Financial Econometrics

Professor Jun Yu has expertise in Computer Science and Economics, his research interests includes financial econometrics, empirical asset pricing, and econometric theory. Professor Yu has published more than 30 articles in leading academic journals and edited handbooks in economics, finance and statistics, including Review of Financial Studies, International Economic Review, Journal of Econometrics, Econometric Theory, Journal of Business and Economic Statistics, Handbook of Financial Time Series, Handbook of Computational Finance.

Faculty profile:  https://www.smu.edu.sg/faculty/profile/9561/YU-Jun

In this video, he shares with us about the application of econometric methods that he designed and how he use it to characterize financial data, and to the estimation and testing of selected models of modern finance theory. He and his co-authors Professor Phillips and Yang Ru Wu proposed recursive regression techniques to econometrically identify asset bubbles and to estimate the bubble origination date and the bubble collapsing date. Such estimates can be useful in designing an early warning detection system for the overheated asset market. The techniques have received attention in several central banks and policy makers, including Monetary Authority of Singapore, URA Singapore, Monetary Authority of Hong Kong. These research findings can potentially have serious policy implications on economic growth and can help central bankers and policy makers prepare for crises.