Photo of Dr Ruijun Bu

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

Senior Lecturer in Econometrics Economics

    Research

    Research Interests

    Financial Economics
    Financial Econometrics
    Time Series Analysis
    Quantitative Finance
    Continuous Time Stochastic Analysis

    Research Group Membership

    Research Grants

    Modelling Interest Rate Dynamics: A Flexible and Efficient Nonparametric Likelihood Approach

    ECONOMIC AND SOCIAL RESEARCH COUNCIL (ESRC)

    July 2012 - June 2014

    A new approach for modelling multivariate interest rates with applications to UK and US markets

    BRITISH ACADEMY (UK)

    January 2010 - December 2010

    A Pilot Study for Flexible and Efficient Modelling of a General Class of Short Term Interest Rate Dynamics

    BRITISH ACADEMY (UK)

    April 2014 - September 2015

    Research Collaborations

    Prof. Dennis Kristensen

    External: University College London

    Identification and Estimation of Diffusion Copulas

    Prof. Jihyun Kim

    External: Toulouse School of Economics

    Nonparametric Diffusion Estimation

    Prof. Fredj Jawadi

    External: University of Lille

    Multi-Factor Transformed Diffusion Models

    Prof. Abderrahim Taamouti

    External: Durham University

    Semiparametric Conditional Independence Tests

    Prof. Xiaojun Song

    External: Peking University

    Semiparametric Conditional Independence Tests

    Dr. Bin Wang

    External: Harbin Institute of Technology

    Nonparametric Diffusion Estimation

    Prof. Zhiyuan Pan

    External: Southwestern University of Finance and Economics

    Volatility Forecasing

    Dr. Jie Cheng

    External: Keele University

    Regime Switching Models