← All authors Jun Yu Department of Finance (from arXiv:2509.04987, 2025) · ORCID · OpenAlex
100 papers in scope · 96 published · 3 on the econ.EM arXiv · 6,801 citations · h-index 33 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Torben G. Andersen Viktor Todorov H. Peter Boswijk Mikkel Bennedsen Peter Christensen Yang Zu Bo Zhou Kim Christensen Carsten Chong Anders Rahbek Iliyan Georgiev Chen Zhang Tetsuya Takabatake Giuseppe Cavaliere Anton Skrobotov Giacomo Toscano Stefano Marmi Maria Elvira Mancino Giulia Livieri Wade Kimbrough Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (4 of 100)
Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion
published 2026 · Journal of Business and Economic Statistics · 1 citations
with Markus Bibinger, Chen Zhang
working paper 2025 · arXiv
Multivariate stochastic volatility models based on generalized Fisher transformation
published 2025 · Journal of Econometrics · 2 citations · first circulated 2024
with Han Chen, Yijie Fei
Weak Identification of Long Memory with Implications for Volatility Modeling
published 2025 · Review of Financial Studies · 6 citations
Deviance Information Criterion for Bayesian model selection: Theoretical justification and applications
published 2025 · Journal of Econometrics · 6 citations · first circulated 2017
On the spectral density of fractional Ornstein–Uhlenbeck processes
published 2024 · Journal of Econometrics · 6 citations
Local powers of least‐squares‐based test for panel fractional Ornstein–Uhlenbeck process
published 2024 · Journal of Time Series Analysis
with Katsuto Tanaka, Weilin Xiao
Fractional Gaussian Noise: Spectral Density and Estimation Methods
published 2024 · Journal of Time Series Analysis · 5 citations
Fractional stochastic volatility model
published 2024 · Journal of Time Series Analysis · 12 citations
working paper 2024 · arXiv
Two-Factor Convertible Bond Pricing with Pull-to-Par
published 2024 · The Journal of Fixed Income
with Michael J. Tomas
On the optimal forecast with the fractional Brownian motion
published 2024 · Quantitative Finance · 8 citations
with Xiaohu Wang, Chen Zhang
Asymptotic theory for explosive fractional Ornstein-Uhlenbeck processes
published 2024 · Electronic Journal of Statistics · 2 citations
with Hui Jiang, Yajuan Pan, Weilin Xiao, Qingshan Yang
Robust testing for explosive behavior with strongly dependent errors
published 2023 · Journal of Econometrics · 4 citations
Physics-informed data-driven modeling approach for commuting-oriented hybrid powertrain optimization
published 2023 · Energy Conversion and Management · 58 citations
with Nuo Lei, Hao Zhang, Rulong Li, Hong Wang, Zhi Wang
Latent local-to-unity models
published 2023 · Econometric Reviews · 5 citations
with Xiaohu Wang
A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR
published 2023 · International Economic Review · 3 citations · first circulated 2022
Leasing as a Mitigation of Financial Accelerator Effects
published 2023 · European Finance Review · 14 citations · first circulated 2021
with Kai Li
Information loss in volatility measurement with flat price trading
published 2023 · Empirical Economics · 33 citations · first circulated 2007
Volatility Puzzle: Long Memory or Antipersistency
published 2022 · Management Science · 24 citations
Bubble testing under polynomial trends
published 2022 · Econometrics Journal · 6 citations
with Xiaohu Wang
Bayesian Methods in Economics and Finance: Editor’s Introduction
published 2022 · Journal of Econometrics · 2 citations
Improved marginal likelihood estimation via power posteriors and importance sampling
published 2021 · Journal of Econometrics · 7 citations
with Yong Li, Nianling Wang
Posterior-based Wald-type statistics for hypothesis testing
published 2021 · Journal of Econometrics · 13 citations · first circulated 2018
Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process
published 2021 · Journal of Econometrics · 74 citations
with Xiaohu Wang, Weilin Xiao
An Asymptotic Solution for Call Options on Zero-Coupon Bonds
published 2021 · Mathematics · 2 citations
with Michael J. Tomas
The Grid Bootstrap for Continuous Time Models
published 2021 · Journal of Business and Economic Statistics
with Yiu Lim Lui, Weilin Xiao
Housing equity and household consumption in retirement: evidence from the Singapore Life Panel ©
published 2020 · New Zealand Economic Papers · 2 citations · first circulated 2019
with Lipeng Chen, Liang Jiang, Sock-Yong Phang
Mildly Explosive Autoregression with Anti‐persistent Errors*
published 2020 · Oxford Bulletin of Economics and Statistics · 8 citations
with Yiu Lim Lui, Weilin Xiao
Maximum Likelihood Estimation for the Fractional Vasicek Model
published 2020 · Econometrics · 18 citations · first circulated 2019
with Katsuto Tanaka, Weilin Xiao
In-fill asymptotic theory for structural break point in autoregressions
published 2020 · Econometric Reviews · 12 citations · first circulated 2017
Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks*
published 2020 · Journal of Financial Econometrics · 1 citations
Deviance information criterion for latent variable models and misspecified models
published 2019 · Journal of Econometrics · 46 citations · first circulated 2012
Forecasting Realized Volatility Using a Nonnegative Semiparametric Model
published 2019 · Journal of risk and financial management · 10 citations · first circulated 2009
Multi-component energy modeling and optimization for sustainable dry gear hobbing
published 2019 · Energy · 54 citations
with Qinge Xiao, Congbo Li, Ying Tang, Jian Pan, Xingzheng Chen
Asymptotic theory for rough fractional Vasicek models
published 2019 · Economics Letters · 30 citations · first circulated 2018
with Weilin Xiao
Random coefficient continuous systems: Testing for extreme sample path behavior
published 2019 · Journal of Econometrics · 18 citations · first circulated 2017
Specification tests based on MCMC output
published 2018 · Journal of Econometrics · 5 citations · first circulated 2017
ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL
published 2018 · Econometric Theory · 62 citations · first circulated 2017
with Weilin Xiao
New distribution theory for the estimation of structural break point in mean
published 2018 · Journal of Econometrics · 23 citations · first circulated 2016
with Liang Jiang, Xiaohu Wang
working paper 2018 · arXiv
Bayesian Analysis of Bubbles in Asset Prices
published 2017 · Econometrics · 11 citations · first circulated 2014
Inference in continuous systems with mildly explosive regressors
published 2017 · Journal of Econometrics · 20 citations
working paper 2017 · arXiv · 5 citations
Double asymptotics for explosive continuous time models
published 2016 · Journal of Econometrics · 25 citations · first circulated 2011
with Xiaohu Wang
TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500
published 2015 · International Economic Review · 1063 citations · first circulated 2013
TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL‐TIME DETECTORS
published 2015 · International Economic Review · 486 citations · first circulated 2013
New methodology for constructing real estate price indices applied to the Singapore residential market
published 2015 · Journal of Banking & Finance · 55 citations
Catastrophe options with double compound Poisson processes
published 2015 · Economic Modelling · 13 citations
A Bayesian chi-squared test for hypothesis testing
published 2015 · Journal of Econometrics · 30 citations · first circulated 2014
Bayesian and Empirical Bayesian Forests
published 2015 · International Conference on Machine Learning · 13 citations
with Taddy Matthew, Chunsheng Chen, Mitch Wyle
no link
Bias in the estimation of mean reversion in continuous-time Lévy processes
published 2015 · Economics Letters · 7 citations · first circulated 2013
with Yong Bao, Aman Ullah, Yun Wang
Asymptotic theory for linear diffusions under alternative sampling schemes
published 2015 · Economics Letters · 18 citations
Optimal jackknife for unit root models
published 2014 · Statistics & Probability Letters · 8 citations · first circulated 2011
with Ye Chen
Limit theory for an explosive autoregressive process
published 2014 · Economics Letters · 31 citations · first circulated 2013
with Xiaohu Wang
Self-Exciting Jumps, Learning, and Asset Pricing Implications
published 2014 · Review of Financial Studies · 101 citations
Bayes premium under variance-related principles with risk dependence
published 2014 · Huadong Shifan Daxue xuebao. Ziran kexue ban
with Limin Wen
no link
Optimal Asset-Liability Management for an Insurer Under Markov Regime Switching Jump-Diffusion Market
published 2014 · Asia-Pacific Financial Markets · 12 citations
ECONOMETRIC ANALYSIS OF CONTINUOUS TIME MODELS: A SURVEY OF PETER PHILLIPS’S WORK AND SOME NEW RESULTS
published 2014 · Econometric Theory · 24 citations · first circulated 2009
Maximum likelihood estimation of partially observed diffusion models
published 2014 · Journal of Econometrics · 6 citations
A flexible and automated likelihood based framework for inference in stochastic volatility models
published 2013 · Computational Statistics & Data Analysis · 9 citations · first circulated 2009
with Hans J. Skaug
A new approach to Bayesian hypothesis testing
published 2013 · Journal of Econometrics · 39 citations
SPECIAL ISSUE OF ECONOMETRIC THEORY ON SETA 2010: EDITORS’ INTRODUCTION
published 2013 · Econometric Theory · 5 citations
Detecting bubbles in Hong Kong residential property market
published 2013 · Journal of Asian Economics · 164 citations · first circulated 2012
with Matthew S. Yiu, Jin Lü
Specification Sensitivity in Right‐Tailed Unit Root Testing for Explosive Behaviour
published 2013 · Oxford Bulletin of Economics and Statistics · 171 citations · first circulated 2012
Recent advances in panel data, nonlinear and nonparametric models: A festschrift in honor of Peter C.B. Phillips
published 2012 · Journal of Econometrics · 1 citations
Bias in the estimation of the mean reversion parameter in continuous time models
published 2012 · Journal of Econometrics · 73 citations · first circulated 2009
Recent advances in nonstationary time series: A festschrift in honor of Peter C.B. Phillips
published 2012 · Journal of Econometrics · 1 citations
Evaluation on the Competitiveness of Outsourcing Industrial Clusters Based on C-GEM Model——Evidence from Wuxi
published 2012 · Ke-ji guanli yanjiu
no link
Dating the timeline of financial bubbles during the subprime crisis
published 2011 · Quantitative Economics · 116 citations · first circulated 2010
Bayesian hypothesis testing in latent variable models
published 2011 · Journal of Econometrics · 44 citations
with Yong Li
A semiparametric stochastic volatility model
published 2011 · Journal of Econometrics · 63 citations · first circulated 2008
THE ET INTERVIEW: A CONVERSATION WITH ERIC GHYSELS
published 2011 · Econometric Theory
EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?*
published 2011 · International Economic Review · 1138 citations · first circulated 2007
‘A Gaussian approach for continuous time models of short‐term interest rates’
published 2011 · Econometrics Journal · 4 citations
Bias in estimating multivariate and univariate diffusions
published 2010 · Journal of Econometrics · 39 citations
Bayesian analysis of structural credit risk models with microstructure noises
published 2010 · Journal of Economic Dynamics and Control · 38 citations · first circulated 2009
with Shirley J. Huang
Indirect inference for dynamic panel models
published 2009 · Journal of Econometrics · 128 citations · first circulated 2006
Simulation-Based Estimation of Contingent-Claims Prices
published 2009 · Review of Financial Studies · 40 citations · first circulated 2007
A two-stage realized volatility approach to estimation of diffusion processes with discrete data
published 2008 · Journal of Econometrics · 41 citations · first circulated 2005
An efficient method for maximum likelihood estimation of a stochastic volatility model
published 2008 · Statistics and Its Interface · 4 citations
with Shirley J. Huang
On stiffness in affine asset pricing models
published 2007 · The Journal of Computational Finance · 11 citations · first circulated 2004
with Shirley Huang, Shirley J. Huang
Temporal aggregation and risk–return relation
published 2007 · Finance research letters
with Xing Jin, Leping Wang
A class of nonlinear stochastic volatility models and its implications for pricing currency options
published 2006 · Computational Statistics & Data Analysis · 46 citations · first circulated 2002
Multivariate Stochastic Volatility: A Review
published 2006 · Econometric Reviews · 380 citations
Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
published 2006 · Econometric Reviews · 182 citations · first circulated 2004
with Renate Meyer
Comment
published 2006 · Journal of Business and Economic Statistics · 17 citations
Rejoinder: A Selective Overview of Nonparametric Methods in Financial Econometrics
published 2005 · Statistical Science · 143 citations · first circulated 2004
Jackknifing Bond Option Prices
published 2005 · Review of Financial Studies · 110 citations · first circulated 2002
Some new Riemann solutions for two-dimensional scalar conversation laws
published 2005 · Yunnan Daxue xuebao. Shehui kexue ban
with Yang Han-chun
no link
On leverage in a stochastic volatility model
published 2004 · Journal of Econometrics · 416 citations
Empirical Characteristic Function Estimation and Its Applications
published 2004 · Econometric Reviews · 181 citations · first circulated 2003
Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method
published 2004 · Quantitative Finance · 19 citations
with Yi-Kei Tse, Xibin Zhang, Ying Kei Tse
Deviance Information Criterion for Comparing Stochastic Volatility Models
published 2004 · Journal of Business and Economic Statistics · 285 citations · first circulated 2002
with Andreas Berg, Renate Meyer
Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method
published 2002 · Australian & New Zealand Journal of Statistics · 46 citations
with John Knight, Stephen Satchell
EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION
published 2002 · Econometric Theory · 14 citations · first circulated 2001
with John Knight
Forecasting volatility in the New Zealand stock market
published 2002 · Applied Financial Economics · 214 citations · first circulated 1999
A Gaussian approach for continuous time models of the short-term interest rate
published 2001 · Econometrics Journal · 66 citations
BUGS for a Bayesian analysis of stochastic volatility models
published 2000 · Econometrics Journal · 31 citations
with Renate Meyer
Testing the expectations theory of the term structure for New Zealand
published 1999 · New Zealand Economic Papers · 12 citations
with Graeme Guthrie, Julian Wright
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