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Ye Lu

School of Economics

University of Sydney

ye.lu1 [at] sydney.edu.au

I am an econometrician interested in econometric theory, time series econometrics, continuous-time models, and nonlinear dynamics.

Click here to see my fellow econometricians at USyd School of Economics.

I will be on sabbatical leave from University of Sydney during July-December 2026. During this period, I will visit the Department of Economics at University of Oxford as an Academic Visitor from October to December 2026.

Recent and upcoming seminar presentations

September 29, 2026: Georgetown University, US.

October 5, 2026: University of Pennsylvania, US.

November 23, 2026: Aarhus University, Denmark.

Publications

Kendall’s tau and Spearman’s rho for normal location-scale and skew-normal scale mixture copulas (2026). Journal of Multivariate Analysis, 214, 105633.

[Working paper version]

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.

[Working paper version]

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.

Working papers

Work in progress

Admissible discount factors: a semigroup perspective, with John Stachurski.
Maximum simulated likelihood estimation for factor copula models, with James Priest.

Teaching

University of Sydney

ECMT1020 Introduction to Econometrics, 2021-2026.
ECOS3904 Applied Macroeconometrics, 2017-2020.
ECMT6006 Applied Financial Econometrics, 2018-2026.

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