YU Jun

YU Jun is a Lee Kong Chian Professor of Economics and Finance at Singapore Management University (SMU), holding dual appointments in the Lee Kong Chian School of Business and School of Economics. His roles include Lead Principal Investigator of the Centre for Research on the Economics of Ageing (2014–2020) and Director of the Sim Kee Boon Institute for Financial Economics (2011–2014). He has been a Full-time Faculty member since 2016, with prior roles as Professor of Finance and Economics at SMU.

YU Jun holds a Ph.D. in Economics (1998) from the University of Western Ontario, an M.A. in Economics (1994), and a dual B.Sc. in Mathematics and B.A. in Economics from Wuhan University (1990).

His research focuses on Financial Econometrics, including asset pricing, econometric theory, and stochastic volatility modeling. Notable contributions include work on hypothesis testing via MCMC, realized volatility forecasting, and bubble detection in financial markets. His methods address challenges in continuous-time models, structural breaks, and latent variable analysis.

YU Jun has received prestigious awards such as the Lee Kuan Yew Fellow for Research Excellence (2009–2010, 2004–2005) and the Marsden Award (2001). Over 20 doctoral students have been advised, with specialties in econometrics, finance, and quantitative methods.

His work spans collaborative research centers and influential textbooks like Financial Econometric Modelling (Oxford University Press, 2020). Current research explores real-time bubble detection, fractional processes, and Bayesian model selection techniques.