School of Economics, University of Sydney
ye.lu1 [at] sydney.edu.au
[CV] [My USyd page]
I am an econometrician interested in econometric theory, time series econometrics, and high-dimensional methods. Click here to see my fellow econometricians at USyd School of Economics.
April 11, 2025: seminar at Monash University.
February 12, 2025: seminar at University of Bologna.
January 24, 2025: seminar at Sapienza University of Rome.
Understanding regressions with observations collected at high frequency over long span (2025). Quantitative Economics, 16 (2), 405-457. With Yoosoon Chang and Joon Y. Park.
[Working paper version] [Replication package]
Electricity price spike clustering: A zero-inflated GARX approach (2023). Energy Economics, 124. With Neyavan Suthaharan.
Bootstrap inference for Hawkes and general point processes (2023). Journal of Econometrics, 235 (1), 133-165. With Giuseppe Cavaliere, Anders Rahbek, and Jacob Stærk-Østergaard.
[Working paper version] [MATLAB code] [R code]
Testing for stationarity at high frequency (2020). Journal of Econometrics, 215 (2), 341-374. With Bibo Jiang and Joon Y. Park.
Estimation of long-run variance of continuous time stochastic process using discrete sample (2019). Journal of Econometrics, 210 (2), 236-267 With Joon Y. Park.
Admissible discount factors: a semigroup perspective, with John Stachurski.
Maximum simulated likelihood estimation for factor copula models, with James Priest.
University of Sydney
ECMT1020 Introduction to Econometrics, 2021-2025
ECOS3904 Applied Macroeconometrics, 2017-2020.
ECMT6006 Applied Financial Econometrics, 2018-2025