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Jun Yu

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Jun Yu
Born (1969-06-05) June 5, 1969 (age 55)
Ezhou, China
Academic career
FieldEconometrics
InstitutionUniversity of Macau
Alma materWuhan University (BSc and BA 1990)
University of Western Ontario (PhD 1998)
InfluencesPeter C.B. Phillips
John L. Knight
Information at IDEAS / RePEc
Websitehttps://fba.um.edu.mo/faculty/junyu/

Jun Yu (born June 5, 1969) is an econometrician. He is the University of Macau Development Foundation (UMDF) Chair Professor of Finance and Economics and the Dean of Faculty of Business Administration at University of Macau. He has previously taught at Singapore Management University and University of Auckland.

Biography

Yu was born in Ezhou, China. He obtained a BSc in mathematics and BA in economics at Wuhan University in 1990. He began graduate studies in economics at the University of Western Ontario in 1994 under John L. Knight and received his Ph.D. in 1998.

Yu serves as an associate editor for the Journal of Econometrics, and the Econometric Theory.

Research

Yu's research concentrates on stochastic volatility models, continuous-time models, Bayesian econometrics, and the econometric analysis of economic bubbles. He has developed methods that can detect economic bubbles using time series data. He has also co-authored Financial Econometric Modeling, a financial econometrics textbook published by Oxford University Press.

He has an h-index of 37.

Awards

Yu was elected a Founding Fellow of the Society for Financial Econometrics in 2012. He is also a Fellow of the Journal of Econometrics (2011).

References

  1. Yu, Jun. "Jun Yu's Bio Page". Retrieved 19 December 2020.
  2. "Journal of Econometrics Editorial Board". Journal of Econometrics. Retrieved 19 December 2020.
  3. "Econometric Theory Editorial Board". Econometric Theory. Retrieved 19 December 2020.
  4. Phillips, Peter C. B.; Wu, Yangru; Yu, Jun (2011). "Explosive behavior in the 1990s NASDAQ: When did exuberance escalate asset values?". International Economic Review. 52: 201–226. doi:10.1111/j.1468-2354.2010.00625.x. S2CID 3967179.
  5. Phillips, Peter C. B.; Yu, Jun (2011). "Dating the timeline of financial bubbles during the subprime crisis". Quantitative Economics. 2 (3): 455–491. doi:10.3982/QE82. hdl:10419/150327.
  6. Phillips, Peter C. B.; Shi, Shuping; Yu, Jun (2015). "Testing for multiple bubbles: Historical episodes of exuberance and collapse in the S&P500". International Economic Review. 56 (4): 1043–1078. doi:10.1111/iere.12132. S2CID 6491170.
  7. Hurn, Stan; Martin, Vance; Phillips, Peter C. B.; Yu, Jun (2020). Financial Econometric Modeling (First ed.). New York: Oxford University Press. p. 640. ISBN 9780190857066.
  8. "Jun Yu". scholar.google.com. Retrieved 8 August 2021.
  9. "SoFiE Fellows List". Society for Financial Econometrics. Retrieved 19 December 2020.
  10. "Journal of Econometrics Fellows List". Journal of Econometrics. 168 (2). June 2012. doi:10.1016/S0304-4076(12)00092-9. Retrieved 19 December 2020.

External links

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