Jun Yu

CFDPs

CFDP 1598 Peter C. B. Phillips, Jun Yu, "Information Loss in Volatility Measurement with Flat Price Trading," (January 2007) [27pp, Abstract]
CFDP 1597 Peter C. B. Phillips, Jun Yu, "Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance," (January 2007) [34pp, Abstract]
CFDP 1596 Peter C. B. Phillips, Jun Yu, "Simulation-based Estimation of Contingent-claims Prices," (January 2007) [30pp, Abstract] (See: 1279)
CFDP 1550 Christian Gouriéroux, Peter C. B. Phillips, Jun Yu, "Indirect Inference for Dynamic Panel Models," (January 2006) [20pp, Abstract] (See: 1301)
CFDP 1523 Peter C. B. Phillips, Jun Yu, "A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations," (June 2005) [27pp, Abstract]
CFDP 1392 Peter C. B. Phillips, Jun Yu, "Jackknifing Bond Option Prices," (January 2003) [51pp, Abstract] (See: 1119)
CFDP 1309 Jun Yu, Peter C. B. Phillips, "Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate," (July 2001) [22pp, Abstract] (See: 1347)

For accessibility assistance with publications, please email cowles@yale.edu.

CFPs

CFP 1301 Christian Gouriéroux, Peter C. B. Phillips, Jun Yu, "Indirect Inference for Dynamic Panel Models," Journal of Econometrics, (July 2010), 157(1): 68-77 (See CFDP 1550)
CFP 1279 Peter C. B. Phillips, Jun Yu, "Simulation-based Estimation of Contingent-claims Prices," Review of Financial Studies, (March 2009), 22(9): 3669-3705 (See CFDP 1596)
CFP 1167 Peter C. B. Phillips, Jun Yu, "Comment," Journal of Business and Economic Statistics, (April 2006), 24(2): 202-208
CFP 1152 Peter C. B. Phillips, Jun Yu, "Comment: A Selective Overview of Nonparametric Methods in Financial Econometrics," Statistical Science, (January 2005), 20(4): 338-343
CFP 1124 Jun Yu, Peter C. B. Phillips, "A Gaussian Approach for Continuous Time Models of the Short-term Interest Rate," Econometrics Journal, (December 2001), 4(2): 210-224 (Also see “Corrigendum,” Econometrics Journal, February 2011, 14(4), 126-129)
CFP 1119 Peter C. B. Phillips, Jun Yu, "Jackknifing Bond Option Prices," Review of Financial Studies, 18(2): 707-742 (See CFDP 1392)