Publications:

CoFiE:

1. PHILLIPS, P.C.B., YU, J., ‘Simulation-based Estimation of Contingent-claims Prices', Review of Financial Studies, forthcoming, August 20, 2008.

2. PHILLIPS, P.C.B. and YU, J., ‘A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete Data’, Journal of Econometrics, forthcoming, May 6, 2008.
   
   
3. HUANG, S., YU, J., ‘An Efficient Method for Maximum Likelihood Estimation of a Stochastic Volatility Model.’ Statistics and Its Interface, forthcoming, August 11, 2008.
   
   
4. HUANG, S., YU, J., ‘On Stiffness in Affine Asset Pricing Models’, Journal of Computational Finance, 2007, 10, 99-123.
   
   
5. JIN, X., WANG, L., YU, J., ‘Temporal Aggregation and Risk-Return Relation’, Finance Research Letters, 2007, 4, 104-115.
   
   
6. HUANG, S., LIU, Q., YU, J., ‘Realized Stock Index Volatility with Microstructure Noises’, Annals of Economics and Finance, 2007, 8, 33-56.

CSS :

1. Koh, B., O. Mitchell and J. Fong (2008), “Cost Structures in Defined Contribution Systems: The Case of Singapore's Central Provident Fund”, Pensions: An International Journal, Vol 13, Issue 1-2, p7-14.
   
   
2. Koh, B., O. Mitchell, T. Tanuwidjaja and J. Fong (2008), “Investment patterns in Singapore's Central Provident Fund System”, Journal of Pension Economics and Finance, Vol 7, Issue 1, p37-65.

Working paper series:

CoFiE :

1. PHILLIPS, P.C.B., Yu, J., 'Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods of TIme Series Data', April 11, 2009
   
2. PHILLIPS, P.C.B., TASSOS MAGDALINOS, 'Econometric Inference in the Vicinity of Unity', April 17, 2009
   
   
3. PHILLIPS, P.C.B., IOANNIS KASPARIS, 'Dynamic Misspecification in Nonparametric Cointegrating Regression', March, 2009
   
   
4. PHILLIPS, P.C.B., CHIROK HAN, JIN SEO CHO, 'Infinite Density at the Median and the Typical Shape of Stock Return Distributions', April, 2009
   
   
5. PHILLIPS, P.C.B., CHIROK HAN, JIN SEO CHO, 'LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities'. April, 2009
   
   
6. Yu, J., 'Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results', April 1, 2009
   
   
7. PHILLIPS, P.C.B., Yu, J., 'Dating the Timeline of Financial Bubbles during the Subprime Crisis', April 28, 2009
   
   
8. PHILLIPS, P.C.B., Yu, J., 'Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance', May 11,2009
   
   
9. PHILLIPS, P.C.B., YU, J., ‘Simulation-based Estimation of Contingent-claims Prices’, Review of Finanical Studies, forthcoming, August 20, 2008.
   
   
10. PHILLIPS, P.C.B., YU, J., ‘Information Loss in Volatility Measurement with Flat Price Trading’, May 30, 2008.
    
    
11. YU, J., ‘A Semiparametric Stochastic Volatility Model’ , July 31, 2008.
    
    
12. SKAUG, H. and YU, J., ‘Automatic Likelihood Analysis of Stochastic Volatility Models’ , November 28, 2007.
    
    
13. HUANG, S., YU, J., ‘Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises’ , September 15, 2008.
    
    
14. PHILLIPS, P.C.B., WU, Y., and YU, J., ‘Explosive Behavior and the Nasdaq Bubble in the 1990s: When Does Irrational Exuberance Have Escalated Asset Values?’ , July 30, 2008.
    
    
15. YU, J., ‘Biases in the Estimation of Mean Reversion Parameter in a Simple Continuous Time Model’ , September 17, 2008.
    
    
16. ERIKSSON, A, PREVE, D., YU, J., ‘Forecasting Realized Volatility Using a Nonnegative Semiparametric Time Series Model’, December 27, 2007.

CASA :

1. RICHARD GREEN, ROBERTO MARIANO, ANDREY PAVLOV, SUSAN WACHTER, ‘Misaligned Incentives and Mortgage Lending in Asia'', November 27, 2008.