Photo of Dr Ruijun Bu

Dr Ruijun Bu (B.Eng, M.Sc, Ph.D)

Senior Lecturer in Econometrics Economics

    Publications

    2021

    Diffusion Copulas: Identification and Estimation (Journal article)

    Bu, R., Hadri, K., & Kristensen, D. (2021). Diffusion Copulas: Identification and Estimation. Journal of Econometrics, 221(2), 616-643. doi:10.1016/j.jeconom.2020.06.004

    DOI: 10.1016/j.jeconom.2020.06.004

    2020

    Uniform and Lp Convergences of Nonparametric Estimation for Diffusion Models, R&R (Journal article)

    Bu, R., Kim, J., & Wang, B. (n.d.). Uniform and Lp Convergences of Nonparametric Estimation for Diffusion Models, R&R. Journal of Econometrics.

    A latent-factor-driven endogenousregime-switching non-Gaussianmodel: Evidence from simulation and application (Journal article)

    Bu, R., Cheng, J., & Jawadi, F. (2020). A latent-factor-driven endogenousregime-switching non-Gaussianmodel: Evidence from simulation and application. INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS. doi:10.1002/ijfe.2192

    DOI: 10.1002/ijfe.2192

    Macroeconomic fundamentals, jump dynamics and expected volatility (Journal article)

    Pan, Z., Bu, R., Liu, L., & Wang, Y. (2020). Macroeconomic fundamentals, jump dynamics and expected volatility. QUANTITATIVE FINANCE, 20(8), 1345-1371. doi:10.1080/14697688.2020.1736317

    DOI: 10.1080/14697688.2020.1736317

    A Bayesian approach to continuous type principal-agent problems (Journal article)

    Assaf, A. G., Bu, R., & Tsionas, M. G. (2020). A Bayesian approach to continuous type principal-agent problems. European Journal of Operational Research, 280(3), 1188-1192. doi:10.1016/j.ejor.2019.07.058

    DOI: 10.1016/j.ejor.2019.07.058

    A multifactor transformed diffusion model with applications to VIX and VIX futures (Journal article)

    Bu, R., Jawadi, F., & Li, Y. (2020). A Multi-Factor Transformed Diffusion Model with Applications to VIX and VIX Futures. Econometric Reviews, 39(1), 27-53. doi:10.1080/07474938.2019.1690195

    DOI: 10.1080/07474938.2019.1690195

    2019

    What Affects the Relationship between Oil Prices and the U.S. Stock Market? A Mixed-Data Sampling Copula Approach (Journal article)

    Bu, R., Chen, Q., & Gong, Y. (n.d.). What Affects the Relationship between Oil Prices and the U.S. Stock Market? A Mixed-Data Sampling Copula Approach. Journal of Financial Econometrics.

    Are financial returns really predictable out-of-sample?: Evidence from a new bootstrap test (Journal article)

    Liu, L., Bu, R., Pan, Z., & Xu, Y. (2019). Are financial returns really predictable out-of-sample?: Evidence from a new bootstrap test. ECONOMIC MODELLING, 81, 124-135. doi:10.1016/j.econmod.2018.12.014

    DOI: 10.1016/j.econmod.2018.12.014

    Does the Volatility of Volatility Risk Forecast Future Stock Returns? (Journal article)

    Bu, R., Fu, X., & Jawadi, F. (2019). Does the Volatility of Volatility Risk Forecast Future Stock Returns?. Journal of International Financial Markets, Institutions and Money, 61, 16-36. doi:10.1016/j.intfin.2019.02.001

    DOI: 10.1016/j.intfin.2019.02.001

    2017

    Specification analysis in regime-switching continuous-time diffusion models for market volatility (Journal article)

    Bu, R., Cheng, J., & Hadri, K. (2017). Specification analysis in regime-switching continuous-time diffusion models for market volatility. Studies in Nonlinear Dynamics and Econometrics, 21(1), 65-80. doi:10.1515/snde-2016-0047

    DOI: 10.1515/snde-2016-0047

    An empirical comparison of transformed diffusion models for VIX and VIX futures (Journal article)

    Bu, R., Jawadi, F., & Li, Y. (2017). An empirical comparison of transformed diffusion models for VIX and VIX futures. Journal of International Financial Markets, Institutions and Money, 46, 116-127. doi:10.1016/j.intfin.2016.08.003

    DOI: 10.1016/j.intfin.2016.08.003

    2016

    Reducible diffusions with time-varying transformations with application to short-term interest rates (Journal article)

    Bu, R., Cheng, J., & Hadri, K. (2016). Reducible diffusions with time-varying transformations with application to short-term interest rates. ECONOMIC MODELLING, 52, 266-277. doi:10.1016/j.econmod.2014.10.039

    DOI: 10.1016/j.econmod.2014.10.039

    2014

    Modeling Interest Rates Using Reducible Stochastic Differential Equations: A Copula-based Multivariate Approach (Chapter)

    Bu, R., Giet, L., Hadri, K., & Lubrano, M. (2014). Modeling Interest Rates Using Reducible Stochastic Differential Equations: A Copula-based Multivariate Approach. In Econometric Methods and Their Applications in Finance, Macro and Related Fields (pp. 5-29). WORLD SCIENTIFIC. doi:10.1142/9789814513470_0001

    DOI: 10.1142/9789814513470_0001

    2011

    Modeling Multivariate Interest Rates Using Time-Varying Copulas and Reducible Nonlinear Stochastic Differential Equations (Journal article)

    Bu, R., Giet, L., Hadri, K., & Lubrano, M. (2011). Modeling Multivariate Interest Rates Using Time-Varying Copulas and Reducible Nonlinear Stochastic Differential Equations. Journal of Financial Econometrics, 9(1), 198-236. doi:10.1093/jjfinec/nbq022

    DOI: 10.1093/jjfinec/nbq022

    2010

    Testing for Stationarity in Heterogeneous Panel Data in the Case of Model Misspecification (Journal article)

    Rao, Y., Hadri, K., & Bu, R. (n.d.). TESTING FOR STATIONARITY IN HETEROGENEOUS PANEL DATA IN THE CASE OF MODEL MISSPECIFICATION. Bulletin of Economic Research, 62(3), 209-225. doi:10.1111/j.1467-8586.2009.00327.x

    DOI: 10.1111/j.1467-8586.2009.00327.x

    2008

    Maximum likelihood estimation of higher-order integer-valued autoregressive processes (Journal article)

    Bu, R., McCabe, B., & Hadri, K. (n.d.). Maximum likelihood estimation of higher-order integer-valued autoregressive processes. Journal of Time Series Analysis, 29(6), 973-994. doi:10.1111/j.1467-9892.2008.00590.x

    DOI: 10.1111/j.1467-9892.2008.00590.x

    Model selection, estimation and forecasting in INAR(p) models: A likelihood-based Markov Chain approach (Journal article)

    Bu, R., & McCabe, B. (2008). Model selection, estimation and forecasting in INAR(p) models: A likelihood-based Markov Chain approach. International Journal of Forecasting, 24(1), 151-162. doi:10.1016/j.ijforecast.2007.11.002

    DOI: 10.1016/j.ijforecast.2007.11.002

    2007

    Estimating option implied risk-neutral densities using spline and hypergeometric functions (Journal article)

    Bu, R., & Hadri, K. (2007). Estimating option implied risk-neutral densities using spline and hypergeometric functions. The Econometrics Journal, 10(2), 216-244. doi:10.1111/j.1368-423x.2007.00206.x

    DOI: 10.1111/j.1368-423x.2007.00206.x