Publications:

CoFiE:

1. Li, Y. and Yu, J., ‘ Bayesian Hypothesis Testing in Latent Variable Models’, Journal of Econometrics , 2012, 166, 237-246.
   
   
2. Phillips, P.C.B. and Yu, J., ‘Dating the Timeline of Financial Bubbles during the Subprime Crisis’, Quantitative Economics, 2011, 2, 455-491.
   
   
3. Jun Tu and Guofu Zhou, "Incorporating Economic Objectives into Bayesian Portfolio Choice Under Parameter Uncertainty", 08/2010, Journal of Financial and Quantitative Analysis, 45 (4), 959-986.
   
   
4. Su. L. and Jin, S., "Sieve Estimation of Panel Data Models with Cross Section Dependence", forthcoming in Journal of Econometrics, 2010
   
   
5. Long, X., L.Su, and A. Illah, "Estimation of Dynamic Conditional Covariance: A Semiparametric Multivariate Model", Journal of Business Economics & Statistics 29, 2011,109-125
   
   
6. Mishra, S., L. Su, and A. Ullah, 2010, "Semiparametric Estimator of Time Series Conditional Variance", Journal of Business Economics & Statistics 28, 2010, 256-274
   
   
7. Su, L. and h. White, "Testing Structural Change in Partially Linear Models", Econometric Theory 26, 2010, 1761-1806
   
   
8. Phillips, P.C.B, "Bootstrapping I(1) Data", Journal of Econometrics, October 2010, 158(2):280-284
   
   
9. Phillips, P.C.B, Tassos Magdalinos and Liudas Giraitis, "Smoothing Local-to-Moderate Unit Root Theory", Journal of Econometrics, Octoer 2010, 158(2):274-279
   
   
10. Phillips, P.C.B, Christian Gourieroux and Jun Yu, "Indirect Inference for Dynamic Panel Models", Journal of Econometrics, July 2010, 157:68-77
    
    
11. Phillips, P.C.B, "Two New Zealand Pioneer Econometricians", New Zealand Economic Papers, April 2010, 44 (1): 1-26
    
    
12. Shirley J. Huang and Jun Yu, “An efficient method for maximum likelihood estimation of a stochastic volatility model”, Statistics and Its Interface, vol 1 (2008) 289-296
    
    
13. Liangjun Su and Aman Ullah, “Testing Conditional Uncorrelatedness”, Journal of Business and Economic Statistics, Jan 2009, Vol 27, No. 1, 18-29.
    
    
14. Phillips, P.C.B., Yu, J., ‘Simulation-based Estimation of Contingent-claims Prices', Review of Financial Studies , 2009, 22, 3669-3705
    
    
15. Phillips, P.C.B. and Yu, J., ‘A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete Data', Journal of Econometrics, 2009, 150, 139-150
    
    
16. Gourieroux, C., Phillips, P.C.B., Yu, J., ‘Indirect Inference for Dynamic Panel Models', Journal of Econometrics, 157 (2010) 68-77.
    
    
17. Kleppe, T.S., Yu, J., Skaug, H., ‘Simulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models', Advances in Econometrics, forthcoming.
    
    
18. Huang, S., Yu, J., ‘Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises', Journal of Economic Dynamics and Control, forthcoming.
    
    
19. Phillips, P.C.B., T. Magdalinos “Unit Root and Cointegrating Limit Theory when Initialization is in the Infinite Past”, Econometric Theory , forthcoming
    
    
20. Wang, Q., P. C. B. Phillips “Structural Nonparametric Cointegrating Regression”, Econometrica forthcoming
    
    
21. Seung Hyun (Luke) Hong, Phillips, P.C.B., “Testing Linearity in Cointegrating Relations with an Application to PPP”, Journal of Business and Economic Statistics, forthcoming
    
    
22. Jin Seo Cho, Chirok Han, Phillips, P.C.B., “LAD Asymptotics under Conditional heteroskedasticity with Possibly Infinite Error Densities”, Econometric Theory, forthcoming
    
    
23. Carlo V. Fiorio, V.Hajivassiliou, Phillips, P.C.B., “ Bimodal t-ratios: The Impact of Thick Tails on Inference”, Econometrics Journal, forthcoming
    
    
24. Han, C., J-S Cho and P. C. B. Phillips “Infinite Density at the Median and Typical Shape of Stock Return Distributions”, Journal of Business and Economic Statistics, 2010 forthcoming

CSS :

1. Longevity Risk Management in Singapore's National Pension System
   Joelle H.Y. Fong, Olivia S. Mitchell, and Benedict S. K. Koh
   Published in The Journal of Risk and Insurance , 2011, Vol 78, No. 4, 961-981
   
   
2. “Collective Investments for Pension Savings: Lessons from Singapore's Central Provident Fund Scheme” (Benedict S.K.Koh, Olivia S. Mitchell and Joelle Fong), 2010, Pensions: An International Journal (forthcoming)
   
   
3. “Longevity Risk and Annuities in Singapore” (Joelle H.Y. Fong, Olivia S. Mitchell, and Benedict S.K.Koh), forthcoming in "Reorienting Retirement Risk Management" published by Pension Research Council, The Wharton School, 2010
   
   
4. "Financial Literacy among the Young: Evidence and Implications for Consumer Policy" (Lusardi, Annamaria, Olivia S. Mitchell and Vilsa Curto), 2010, Journal of Consumer Affairs (44, 2): 358-380
   
   
5. "Variable Payout Annuities and Dynamic Portfolio Choice in Retirement" (Horneff, W., J Maurer, Olivia Mitchell, and M. Stamos), 2010, Journal of Pension Economics and Finance, 9, April: 163-183
   
   
6. "Retirement Risk Management in Times of Turmoil" (Olivia S. Mitchell), 2010, Elder Law Journal. 17(20 439-460)
   
   
7. “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, by Koh, B., O. Mitchell and J. Fong (2008).
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8. “Investment patterns in Singapore's Central Provident Fund System”, Journal of Pension Economics and Finance, Vol 7, Issue 1, p37-65, by Koh, B., O. Mitchell, T. Tanuwidjaja and J.Fong (2008).
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CASA :

1. Adam J. Levitin, Susan M. Wachter, "Information Failure and the U.S. Mortgage Crisis", In The American Mortgage System: Rethink and Reform, Susan Wachter and Marty Smith, eds., Unviersity of Pennsylvania Press, Forthcoming, Spring 2011
   
   
2. Andrey Pavlov, Susan M. Wachter, "Subprime Lending and Real Estate Prices", Real Estate Economics, Vol.39, 2010
   
   
3. Green, R., R.S. Mariano, A. Pavlov, S. Wachter, "Misaligned Incentives and Mortgage Lending in Asia", Chapter 3 in Financial Sector Development in the Pacific Rim – NBER-EASE Vol 18, pp. 95 -111 (T. Ito and A. K. Rose, eds) – University of Chicago Press, 2009
   
   
4. Kim Kyung-Hwan, Man Cho, “Three Pillars of Mortgage Credit Risk Management: A Framework and the Korean Case'', Housing Finance International, December, 2009
   
   
5. Susan M. Wachter, Adam J. Levitin, Andrey D. Pavlov, “Bad and Good Securitization”, Wharton Real Estate Review, Volume XIII, 2009
   
   
6. Roberto S. Mariano and Murasawa, Y., “A Coincident Index, Common Factors, and Monthly Real GDP”, Oxford Bulletin of Economics and Statistics, forthcoming
   
   
7. Kyung-Hwan Kim, “Housing Finance and Urban Finance”, in Global Urbanization in the 21 st Century, edited by Eugene Birch and Susan Wachter, The University of Pennsylvania Press, forthcoming
   
   
8. Kim Kyung-Hwan, Man Cho, “Mortgage Market in Korea: Current State and Challenges Ahead", International Encyclopedia of Housing and Home, Elsevier, forthcoming 2010

CCIR :

1. Turk Thomas, Choo Yong Jeremy Goh and Cadance Ybarra, "The Effect of Poison Pill adoptions on Short- and Long-term Earning Forecasts", 2007 , 4 , 4, Corporate Ownership and Control, 127-131
   
   
2. Gary Caton and Choo Yong Jeremy Goh, "Shareholder Rights and Shareholder Rights Plans: Poison, Placebo or Prescription?", 06/2008 , 43 , 2, The Journal of Finance and Quantitative Analysis, 381
   
   
3. Turk, Thomas A, Goh Jeremy, Ybarra, Candace E., "Do Poison Pills Increase Firm Risk", Corporate Ownership & Control, Spring2008, Vol. 5 Issue 3, p47-53, 7p;
   
   
4. Jeremy C Goh, Gary Caton, Jeffrey Donaldson, "The Effect On Rivals When Firms Emerge From Bankruptcy", 2008, Corporate Ownership & Control / Volume 6, Issue 2, Winter 2008.
   

SKBI Working paper series:

CoFiE :

1. Yiu-Kuen Tse,Thomas Tao Yang, "Estimation of High-Frequency Volatility: An autoregressive Conditional Duration Approach", April, 2012 (CoFiE-WP-02-2012)
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2. Shouwei Liu, Yiu-Kuen Tse, "Estimation of Monthly Volatility: An Empirical Comparison of Realized Volatility, GARCH and ACD-ICV Methods", Feburary, 2012 (CoFiE-WP-01-2012)
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3. Andras Fulop, Junye Li, Jun Yu, "Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility ", December , 2011 (CoFiE-WP-10-2011)
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4. Peter C.B. Phillips, Shu-Ping Shi, Jun Yu, "Specification Sensitivity in
   Right -Tailed Unit Root Testing for Explosive Behavior ", November 23, 2011 (CoFiE-WP-09-2011)
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5. Xiaohu Wang,Jun Yu, "Double Asymptotics for an Explosive Continuous Time Model", November 18, 2011 (CoFiE-WP-08-2011)
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6. Ye Chen, Jun Yu, "Optimal Jackknife for Discrete Time and Continuous Time Unit Root ", Septemeber 27, 2011 (CoFiE-WP-07-2011)
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7. Yonghui Zhang,Liangjun Su, Peter C.B. Phillips, "Testing for Common Trends in Semiparametric Panel Data Models with Fixed Effects", Septemeber 22, 2011 (CoFiE-WP-06-2011)
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8. Daniel Preve, Yiu Kuen Tse, "Estimation of Time varying APIN and PSOS using high-frequency transaction data", August 26, 2011 (CoFiE-WP-05-2011)
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9. Tore Selland Kleppe, Jun Yu, Hans J. Skaug, "Simulated Maximum Likelihood Estimation for Latent Diffusion Models", July 23, 2011(CoFiE-WP-04-2011)
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10. Peter C.B. Phillips, Shu-Ping Shi, Jun Yu, "Testing for Multiple Bubbles ", May 4, 2011(CoFiE-WP-03-2011)
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11. Christopher J. Neely, David E. Rapach, Jun Tu, Guofu Zhou, "Forecasting the Equity Risk Premium: The Role of Technical Indicators", April 26,, 2011(CoFiE-WP-02-2011)
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12. Shu-Ping Shi, Jun Yu, "Specification Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles ", January 17, 2011(CoFiE-WP-01-2011)
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13. Yiu-Kuen Tse, Tao Yang, "Estimation of High-Frequency Volatility: An Autoregressive Conditional Duration Approach", May 2010 (CoFiE-WP-16-2011)
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14. Daniel Preve, Marcelo C. Medeiros, "Linear Programming-Based Estimators in Simple Linear Regression", 2010 (CoFiE-WP-15-2010)
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15. Su.L. and Y. Zhang, "Testing Cross-Sectional Dependence in Nonparametric Panel Date Models", October 2010 (CoFiE-WP-14-2010)
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16. Su, L. and M. Spindler, "Nonparametric Testing for Asymmmetric Information", August 2010 (CoFiE-WP-13-2010)
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17. Su, L., Hoderlein, S., and H. White, " Testing Monotonicity in Unobservables with Panel Data ", June 2010 (CoFiE-WP-12-2010)
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18. Yong Li, Jun Yu, 'Bayesian Hypothesis Testing in Latent Variable Models', October 17, 2010 (CoFiE-WP-11-2010)
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19. Philliips P.C.B., Jun Yu, 'A Conversation with Eric Ghysels co-President of the Society for Financial Econometrics',October 2, 2010 (CoFiE-WP-10-2010)
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20. Peter C.B. Phillips, Jun Yu, 'Corrigendum to "A Gaussian Approach for Continuous Time Models of the Short Term Interest Rate" ',July 22 , 2010 (CoFiE-WP-09-2010)
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21. Jun Yu, 'Measurement and High Finance', (CoFiE-WP-08-2010)
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22. Jun Yu, 'Simulation-based Estimation Methods for Financial Time Series Models', (CoFiE-WP-07-2010)
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23. Xiaohu Wang, Peter C.B. Phillips, Jun Yu , 'Bias in Estimating Multivariate and Univariate Diffusions', September 15, 2010 (CoFiE-WP-06-2010)
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24. Tore Selland Kleppe, Jun Yu, Hans J. Skang, 'Estimating the GARCH Diffusion: Simulated Maximum Likelihood in Continuous Time', January 5, 2010 (CoFiE-WP-05-2010)
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25. Philliips, P.C.B., Liangjun Su, 'Nonparametric Regression under Location Shifts', May 11, 2010 (CoFiE-WP-04-2010)
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26. Phillips, P.C.B., Tassos Magdalinos, 'Inconsistent VAR Regression with Common Explosive Roots', January 28, 2010 (CoFiE-WP-03-2010)
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27. Qiankun Zhou, Yu., J., 'Asympotic Distributions of the Least Square Estimator for Diffusion Processes', January 21, 2010 (CoFiE-WP-02-2010)
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28. Yong Li, Jun Yu, 'A New Bayesian Unit Root Test in Stochastic Volatility Models', January 10, 2010 (CoFiE-WP-01-2010)
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29. Jacques Olivier, Anthony Tay, 'Time-Varying Incentives in the Mutual Fund Industry', November 2009 (CoFiE-WP-10-2009)
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30. Tore Selland Kleppe, Yu, J., Hans J. Skaug, 'Simulated Maximum Likelihood Estomation of Continuous Time Stochastic Volatility Models', June 30, 2009 (CoFiE-WP-09-2009)
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31. Phillips, P.C.B., Yu, J., 'Maximum Likehood and Gaussian Estimation of Contingent-claims Prices', May 11, 2009. (CoFiE-WP-08-2009)
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32. Phillips, P.C.B., Yu, J., 'Dating the Timeline of Financial Bubbles during the Subprime Crisis', April 28, 2009. (CoFiE-WP-07-2009)
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33. Phillips, P.C.B., Tassos Magdalinos, 'Econometric Inference in the Vicinity of Unity', April 17,2009 (CoFiE-WP-06-2009)
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34. Phillips, P.C.B., Yu, J., 'Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods of Time Series Date', April 11,2009 (CoFiE-WP-05-2009)
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35. Yu, J., 'Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results', April 1, 2009. (CoFiE-WP-04-2009)
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36. Phillips, P.C.B., Chirok Han, Jin Seo Cho, 'Infinite Density at the Median and the Typical Shape Return Distributions', April, 2009 (CoFiE-WP-03-2009)
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37. Phillips, P.C.B., Chirok Han, Jin Seo Cho, 'LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities', April, 2009 (CoFiE-WP-02-2009)
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38. Ioannis Kasparis, Phillips, P.C.B., 'Dynamic Misspecification in Nonparametric Cointegrating Regression', March 2009. (CoFiE-WP-01-2009)
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39. Huang, S., Yu, J., ‘Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises', September 15, 2008. (CoFiE-WP-07-2008)
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40. Yu, J., ‘Biases in the Estimation of Mean Reversion Parameter in a Simple Continuous Time Model', September 17, 2008. (CoFiE-WP-06-2008)
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41. Phillips, P.C.B., Yu, J., ‘Simulation-based Estimation of Contingent-claims Prices', August 20, 2008. (CoFiE-WP-05-2008)
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42. Yu, J., ‘A Semiparametric Stochastic Volatility Model', July 31, 2008. (CoFiE-WP-04-2008)
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43. 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?', (CoFiE-WP-03-2008)
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44. Mariano, R.S, D. Preve, 'Statistical Tests for Multiple Forecast Comparison', July 2008. (CoFiE-WP-02-2008)
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45. Phillips, P.C.B., Yu, J., ‘Information Loss in Volatility Measurement with Flat Price Trading', May 30, 2008. (CoFiE-WP-01-2008)
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46. Eriksson, A., Preve, D., Yu, J., ‘Forecasting Realized Volatility Using a Nonnegative Semiparametric Model', December 27, 2007. (CoFiE-WP-02-2007)
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47. Skaug, H. and Yu, J., ‘Automatic Likelihood Based Inference for Stochastic Volatility', November 28, 2007. (CoFiE-WP-01-2007)
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CSS:

1. “Implications of the Financial Crisis for Long Run Retirement Security”, by Olivia S. Mitchell (WP2010-02)
   
   
2. “Fees, Framing, and Financial Literacy in the Choice of Pension Manager”, Justine Hastings, by Olivia S. Mitchell and Eric Chyn, (WP2010-09)
   
   
3. “Longevity Risk Management in Singapore's National Pension System”, by Benedict S. Koh, Olivia S. Mitchell and Joelle HY.. Fong,
   
   
4. “Collective Investments for Pension Saving: Lessons from Singapore's Central Provident Fund Scheme”, by Benedict S. Koh, Olivia S. Mitchell and Joelle HY.. Fong, October 8,2009
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5. "Longevity Risk and Annuities in Singapore”, by Joelle H.Y. Fong,Olivia S.Mitchell, and Benedict S.Koh.
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6. “Financial Literacy among the Young: Evidence and Implications for Consumer Policy”, Annamaria Lusardi, by Olivia S. Mitchell and Vilsa Curto (WP2009-09)
   
   
7. “The Evolution of Retirement Risk Management”, Robert L.Clark and Olivia S. Mitchell (WP2009-12)
   
   
8. “Financial Literacy and Financial Sophistication Among Older Americans”, Annamaria Lusardi,Olivia S. Mitchell and Vilsa Curto(WP2009-25)
   

CASA :

1. Man Cho, Kyung-Hwan Kim, Susan M. Wachter," Interest Rates, User Cost of Capital, and Housing Price Dynamics",
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2. Chaitra H. Nagaraja, Lawrence D.Brown, Susan M. Wachter, "House Price Index Methodology", 2011
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3. Bradford Case, Andrey Pavlov and Susan Wachter “Diversification Benefits of REITS: International Evidence”, September 2008
   
   
4. Richard Green, Roberto Mariano, Andrey Pavlov, Susan Wachter, "Misaligned Incentives and Mortgage Lending in Asia'', November 2008.
   
   
5. Phang Sock Yong, Kyung Hwan Kim and Susan Wachter, “Land Use Regulations as a Two-Edged Sword: An International Comparison of Housing Supply Regimes” Allied Social Science Association Meetings, San Francisco, January, 2009
   
   
6. Adam J. Levitin, Andrey D. Pavlov and Susan M. Wachter, “Securitization: Cause or Remedy of the Financial Crisis”, August 2009
   
   
7. Susan Wachter and Andrey Pavlov, “REITs and Underlying Real Estate Markets: Is There a Link?”, March, 2010
   
   
8. Phang Sock Yong, “Affordable homeownership policy: implications for housing markets and housing elasticities”, paper presented at the European Real Estate Society Conference, Stockholm, June 2009
   
   
9. Roberto S. Mariano and Daniel Preve, “Model-Free Tests for Multiple Forecast Comparison”, September 2009
   
   
10. Kim Kyung-Hwan, Man Cho, “Mortgage Market in Korea: Current State and Challenges Ahead'', International Encyclopedia of Housing and Home, Elsevier, forthcoming 2010
    
    
11. Kim Kyung-Hwan, Man Cho, “Housing Price Dynamics'', 2010
    
    
12. Kim Kyung-Hwan, “Green Belts and Housing Supply'', 2010
    
    
13. Phang Sock Yong, Kim Kyung-Hwan, Susan Wachter, “Supply Elasticity of Housing”, June 2010

CCIR:

1. "The Case of Seasoned Equity Offerings" , by Jeremy C Goh, Sai Pang (Justin) Chan, Gary Caton, Sheng-Yung Yany, Dec 2008
   
   
2. Chiraphol New Chiyachantana, Gary Caton, Choong Tze Chua, Choo Yong, Jeremy Goh , "Earnings Management Surrounding Seasoned Bond Offerings: Do Managers Fool Rating Agencies and the Bond Market?" , Apr 2009
   
   
3. Goh, Jeremy, “Do Investors Value Corporate Governance? Evidence from Singapore”, July 2009
   
   
4. Chiraphol New Chiyachantana, Gary Caton, Choong Tze Chua, Jeremy Goh, “Earnings Management Surrounding Seasoned Bond Offerings: Do Managers Fool Rating Agencies and the Bond Market?” July 2009
   
   
5. Jeremy Goh and Lee Yen Teik, “Exchange Traded Fund Based on Participatory Notes” August 2009

SKBI:

1. "An Analysis of Extreme Price Stocks and Illiquidity Among Systematic Trend Followers", by Bernard Lee, Shih-Feng Cheng, Annie Koh, March 2010
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2. "Using Volatility Instruments as Extreme Downside Hedges", by Bernard Lee, Yueh-Neng Lin, August 2010
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