Search Results

On Leverage in a Stochastic Volatility Model,
Jun Yu, from Singapore Management University, School of Economics (2004)
Keywords: Bayes factors; Leverage effect; Markov chain Monte Carlo; Nonlinear state space models; Quasi maximum likelihood.

Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models,
Jun Yu, from Singapore Management University, School of Economics (2009)
Keywords: Least squares, Maximum likelihood, Discrete sampling, Continuous record, Near unit root.

Simulation-based Estimation Methods for Financial Time Series Models,
Jun Yu, from Singapore Management University, School of Economics (2010)
Keywords: Generalized method of moments, Maximum likelihood, MCMC, Indirect Inference, Credit risk, Stock price, Exchange rate, Interest rate..

Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results,
Jun Yu, from Singapore Management University, School of Economics (2009)

Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility,
Jun Yu, from Singapore Management University, School of Economics (2004)
Keywords: Bayes factors; Leverage effect; Markov chain Monte Carlo; EGARCH; Realized volatility; Asymmetric volatility

Automated Likelihood Based Inference for Stochastic Volatility Models,
Jun Yu, from Singapore Management University, Sim Kee Boon Institute for Financial Economics (2007)
Keywords: Laplace approximation, Automatic differentiation, Simulated maximum likelihood, Importance sampling, Bayesian MCMC.

A Semiparametric Stochastic Volatility Model,
Jun Yu, from Singapore Management University, Sim Kee Boon Institute for Financial Economics (2008)
Keywords: Leverage effect; Simulated maximum likelihood; Laplace approximation; Spline; Realized volatility

Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results,
Jun Yu, from Singapore Management University, Sim Kee Boon Institute for Financial Economics (2009)

Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models,
Jun Yu, from Singapore Management University, Sim Kee Boon Institute for Financial Economics (2008)
Keywords: Least squares, Maximum likelihood, Discrete sampling, Continuous record, Near unit root

Forecasting Volatility in the New Zealand Stock Market,
Jun Yu, from Department of Economics, The University of Auckland (1999)
Keywords: Forecasting, Economics,

Estimation of a Self-Exciting Poisson Jump Diffusion Model by the Empirical Characteristic Function Method,
Jun Yu, from Department of Economics, The University of Auckland (1999)
Keywords: Empirical Characteristic Function, Economics,

MCMC Methods for Estimating Stochastic Volatility Models with Liverage Effects: Comments on Jacquier, Polson and Rossi (2002),
Jun Yu, from Department of Economics, The University of Auckland (2002)
Keywords: Bayesian estimation, Economics,

ECONOMETRIC ANALYSIS OF CONTINUOUS TIME MODELS: A SURVEY OF PETER PHILLIPS’S WORK AND SOME NEW RESULTS,
Jun Yu, in Econometric Theory (2014)

Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips’ Work and Some New Results,
Jun Yu, from East Asian Bureau of Economic Research (2009)
Keywords: continuous time models, Peter Phillips, continuous time econometrics literature

Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models,
Jun Yu, from East Asian Bureau of Economic Research (2009)
Keywords: Maximum likelihood, Discrete sampling, Continuous record, Near unit root

On leverage in a stochastic volatility model,
Jun Yu, from Econometric Society (2004)
Keywords: Bayes factors; Leverage effect; Markov chain Monte Carlo; Nonlinear state space models; Quasi maximum likelihood

On Leverage in a Stochastic Volatility Model,
Jun Yu, from Econometric Society (2004)
Keywords: Bayes factors; Leverage effect; Markov chain Monte Carlo; Nonlinear state space models; Quasi maximum likelihood.

Registered author: Jun Yu

Biotechnology Research in China,
Jun Yu, from Palgrave Macmillan (2007)
Keywords: Intellectual Property, Somatic Cell Nuclear Transfer, Human Genome Project, Genetically Modify Organism, Chinese Scientist

Emergency Train Scheduling on Chinese High-Speed Railways,
Yu-Jun Zheng, in Transportation Science (2018)
Keywords: high-speed railway (HSR); railway transportation; emergency transportation; train timetabling

Research on the Impact of Rural Labour Forces Transfer on the Urban-rural income Based on Economics of Discrimination,
Yu-ping Liu and Jun-jun Guo, in Asian Agricultural Research (2011)
Keywords: Agribusiness

Reliability of nonrepairable phased-mission systems with common bus performance sharing,
Huan Yu, Jun Yang and Yu Zhao, in Journal of Risk and Reliability (2018)
Keywords: Reliability evaluation; phased-mission systems; common bus performance sharing; recursive algorithm; genetic algorithm

Clustering cancer gene expression data by projective clustering ensemble,
Xianxue Yu, Guoxian Yu and Jun Wang, in PLOS ONE (2017)

Novel observer design method for Lur'e differential inclusion systems,
Jun Huang, Yu Gao and Lei Yu, in International Journal of Systems Science (2016)

An Unsupervised Mutual Information Feature Selection Method Based on SVM for Main Transformer Condition Diagnosis in Nuclear Power Plants,
Wenmin Yu, Ren Yu and Jun Tao, in Sustainability (2022)
Keywords: main transformer; condition monitoring; unsupervised mutual information; feature selection; DGA

Fractional Top Trading Cycle on the Full Preference Domain,
Jingsheng Yu and Jun Zhang, from arXiv.org (2020)

Target Prediction of Cultivated Land Resources Based on Influencing Factors and Time Series Model—A Case of Anqiu City, China,
Jun Wu and Yu Cheng, in Asian Agricultural Research (2009)
Keywords: Agribusiness

Study on Management System for Agricultural Sci-tech Achievement Transformation Funding Project,
Hong Zhang and Jun Yu, in Asian Agricultural Research (2013)
Keywords: Agribusiness

Efficient and fair trading algorithms in market design environments,
Jingsheng Yu and Jun Zhang, from arXiv.org (2021)

CSR committees, politicians and CSR efforts,
Jun Guo and Yang Yu, in Asian Review of Accounting (2022)
Keywords: Sustainability governance, CSR committees, CSR disclosure, Politician, CSR ratings

Why money cannot be spent as budgeted? Lessons from china’s recent budget reforms1,
Jun Ma and Li Yu, in Journal of Public Budgeting, Accounting & Financial Management (2012)

Adverse Events of Extracorporeal Ultrasound-Guided High Intensity Focused Ultrasound Therapy,
Tinghe Yu and Jun Luo, in PLOS ONE (2011)

Low-carbonization game analysis and optimization in a two-echelon supply chain under the carbon-tax policy,
Shihui Yang and Jun Yu, in Journal of Chinese Economic and Foreign Trade Studies (2016)
Keywords: Retailer, Optimization model, Consumers’ low-carbon preferences, Low-carbon supply chain, Manufacturer

Optimal trade policy in tariff games with inside money,
Jun Yu and Shunming Zhang, in Economic Modelling (2011)
Keywords: General equilibrium Nash equilibrium Tariff rate Trade imbalance

A market design approach to job rotation,
Jingsheng Yu and Jun Zhang, in Games and Economic Behavior (2020)
Keywords: Job rotation; Coarse priority; Backward-induction Top Trading Cycle; Constrained efficiency; Strategy-proofness;

Lattice-oriented percolation system applied to volatility behavior of stock market,
Yao Yu and Jun Wang, in Journal of Applied Statistics (2012)

Adaptive estimation for varying coefficient models with nonstationary covariates,
Zhiyong Zhou and Jun Yu, in Communications in Statistics - Theory and Methods (2019)

The discretely observed immigration-death process: Likelihood inference and spatiotemporal applications,
Ottmar Cronie and Jun Yu, in Communications in Statistics - Theory and Methods (2016)

Contests with endogenous discrimination,
Sanxi Li and Jun Yu, in Economics Letters (2012)
Keywords: All pay auction; Endogenous discrimination; Contests;

Investor attention, psychological anchors, and stock return predictability,
Jun Li and Jianfeng Yu, in Journal of Financial Economics (2012)
Keywords: Attention; Anchor; Overreaction; Underreaction; 52-week high;

Empirical Likelihood Covariate Adjustment for Regression Discontinuity Designs,
Jun Ma and Zhengfei Yu, from arXiv.org (2024)

Cores and mechanisms in restricted housing markets,
Jingsheng Yu and Jun Zhang, in Journal of Mathematical Economics (2022)
Keywords: Housing market model; Restricted endowment rights; Core; Top trading cycle;

Improved estimation of average treatment effects under covariate‐adaptive randomization methods,
Jun Wang and Yahe Yu, in Statistica Neerlandica (2024)

A THEORY OF TURNOVER AND WAGE DYNAMICS,
Jin Li and Jun Yu, in Economic Inquiry (2017)

Validity of Tests under Covariate-Adaptive Biased Coin Randomization and Generalized Linear Models,
Jun Shao and Xinxin Yu, in Biometrics (2013)

Intergovernmental Fiscal Reform, Financial Deepening, and Regional Disparity in China: A Missing Link*,
Zhang Jun and Yu Jin, from University Library of Munich, Germany (2005)

The Impact of Enforced Working from Home on Employee Job Satisfaction during COVID-19: An Event System Perspective,
Jun Yu and Yihong Wu, in IJERPH (2021)
Keywords: COVID-19 pandemic; working from home; job satisfaction; event system theory; job characteristic; fsQCA

Factors Affecting the Evolution of Technical Cooperation among “Belt and Road Initiative” Countries Based on TERGMs and ERGMs,
Jun Gao and Xiang Yu, in Sustainability (2022)
Keywords: “Belt and Road Initiative”; patent cooperation; network structure; exponential random graph models; influence factor

Switching Current Predictive Control of a Permanent Magnet Synchronous Motor Based on the Exponential Moving Average Algorithm,
Fengming Yu and Jun Liu, in Energies (2024)
Keywords: permanent magnet synchronous motor (PMSM); model predictive current control (MPCC); exponential moving average (EMA); switch control; vector selection

Optimization Design of a Rain-Power Utilization System Based on a Siphon and Its Application in a High-Rise Building,
Jiaxin Yu and Jun Wang, in Energies (2020)
Keywords: rainwater energy; siphon; rain-power utilization system; vacuum; optimization algorithm; experimental validation

A Nonparametric Test of Missing Completely at Random for Incomplete Multivariate Data,
Jun Li and Yao Yu, in Psychometrika (2015)
Keywords: missing data, missing completely at random, nonparametric test,

ICTs and decision making: findings from the Poverty Assessor,
Claire Heffernan and Jun Yu, in Development in Practice (2010)

A Gaussian approach for continuous time models of the short-term interest rate,
Jun Yu and Peter Phillips, in Econometrics Journal (2001)
Keywords: Gaussian Estimation, Continuous Time Models, Stochastic Differential Equation, Nonlinear Diffusion, Short-term Interest Rate, Normalizing Transformation, Maximum Likelihood, Level Effect.

BUGS for a Bayesian analysis of stochastic volatility models,
Renate Meyer and Jun Yu, in Econometrics Journal (2000)
Keywords: Stochastic volatility, Gibbs sampler, BUGS, Heavy-tailed distributions, Non-Gaussian nonlinear time series models, Leverage effect.

Limit theory for an explosive autoregressive process,
Xiaohu Wang and Jun Yu, in Economics Letters (2015)
Keywords: Explosive model; Intercept; Invariance principle; Bubbles;

Asymptotic theory for linear diffusions under alternative sampling schemes,
Qiankun Zhou and Jun Yu, in Economics Letters (2015)
Keywords: Vasicek model; In-fill asymptotics; Long-span asymptotics; Double asymptotics; Unit root test;

Asymptotic theory for rough fractional Vasicek models,
Weilin Xiao and Jun Yu, in Economics Letters (2019)
Keywords: Least squares; Roughness; Strong consistency; Asymptotic distribution;

A two-stage realized volatility approach to estimation of diffusion processes with discrete data,
Peter Phillips and Jun Yu, in Journal of Econometrics (2009)
Keywords: Maximum likelihood Girsanov theorem Discrete sampling Continuous record Realized volatility

Bayesian hypothesis testing in latent variable models,
Yong Li and Jun Yu, in Journal of Econometrics (2012)
Keywords: Bayes factors; Kullback–Leibler divergence; Decision theory; EM algorithm; Markov chain Monte Carlo;

Double asymptotics for explosive continuous time models,
Xiaohu Wang and Jun Yu, in Journal of Econometrics (2016)
Keywords: Explosive continuous time models; Lévy process; Moderate deviations from unity; Double asymptotics; Invariance principle; Initial condition;

Optimal jackknife for unit root models,
Ye Chen and Jun Yu, in Statistics & Probability Letters (2015)
Keywords: Bias reduction; Variance reduction; Jackknife; Autoregression;

Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance,
Peter Phillips and Jun Yu, from East Asian Bureau of Economic Research (2006)
Keywords: Maximum likelihood, Transition density, Discrete sampling, Continuous record, realized volatility, Bias Reduction, Jackknife, Indirect Inference

Bayesian Analysis of Bubbles in Asset Prices,
Andras Fulop and Jun Yu, in Econometrics (2017)
Keywords: parameter learning; markov switching; MCMC; real time bubble detection

Information Loss in Volatility Measurement with Flat Price Trading,
Peter Phillips and Jun Yu, from Institute of Economic Research, Hitotsubashi University (2009)
Keywords: Bernoulli process, Brownian semimartingale, Calvo pricing, Flat trading, Microstructure noise, Quarticity function, Realized volatility, Stopping times

Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison,
Jun Yu and Renate Meyer, in Econometric Reviews (2006)
Keywords: DIC, Factors, Granger causality in volatility, Heavy-tailed distributions, MCMC, Multivariate stochastic volatility, Time-varying correlations,

Latent local-to-unity models,
Xiaohu Wang and Jun Yu, in Econometric Reviews (2023)

Corrigendum to ‘A Gaussian approach for continuous time models of short‐term interest rates’ (Yu, J. and P. C. B. Phillips, Econometrics Journal, 4, 210–24),
Peter Phillips and Jun Yu, in Econometrics Journal (2011)

Subdata selection algorithm for linear model discrimination,
Jun Yu and HaiYing Wang, in Statistical Papers (2022)
Keywords: Bayesian information criterion, Big data, Discrimination design, D-optimal design, Entropy, Measurement constraints

Information Loss in Volatility Measurement with Flat Price Trading,
Peter Phillips and Jun Yu, from UCLA Department of Economics (2007)

Dating the Timeline of Financial Bubbles during the Subprime Crisis,
Peter Phillips and Jun Yu, from Cowles Foundation for Research in Economics, Yale University (2010)
Keywords: Financial bubbles, Crashes, Date stamping, Explosive behavior, Mildly explosive process, Subprime crisis, Timeline

Information Loss in Volatility Measurement with Flat Price Trading,
Peter Phillips and Jun Yu, from Cowles Foundation for Research in Economics, Yale University (2007)
Keywords: Bernoulli process, Brownian semimartingale, Flat trading, Quarticity function, Realized volatility

Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance,
Peter Phillips and Jun Yu, from Cowles Foundation for Research in Economics, Yale University (2007)
Keywords: Maximum likelihood, Transition density, Discrete sampling, Continuous record, Realized volatility, Bias reduction, Jackknife, Indirect inference

Simulation-based Estimation of Contingent-claims Prices,
Peter Phillips and Jun Yu, from Cowles Foundation for Research in Economics, Yale University (2007)
Keywords: Bias reduction, Bond pricing, Indirect inference, Option pricing, Simulation-based estimation

A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations,
Peter Phillips and Jun Yu, from Cowles Foundation for Research in Economics, Yale University (2005)
Keywords: Maximum likelihood, Girsnov theorem, Discrete sampling, Continuous record, Realized volatility

Jackknifing Bond Option Prices,
Peter Phillips and Jun Yu, from Cowles Foundation for Research in Economics, Yale University (2003)
Keywords: Bias Reduction, Option Pricing, Bond Pricing, Term Structure of Interest Rate, Re-sampling, Estimation of Continuous Time Models

Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate,
Jun Yu and Peter Phillips, from Cowles Foundation for Research in Economics, Yale University (2001)
Keywords: Gaussian estimation, nonlinear diffusion, normalizing transformation

Model Selection for Explosive Models,
Yubo Tao and Jun Yu, from Emerald Group Publishing Limited (2020)
Keywords: Model selection, information criteria, local-to-unit-root model, mildly explosive model, unit root model, indirect inference

Volatility Puzzle: Long Memory or Antipersistency,
Shuping Shi and Jun Yu, in Management Science (2023)
Keywords: long memory, fractional integration, roughness, short-run dynamics, realized volatility

Bubble testing under polynomial trends,
Xiaohu Wang and Jun Yu, in The Econometrics Journal (2023)
Keywords: Autoregressive regressions, right-tailed unit root test, mildly explosive processes, polynomial trends, coefficient-based statistic, t statistic

Leasing as a Mitigation of Financial Accelerator Effects*,
Kai Li and Jun Yu, in Review of Finance (2023)
Keywords: Leased capital, Business cycles, Financial accelerator, Uncertainty, Risk shocks

Simulation-Based Estimation of Contingent-Claims Prices,
Peter Phillips and Jun Yu, in The Review of Financial Studies (2009)

Model Selection for Explosive Models,
Yubo Tao and Jun Yu, from Singapore Management University, School of Economics (2016)
Keywords: Model Selection; Information Criteria; Local-to-unit-root Model; Mildly Explosive Model; Unit Root Model; Indirect Inference.

Asymptotic Theory for Estimating the Persistent Parameter in the Fractional Vasicek Model,
Weilin Xiao and Jun Yu, from Singapore Management University, School of Economics (2016)
Keywords: Least squares estimation; Fractional Vasicek model; Stationary process; Explosive process; Consistency; Asymptotic distribution

Asymptotic Theory for Estimating Drift Parameters in the Fractional Vasicek Model,
Weilin Xiao and Jun Yu, from Singapore Management University, School of Economics (2017)
Keywords: Least squares; Fractional Vasicek model; Stationary process; Explosive process; Null recurrent; Strong consistency; Asymptotic distribution

Bubble Testing under Deterministic Trends,
Xiaohu Wang and Jun Yu, from Singapore Management University, School of Economics (2017)
Keywords: Autoregressive regressions; right-tailed unit root test; explosive and mildly explosive processes; deterministic trends; coefficient-based statistic; t-statistic.

Asymptotic Theory for Rough Fractional Vasicek Models,
Weilin Xiao and Jun Yu, from Singapore Management University, School of Economics (2018)
Keywords: Least squares; Roughness; Strong consistency; Asymptotic distribution

Forecasting Singapore GDP using the SPF data,
Tian Xie and Jun Yu, from Singapore Management University, School of Economics (2020)

Different Strokes for Different Folks: Long Memory and Roughness,
Shuping Shi and Jun Yu, from Singapore Management University, School of Economics (2021)
Keywords: Long memory; fractional integration; roughness; short-run dynamics; realized volatility

Bayesian Analysis of Bubbles in Asset Prices,
Andras Fulop and Jun Yu, from Singapore Management University, School of Economics (2014)
Keywords: Parameter Learning, Markov Switching, MCMC

Limit Theory for an Explosive Autoregressive Process,
Xiaohu Wang and Jun Yu, from Singapore Management University, School of Economics (2013)