Working Papers:

  1. Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility (with Junye Li and Andras Fulop)
  2. Double Asymptotics for an Explosive Continuous Time Models (with Xiaohu Wang)
  3. A New Bayesian Unit Root Test in Stochastic Volatility Models (with Yong Li)
  4. Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models (with Ye Chen)
  5. Simulated Maximum Likelihood Estimation for Latent Diffusion Models (with Tore Kleppe and Hans Skaug)
  6. Information Loss in Volatility Measurement with Flat Price Trading  (with Peter Phillips)
  7. Automatic Likelihood Based Inference for Stochastic Volatility Models    Programs and data used in the paper (with Hans Skaug)
  8. Forecasting Realized Volatility using a Nonnegative Semiparametric Model (with Daniel Preve and Anders Eriksson, Month RV Data from Jan 1946-Dec 2004, Matlab code)
  9. Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior (with Peter Phillips and Shu-Ping Shi)
  10. Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes (with Qiankun Zhou)
  11. Testing for Multiple Bubbles (with Peter Phillips and Shu-Ping Shi)
  12. Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods in Time Series Data (with Peter Phillips)

Publications:

Forthcoming:

  1. A Semiparametric Stochastic Volatility Model
    Journal of Econometrics, forthcoming
  2. Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models
    Journal of Econometrics, forthcoming
  3. Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results
    Econometric Theory, forthcoming

2012:

  1. Bayesian Hypothesis Testing in Latent Variable Models
    Journal of Econometrics, 2012, 166, 237-246 (with Yong Li)

2011:

  1. Dating the Timeline of Financial Bubbles During the Subprime Crisis
    Quantitative Economics (a new journal from the Econometric Society), 2011, 2, 455-491 (with Peter Phillips)
  2. Simulation-based Estimation Methods for Financial Time Series Models
    Handbook of Computational Finance, 2011, Chapter 15, Page 427-465 (program code and data used in the paper)
  3. Bias in Estimating Multivariate and Univariate Diffusions
    Journal of Econometrics, 2011, 161, 228-245 (with Xiaohu Wang and Peter Phillips)
  4. Explosive Behavior in the 1990s Nasdaq: When did Exuberance Escalate Asset Values?
    International Economic Review, 2011, 52, 201-226 (with Peter Phillips and Yangru Wu)
  5. Corrigendum to “A Gaussian Approach for Continuous Time Models of the Short Term Interest Rate”
    Econometrics Journal,     2011, 14, 126-129 (with Peter Phillips)
  6. An Conversation with Eric Ghysels
    Econometric Theory, 2011, 28, 1-11 (with Peter Phillips)

2010:

  1. Indirect Inference of Dynamic Panel Models
    Journal of Econometrics, 2010, 157, 68-77 (with Christian Gourieroux and Peter Phillips)
  2. Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises
    Journal of Economic Dynamics and Control, 2010, 34, 2259-2272 (with Shirley Huang)
  3. Simulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models
    Advances in Econometrics, 2010, 26, 137-161 (with Tore Kleppe and Hans Skaug)

2009:

  1. Simulation-based Estimation of Contingent-claims Prices
    Review of Financial Studies 2009, 22, 3669-3705 (with Peter Phillips)
  2. A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete Data
    Journal of Econometrics, 2009, 150, 139-150 (with Peter Phillips)
  3. Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance
    Handbook of Financial Time Series, 2009, 497-530 (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.
    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.
    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
    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
    Journal of Econometrics, 2005, 127, 165-178
  3. Jackknifing Bond Option Prices.
    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
    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
    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)
  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)

 Op-Ed Articles:

1.      资产泡沫的预警系统, 联合早报, 2011, May 22 (with Peter Phillips)

2.      Warning Signs of Future Asset Bubbles, Straits Times, 2011, April 26 (with Peter Phillips)

3.      Using Financial Econometrics to Measure Risk, Business Times, 2010, October 27 (with Peter Phillips and Eric Ghysels)