CURRICULUM VITAE
Personal Details
Name:
Jun Yu
Academic
Address:
Department of Economics
School of Business and Economics
The University of Auckland
Private Bag 92019
Auckland, New Zealand
Tel: 64 9 3737599 ext. 5770
Fax: 64 9 3737427
E-mail:
j.yu@auckland.ac.nz
Date of Birth: 05 June 1969
Citizenship:
Canadian Citizen, New Zealand Permanent Resident
Marital Status: Married with one child
Academic Qualifications
Ph.D. in Economics, The University of Western Ontario, 1998
M.A. in Economics, The University of Western Ontario, 1994
B.Sc. in Mathematics, Wuhan University, 1990
B.A. in Economics, Wuhan University, 1990
Academic Appointments
1998-
Lecturer, Department of Economics, The University of Auckland
Awards & Prizes
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The A R Bergstrom Prize in Econometrics, 1999
T.M. Browns Ph.D. Thesis Prize at the University of Western Ontario, 1998
Doctoral Fellowship of Social Sciences and Humanities Research Council of Canada
(SSHRC), 1997
Doctoral Scholarship of Natural Sciences and Engineering Research Council of Canada
(NSERC), 1997
Ontario Graduate Scholarship, 1997
Sir Arthur Currie Memorial Scholarship at the University of Western Ontario, 1995
Special University Scholarship at the University of Western Ontario, 1993-1998
Graduate Tuition Scholarship at the University of Western Ontario, 1994-1998
Undergraduate Fellowship, Wuhan University, 1990
Current Research Interests
Term Structure of Interest Rates, Option Pricing, Risk Management, Efficient Estimation of
Time-series Models
Consulting Experience
1998
1999
2000
Providing a longitudinal analysis of bank margins in USA and NZ for the ASB
bank in NZ
Running a short course on forecasting methods using econometric models for
the Reserve Bank in NZ, other commercial banks
Running a short course on forecasting methods using econometric models for
the Treasury in NZ
Teaching Interests
Econometrics, Finance
Teaching Experience
Undergraduate Courses
Mathematical Economics (Year 2), 1994, at the University of Western Ontario
Econometrics I (Year 2), 1995, at the University of Western Ontario
Econometrics II (Year 3), 1996, at the University of Western Ontario
Econometrics I (Year 2), 1999,2000, at the University of Auckland
Applied Econometrics I (Year 3), 1999,2000, at the University of Auckland
Graduate Courses
Econometric Theory, 1999,2000, at the University of Auckland
Financial Econometrics, 1999,2000, at the University of Auckland
Postgraduate Supervision
I have supervised nine Master students in the fields of econometrics and finance.
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Hagen Bluhm, Master Thesis, Forecasting Volatility on German Financial Markets Using
Non-linear Time Series Models
Ping Guan, Master Dissertation, Econometric Analysis of Term Structure of New
Zealand Interest Rates
Jenny Wong, Master Dissertation, Cointegration Analysis of Term Structure of New
Zealand Interest Rates
Scott Marsh, Master Dissertation, Which Other Currency Movements Have Most
Influence on the New Zealand Dollar
Katherine Skinner, Master Dissertation, Exchange Rates and Stock prices: a Purchasing
Power Parity Approach
Colleen Chan, Master Dissertation, Forecasting Volatility on Hang-Seng Stock Exchange
Using Non-linear Time Series Models
Douglas Lau, Master Dissertation, Optimal Electricity Generation from a Hydrodam
Based on an Option Pricing Framework
Yingzheng Zhang, Master Dissertation, New Zealand Interest Dynamics
Iris Pang, Master Dissertation, Testing the Efficient Market Hypothesis for the Hong
Kong Stock Market
I am co-supervising a Ph.D. student, Andreas Berg, in the filed of financial econometrics
External Examiner
Isarest Weeraprajak. A comparative study of time-series forecasting applied to stock
market price. University of Canterbury
Refereeing
I have refereed papers for Journal of Econometrics, Econometric Theory
Professional Activities
Co-chairman, New Zealand Econometrics Study Group Meeting, Auckland, 1999, 2001
Treasurer, New Zealand Econometrics Study Group, 1999 –
Member of American Finance Association
Member of Econometric Society
Conferences
My work has been presented at the following conferences.
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Canadian Econometrics Study Group Conference, September 1997, September 1998
NZ Econometrics Study Group Conference, July 1998, February 1999, July 1999, March
2000, March 2001
Quantitative Methods in Finance 1998, December 1998
Far Eastern Meeting of The Econometric Society 1999, July 1999
ANZIAM 2000, February 2000
Mid-west Econometric Study Group Conference, October 2000
Seminars & Workshops
I have been invited to give seminars at the following places.
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University of Melbourne, 2001
Monash University, 2001
University of Auckland, 1999,2001
Bank of Canada, 1998
University of Alberta, 1998
The University of Western Ontario, 1997, 1998
The University of Western Ontario, Department of Statistics, 1997
Publications in Refereed Journals
1. Empirical Characteristic Function In Time Series Estimation, Econometric Theory,
forthcoming (with John Knight)
2. Forecasting Volatility in the New Zealand Stock Market, Applied Financial Economics,
forthcoming
3. Do Stock Returns Follow A Finite Variance Distribution? Annals of Economics and
Finance, 2001, 2, 125-144 (with Q.M. Shao and Hao Yu)
4. BUGS for a Bayesian Analysis of Stochastic Volatility Models, The Econometrics
Journal, 2000, 3(2), 198-215 (with Renate Meyer)
5. Testing the Expectations Theory of the Term Structure for New Zealand, New Zealand
Economic Papers, 1999, 33(1), 93-114 (with Graeme Guthrie and Julian Wright)
Publications in Edited Books
6. Test for Finite Variance Stock Return Distributions, Return Distributions in Finance, Ed.
by J.L. Knight and S.E. Satchell, 2000, 143-164, Butterworth-Heinemann, Oxford
Papers Submitted to Refereed Journals
7. Gaussian Estimation of Continuous Time Models of Short Term Interest Rates (with
Peter C.B. Phillips), invited for submission to Econometrics Journal
8. Estimation of a Self-Exciting Poisson Jump Diffusion Model by the Empirical
Characteristic Function Method, submitted to Econometric Review
9. Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function
Method, submitted to Australian and New Zealand Journal of Statistics (with John
Knight and Steve Satchell)
10. Forecasting Volatility: Evidence from the German Stock Market, submitted to Journal of
Banking and Finance (with Hagen Bluhm)
Papers in Progress
1. Stochastic Processes for High Frequency Electricity Auction Prices (with John Small)
2. Goodness-of-fit Tests for Time Series Models by the Empirical Characteristic Function
(with Yongmiao Hong)
3. Bayesian Analysis of a Self-Exciting Jump Diffusion Model for Equity Markets (with
Renate Meyer)
4. Bayesian Analysis of Alternative Stochastic Volatility Models (with Andreas Berg and
Renate Meyer)