Working Papers:
- A Semiparametric Stochastic Volatility Model.
- Information Loss in Volatility
Measurement with Flat Price Trading
(with Peter Phillips)
- Bias in the Estimation of the Mean Reversion
Parameter in Continuous Time Models (revised in October 2008)
- Automatic
Likelihood Based Inference for Stochastic Volatility Models
Programs and data used in the
paper (with
Hans Skaug)
- Explosive Behavior in the 1990s
Nasdaq: When did Exuberance Escalate Asset Values? (with Peter
Phillips and Yangru Wu)
- Forecasting
Realized Volatility using a Nonnegative Semiparametric Model (with
Daniel Preve and Anders Eriksson, Month RV Data from Jan 1946-Dec
2004, Matlab code)
- Bayesian Analysis of Structural Credit
Risk Models with Microstructure Noises (with Shirley Huang)
Forthcoming:
- Simulation-based Estimation of
Contingent-claims Prices (matlab
code)
Review of Financial Studies, forthcoming (with Peter Phillips)
- Indirect Inference of Dynamic Panel
Models
Journal of Econometrics, forthcoming (with Christian Gourieroux and
Peter Phillips)
- A Two-Stage Realized Volatility Approach to
Estimation of Diffusion Processes with Discrete Data
Journal of Econometrics, forthcoming (with Peter Phillips)
- Maximum Likelihood and Gaussian
Estimation of Continuous Time Models in Finance (Matlab code 1, Matlab code 2)
Handbook of Financial Time Series, forthcoming (with Peter Phillips)
2008:
- An Efficient Method for Maximum Likelihood
Estimation of a Stochastic Volatility Model
Statistics and Its Interface, 2008, 1, 289-296 (with Shirley Huang)
2007:
- Temporal Aggregation and Risk-Return Relation
Finance Research Letters, 2007, 4, 104-115 (with Xing Jin
and Leping Wang)
- On Stiffness in Affine Asset Pricing Models,
Matlab Programs used in the paper:
Bond Pricing with 2-factor CIR, Bond Pricing with 3-factor BDFS.
Journal of Computational Finance, 2007, 10, 99-123 (with
Shirley Huang)
- Realized Daily Variance of S&P500 Cash
Index: A Revaluation of Stylized Facts. Data: Realized variance
of SP500 from Jan 4, 1993 to Dec 31, 2004.
Annals of Economics and Finance, 2007, 8, 33-56 (with Shirley
Huang and Qianqiu Liu)
2006:
- Multivariate Stochastic Volatility: A
Review,
Econometric Reviews, 2006, 25, 145-175 (with Manabu Asai and
Mike McAleer)
- A Class of Nonlinear Stochastic Volatility
Models and Its Implications on Pricing Currency Options,
Computational Statistics and Data Analysis, 2006, 51, 2218-2231
(with Zhenlin Yang and X.B Zhang)
- Multivariate Stochastic Volatility Models:
Bayesian Estimation and Model Comparison Programs and
data used in the paper: Australian and New Zealand dollar exchange rates ; BUGS code for Mod 1; BUGS code for
Mod 2; BUGS code
for Mod 3; BUGS code for Mod 4; BUGS code for Mod 5; BUGS code for Mod 6; BUGS code for Mod 7; BUGS code for Mod 8; BUGS code for Mod 9,
Econometric Reviews, 2006, 25, 361-384 (with R. Meyer)
- Realized
Variance and Market Microstructure Noise - Comment.
Journal of Business and Economic
Statistics, 2006, 24, 202-208 (with Peter
Phillips)
- A
Class of Nonlinear Stochastic Volatility Models, JCIS-2006
Proceedings, doi:10.2991/jcis.2006.87
2005:
- Comment: A Selective Overview of
Nonparametric Methods in Financial Econometrics.
Statistical
Science, 2005,
20, 338-343 (with Peter Phillips)
- On Leverage in a Stochastic Volatility Model
(a previous draft of this paper was circulated under the title "MCMC
methods for estimating stochastic volatility models with
leverage effects") Programs and data used in the
paper: SP500; CRSP; BUGS code for the conventional A-SV
model; BUGS code
for JPR's A-SV model; BUGS code for the encompassed
A-SV model
Journal of Econometrics, 2005, 127, 165-178
- Jackknifing Bond Option Prices. Programs
and data used in the paper: Swap and LIBOR Rates;
Matlab
code for 1-factor CIR in simulations; Matlab
code for 1-factor CIR in applications; Matlab code for
2-factor CIR in simulations; Matlab code for
2-factor CIR in applications
Review of Financial Studies, 2005, 18,
707-742 (with Peter Phillips)
2004:
- Deviance Information Criterion for Comparing
Stochastic Volatility Models
Journal of Business and Economic Statistics, 2004, 22,
107-120 (with Andreas Berg and Renate Meyer)
- Estimation
of Hyperbolic Diffusion using MCMC Method
Quantitative Finance, 2004, 4, 158-169 (with Y.K. Tse
and X.B. Zhang)
- Empirical
Characteristic Function Estimation and Its Applications (a previous
draft of this paper was circulated under the title "Estimation of a
self-exciting Poisson jump diffusion model by the empirical characteristic
function method")
Econometric Reviews, 2004, 23, 93-123
2002:
- Empirical
Characteristic Function In Time Series Estimation
Econometric Theory, 2002, 18(3), 691-721 (with John Knight)
- Estimation of the Stochastic Volatility Model
by the Empirical Characteristic Function Method data used in the paper: A$/NZ$ exchange rate
between 1/193-31/12/97
Australian and New Zealand Journal of Statistics, 2002, 44(3),
319-335 (with John Knight and Stephen Satchell)
- Forecasting
Volatility in the New Zealand Stock Market
Applied Financial Economics, 2002, 12, 193-202
2001:
- An Gaussian Approach for Continuous Time
Models of The Short Term Interest Rates
The Econometrics Journal, 2001, 4(2), 211-225 (with
Peter Phillips)
- Do Stock Returns Follow a Finite Variance
Distribution?
Annals of Economics and Finance, 2001, 2(2), 467-486 (with Q.M.
Shao and Hao Yu)
- Forecasting Volatility:
Evidence from the German Stock Market
International Conference on Volatility, 2001 (with Hagen Bluhm)
2000:
- BUGS for a Bayesian Analysis of Stochastic
Volatility Models
The Econometrics Journal, 2000, 3(2), 198-215 (with Renate Meyer) Program and Data: WinBugs Code for leverage SV model, pound/dollar exchange rate
- Test for Finite Variance
Stock Return Distributions
Return Distributions in Finance edited by Knight and Satchell,
2000, 143-164, Butterworth-Heinemann
1999:
- Testing the Expectations Theory
of the Term Structure for New Zealand
New Zealand Economic Papers, 1999,
33(1), 93-114 (with Graeme Guthrie and Julian Wright)
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