Overview
Jun Yu is an econometrician at the School of Economics and Social Sciences, Singapore Management University. His research focuses on Bayesian and simulation-based methods for continuous-time and discrete-time financial models, including stochastic volatility, asset pricing, and time-series econometrics.
Key Contributions / Features
- Yu (2005): Resolved the debate between two competing asymmetric SV specifications (ASV1 vs. ASV2) on both theoretical and empirical grounds. Showed ASV2 violates the efficient market hypothesis; derived the unambiguous leverage interpretation of ASV1 via a nonlinear state-space re-parameterisation; demonstrated decisive Bayesian evidence for ASV1 on S&P500 and CRSP data; established MCMC superiority over QML for the leverage parameter.
- Meyer and Yu (2000): Estimated Harvey-Shephard asymmetric SV model for exchange rate data using BUGS (MCMC), an early application of BUGS to financial SV models.
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