volatility Models’, Computational Statistics and Data Analysis, 2014, 76, 642-654. (ABS3)
- YU, J., ‘Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models’, Journal of Econometrics, 2012, 169, 114-122. (ABS4)
- YU, J., ‘A Semiparametric Stochastic Volatility Model’, Journal of Econometrics, 2012, 167, 473-482. (ABS4)
- LI, Y., YU, J., ‘Bayesian Hypothesis Testing in Latent Variable Models’, Journal of Econometrics, 2012, 166, 237-246. (ABS4)
- PHILLIPS, P.C.B., YU, J., ‘Dating the Timeline of Financial Bubbles during the Subprime Crisis’, Quantitative Economics, 2011, 2, 455-491. (ABS4)
- WANG, X., PHILLIPS, P.C.B., YU, J., ‘Bias in Estimating Multivariate and Univariate Diffusions’, Journal of Econometrics, 2011, 161, 228-245. (ABS4)
- 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)
- 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)
- 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)
- GOURIEROUX, C., PHILLIPS, P.C.B., YU, J., ‘Indirect Inference for Dynamic Panel Models’, Journal of Econometrics, 2010, 157, 68-77. (ABS4)
- PHILLIPS, P.C.B., YU, J., ‘Simulation-based Estimation of Contingent-claims Prices’, Review of Financial Studies, 2009, 22, 3669-3705. (ABS4*, FT50, UTD)
- 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)
- ASAI, M., McALEER, M., YU, J., ‘Multivariate Stochastic Volatility: A Review’, Econometric Reviews, 2006, 25, 145-175. (ABS3)
- 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)
- PHILLIPS, P.C.B., YU, J., ‘Realized Variance and Microstructure Noise -Comment’, Journal of Business & Economic Statistics, 2006, 24, 202-208. F(ABS4)
- YU, J., MEYER, R., ‘Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison’, Econometric Reviews, 2006, 25, 361-384. (ABS3)
- YU, J., ‘On Leverage in a Stochastic Volatility Model’, Journal of Econometrics, 2005, 127, 165-178. (ABS4)
- PHILLIPS, P.C.B., YU, J., ‘Jackknifing Bond Option Prices’, Review of Financial Studies, 2005, 18, 707-742. (ABS4*, FT50, UTD)
- BERG, A., MEYER, R., YU. J., ‘Deviance Information Criterion for Comparing Stochastic Volatility Models’, Journal of Business & Economic Statistics, 2004, 22, 107-120. (ABS4)
- YU, J., ‘Empirical Characteristic Function Estimation and Its Applications’, Econometric Reviews, 2004, 23, 93-123. (ABS3)
- TSE, Y.K., ZHANG, X.B., YU, J., ‘Estimation of Hyperbolic Diffusion using MCMC Method’, Quantitative Finance, 2004, 4, 158-169. (ABS3)
- KNIGHT, J., YU, J., ‘Empirical Characteristic Function in Time Series Estimation’, Econometric Theory, 2002, 18, 691-721. (ABS4)
- 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)
- MEYER, R., YU, J., ‘BUGS for a Bayesian Analysis of Stochastic Volatility Models’, Econometrics Journal, 2000, 3, 198-215. (ABS3)
- Testing for an Explosive Bubble using High-Frequency Volatility (with Peter Boswijk and Yang Zu)
- Testing Predictability in the Presence of Persistent Errors (with Yijie Fei, Yiu Lim Lui)
- The Time-varying Zone-like and Asymmetric Preference of Central Banks: Evidence from China (with Chuanglian Chen, Xiaobin Liu, Tao Zeng)
- A Note on AIC and TIC for Model Selection (with Yong Li, Zhou Wu and Tao Zeng)
- 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)
- A Quantile-based Asset Pricing Model (with Tomohiro Ando, Jushan Bai and Mitohide Nishimura)
- Boosting Store Sales Through Machine Learning-Informed Promotional Decisions (with Yue Qiu, Wenbin Wang, Tian Xie, Xinyu Zhang)
- Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods in Time Series Data (with Peter Phillips)
- Shrinkage Estimation of Covariance Matrix for Portfolio Choice with High Frequency Data (with Cheng Liu and Ningning Xia)
- Deviance Information Criterion for Model Selection: Theoretical Justification and Applications (with Yong Li, Nianling Wang and Tao Zeng)
- Hypothesis Testing via Posterior-Test-Based Bayes Factors (with Yong Li, Nianling Wang and Yonghui Zhang)
- Asymptotic Theory for Explosive Fractional Ornstein-Uhlenbeck Processes (with Hui Jiang, Yajuan Pan, Weilin Xiao, Qingshan Yang)
- Multivariate Stochastic Volatility Models based on Generalized Fisher Transformation (with Yijie Fei and Han Chen)
- HURN, S, MARTIN, , PHILLIPS, P.C.B., YU, J., ‘Financial Econometric Modeling’, Oxford University Press, 2020, 640 pages
- “Innovation Offers Strategic opportunities for property sector”, The Business Times, September 30, 2014
- “资产泡沫的预警系统”, 2014 年 9 月 30 日, 联合早报
- “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
- “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
- “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
- “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
- “US Economy and QE3”, February 2, 2012, Channel 8, http://www.smu.edu.sg/institutes/skbife/archive/media12.asp
- “Euro Debt Crisis”, December 8, 2011, Channel 8, http://www.smu.edu.sg/institutes/skbife/archive/media11.asp
- “New Tool to Help Inflation Forecasts”, January 11, 2012, Straits Times
- “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
- “New Index Tracks Inflation Expectations”, January 11, 2012, The Business Times
- “MasterCard and Singapore Management University Launch Singapore Inflation Index”, January 11, 2012, Singapore Business Review
- “New Singapore Inflation Index Launched”, January 10, 2012, AsiaOne
- “MasterCard and Singapore Management University Launch New Singapore Inflation Index”, January 11, 2012, The Financial