Weak identification of long memory with implications for volatility modeling

Speaker Prof. YU Jun, University of Macau

Time: 14:00, March 18

Avenue: Room 530, School of Economics, Zijingang Campus

Abstract: Professor Jun Yu is currently UMDF chair Professor of Finance and Economics at the University of Macau and Dean of the Faculty of Business Administration at the University of Macau. Professor Yu haspublished more than 90 papers. Many of these publications are in leading journals in finance and economics, including Review of Financial Studies, Journal of Econometrics, Management Science and International Economic Review. His articles for detecting the presence of asset pricebubbles and estimating their origination and termination dates have initiated a new area of research on the econometric analysis of bubbles infinancial assets and real estate. Professor Yu is an inaugural fellow of the Society of Financial Econometrics and also a fellow of the Journal of Econometrics. He serves as an Associate Editor of the Journal of Econometrics and Econometric Theory.