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, continuous-time models, and nonlinear dynamics.
Click here to see my fellow econometricians at USyd School of Economics.
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.
Kendall and Spearman rank correlations for skew-elliptical copulas. Accepted, Journal of Multivariate Analysis.
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, 2021-2026.
ECOS3904 Applied Macroeconometrics, 2017-2020.
ECMT6006 Applied Financial Econometrics, 2018-2026.