Working Papers:

  1. A Semiparametric Stochastic Volatility Model.
  2. Information Loss in Volatility Measurement with Flat Price Trading  (with Peter Phillips)
  3. Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models (revised in October 2008)
  4. Automatic Likelihood Based Inference for Stochastic Volatility Models    Programs and data used in the paper (with Hans Skaug)
  5. Explosive Behavior in the 1990s Nasdaq: When did Exuberance Escalate Asset Values?  (with Peter Phillips and Yangru Wu)
  6. Forecasting Realized Volatility using a Nonnegative Semiparametric Model (with Daniel Preve and Anders Eriksson, Month RV Data from Jan 1946-Dec 2004, Matlab code)
  7. Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises (with Shirley Huang)

Publications:

Forthcoming:

  1. Simulation-based Estimation of Contingent-claims Prices (matlab code)
    Review of Financial Studies, forthcoming (with Peter Phillips)
  2. Indirect Inference of Dynamic Panel Models
    Journal of Econometrics, forthcoming (with Christian Gourieroux and Peter Phillips)
  3. A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete Data
    Journal of Econometrics, forthcoming (with Peter Phillips)
  4. Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance (Matlab code 1, Matlab code 2)
    Handbook of Financial Time Series, forthcoming (with Peter Phillips)

2008:

  1. An Efficient Method for Maximum Likelihood Estimation of a Stochastic Volatility Model
    Statistics and Its Interface, 2008, 1, 289-296 (with Shirley Huang)

2007:

  1. Temporal Aggregation and Risk-Return Relation
    Finance Research Letters, 2007, 4, 104-115  (with Xing Jin and Leping Wang)
  2. On Stiffness in Affine Asset Pricing Models, Matlab Programs used in the paper: Bond Pricing with 2-factor CIR, Bond Pricing with 3-factor BDFS.
    Journal of Computational Finance, 2007, 10, 99-123 (with Shirley Huang)
  3. Realized Daily Variance of S&P500 Cash Index: A Revaluation of Stylized Facts. Data: Realized variance of SP500 from Jan 4, 1993 to Dec 31, 2004.
    Annals of Economics and Finance, 2007, 8, 33-56 (with Shirley Huang and Qianqiu Liu)

2006:

  1. Multivariate Stochastic Volatility: A Review,
    Econometric Reviews, 2006, 25, 145-175 (with Manabu Asai and Mike McAleer)
  2. A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options,
    Computational Statistics and Data Analysis, 2006, 51, 2218-2231 (with  Zhenlin Yang and X.B Zhang)
  3. Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison   Programs and data used in the paper:   Australian and New Zealand dollar exchange rates ;  BUGS code for Mod 1;   BUGS code for Mod 2;   BUGS code for Mod 3;  BUGS code for Mod 4;  BUGS code for Mod 5;  BUGS code for Mod 6;  BUGS code for Mod 7;  BUGS code for Mod 8;  BUGS code for Mod 9,
    Econometric Reviews, 2006, 25, 361-384 (with R. Meyer)
  4. Realized Variance and Market Microstructure Noise - Comment.
    Journal of Business and Economic Statistics, 2006, 24, 202-208 (with Peter Phillips)
  5. A Class of Nonlinear Stochastic Volatility Models, JCIS-2006 Proceedings, doi:10.2991/jcis.2006.87

2005:

  1. Comment: A Selective Overview of Nonparametric Methods in Financial Econometrics.
    Statistical Science, 2005, 20, 338-343 (with Peter Phillips)
  2. On Leverage in a Stochastic Volatility Model (a previous draft of this paper was circulated under the title "MCMC methods for  estimating stochastic volatility models with leverage effects")  Programs and data used in the paper: SP500;  CRSP;  BUGS code for the conventional A-SV model;  BUGS code for JPR's A-SV model;  BUGS code for the encompassed A-SV model
    Journal of Econometrics,     2005, 127, 165-178
  3. Jackknifing Bond Option Prices. Programs and data used in the paper:  Swap and LIBOR Rates;   Matlab code for 1-factor CIR in simulations;   Matlab code for 1-factor CIR in applications;   Matlab code for 2-factor CIR in simulations;   Matlab code for 2-factor CIR in applications  
    Review of Financial Studies, 2005, 18, 707-742 (with Peter Phillips)

2004:

  1. Deviance Information Criterion for Comparing Stochastic Volatility Models
    Journal of Business and Economic Statistics, 2004, 22, 107-120 (with Andreas Berg and Renate Meyer)
  2. Estimation of Hyperbolic Diffusion using MCMC Method
    Quantitative Finance, 2004, 4, 158-169 (with Y.K. Tse and X.B. Zhang)
  3. Empirical Characteristic Function Estimation and Its Applications (a previous draft of this paper was circulated under the title "Estimation of a self-exciting Poisson jump diffusion model by the empirical characteristic function method")
    Econometric Reviews, 2004, 23, 93-123

2002:

  1. Empirical Characteristic Function In Time Series Estimation
    Econometric Theory, 2002, 18(3), 691-721 (with John Knight)
  2. Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method  data used in the paper: A$/NZ$ exchange rate between 1/193-31/12/97
    Australian and New Zealand Journal of Statistics, 2002, 44(3), 319-335 (with John Knight and Stephen Satchell)
  3. Forecasting Volatility in the New Zealand Stock Market
    Applied Financial Economics, 2002, 12, 193-202

2001:

  1. An Gaussian Approach for Continuous Time Models of The Short Term Interest Rates
    The Econometrics Journal, 2001, 4(2), 211-225 (with Peter Phillips)
  2. Do Stock Returns Follow a Finite Variance Distribution?
    Annals of Economics and Finance, 2001, 2(2), 467-486 (with Q.M. Shao and Hao Yu)
  3. Forecasting Volatility: Evidence from the German Stock Market
    International Conference on Volatility, 2001 (with Hagen Bluhm)

2000:

  1. BUGS for a Bayesian Analysis of Stochastic Volatility Models
    The Econometrics Journal, 2000, 3(2), 198-215 (with Renate Meyer) Program and Data: WinBugs Code for leverage SV model, pound/dollar exchange rate
  2. Test for Finite Variance Stock Return Distributions
    Return Distributions in Finance edited by Knight and Satchell, 2000, 143-164, Butterworth-Heinemann

 

1999:

  1. Testing the Expectations Theory of the Term Structure for New Zealand
    New Zealand Economic Papers, 1999, 33(1), 93-114 (with Graeme Guthrie and Julian Wright)

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