Working Papers

Working Papers:

Weak Identification of Long Memory with Implications for volatility modelling (with Jia Li, Peter Phillips, Shuping Shi) previously entitled Weak Identification of Long Memory with Implications for Inference
Fractional Gaussian Noise: Spectral Density and Estimation Methods (previously titled Finite Sample Comparison of Alternative Estimators for Fractional Gaussian Noise) (with Shuping Shi and Chen Zhang)
Fractional Stochastic Volatility Model (with Xiaobin Liu and Shuping Shi)
Local Powers of Least-Squares-Based Test for Panel Fractional Ornstein-Uhlenbeck Process (with Katsuto Tanaka and Weilin Xiao)
Econometric Methods and Data Science Techniques: A Review of Two Strands of Literature and an Introduction to Hybrid Methods (with Tian Xie and Tao Zeng)
A Quantile-based Asset Pricing Model (with Tomohiro Ando, Jushan Bai and Mitohide Nishimura)
Boosting Store Sales Through Machine Learning-Informed Promotional Decisions (with Yue Qiu, Wenbin Wang, Tian Xie, Xinyu Zhang)
Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods in Time Series Data (with Peter Phillips)
Shrinkage Estimation of Covariance Matrix for Portfolio Choice with High Frequency Data (with Cheng Liu and Ningning Xia)
Deviance Information Criterion for Model Selection: Theoretical Justification and Applications (with Yong Li, Nianling Wang and Tao Zeng)
Hypothesis Testing via Posterior-Test-Based Bayes Factors (with Yong Li, Nianling Wang and Yonghui Zhang)
Asymptotic Theory for Explosive Fractional Ornstein-Uhlenbeck Processes (with Hui Jiang, Yajuan Pan, Weilin Xiao, Qingshan Yang)
On the Spectral Density of Fractional Ornstein-Uhlenbeck Processes (with Shuping Shi and Chen Zhang)
Multivariate Stochastic Volatility Models based on Generalized Fisher Transformation (with Yijie Fei and Han Chen)

Publications:

Textbook:

Financial Econometric Modelling, Oxford University Press, (with Stan Hurn, Vance Martin, Peter Phillips), 2020, 640 pages. Order it from Oxford University Press, Amazon or Book Depository

Forthcoming

On the Optimal Forecast with the Fractional Brownian Motion (with Xiaohu Wang and Chen Zhang)
Robust Testing for Explosive Behavior with Strongly Dependent Errors (with Yiu Lim Lui, Peter Phillips), Journal of Econometrics, 2024, 238(2), 105626 (Online Supplement).

2023

A Panel Clustering Approach to Analyzing Bubble Behavior (with Yanbo Liu and Peter Phillips) (online supplement) (the full version and its online supplement)
International Economic Review, 64(4), 1347-1395.
Volatility Puzzle: Long Memory or Anti-persistency (earlier version titled Different Strokes for Different Folks: Long Memory and Roughness) (with Shuping Shi)
Management Science, 69(7), 3861-3883
Improved Marginal Likelihood Estimation via Power Posteriors and Importance Sampling (with Yong Li and Nianling Wang)
Journal of Econometrics, 234, 28-52
Modeling and Forecasting Realized Volatility with the Fractional Ornstein-Uhlenbeck Process (with Xiaohu Wang and Weilin Xiao) (online supplement, R code and data used in the empirical studies in the paper)
Journal of Econometrics, 232, 389-415.
Bubble Testing under Polynomial Trends (with Xiaohu Wang) (online supplement)
Econometrics Journal, 26(1), 25-44.
Latent Local-to-Unity Models (with Xiaohu Wang)
Econometric Reviews, 42(7), 586-611.
Asymptotic Properties of Least Squares Estimator in Local to Unity Processes with Fractional Gaussian Noises (with Xiaohu Wang and Weilin Xiao)
Advances in Econometrics, 45A, 73-95.
Information Loss in Volatility Measurement with Flat Price Trading (with Peter Phillips)
Empirical Economics, 64, 2957-2999.

2022

A Posterior-Based Wald-Type Statistic for Hypothesis Testing (with Yong Li, Xiaobin Liu and Tao Zeng)
Journal of Econometrics, 230, 83-113.
The Grid Bootstrap for Continuous Time Models (with Yiu Lim Lui and Weilin Xiao)
Journal of Business & Economic Statistics, 40(3). 1390-1402.
Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks (with Yue Qiu, Tian Xie, Qiankun Zhou)
Journal of Financial Econometrics, 20(1), 160-186.

2021

In-fill Asymptotic Theory for Structural Break Point in Autoregression (with Liang Jiang and Xiaohu Wang)
Econometric Reviews, 40, 359-386.
Mild-explosive Autoregression with Anti-persistent Errors (with Yiu Lim Lui and Weilin Xiao, NASDAQ data used in the paper)
Oxford Bulletin of Economics and Statistics, 83(2), 518-539.
Housing Equity and Household Consumption in Retirement: Evidence from the Singapore Life Panel (with Lipeng Chen, Liang Jiang, Sock Yong Phang)
New Zealand Economics Papers, 55(1), 124-140.

2020

Deviance Information Criterion for Latent Variable Models and Misspecified Models (with Yong Li and Tao Zeng)
Journal of Econometrics, 216(2), 450-493 (online supplement)
Model Selection for Explosive Models (with Yubo Tao)
Advances in Econometrics, Vol 41, 73-103
Maximum Likelihood Estimation for the Fractional Vasicek Model (with Katsuto Tanaka and Weilin Xiao)
Econometrics, 2020, 8, 32, 1-28

2019

Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour (with Yubo Tao and Peter Phillips)
Journal of Econometrics, 209, 208-237 (online supplement)
Asymptotic Theory for Estimating Drift Parameters in the Fractional Vasicek Model (with Weilin Xiao)
Econometric Theory, 38, 198-231
Hypothesis Testing, Specification Testing and Model Selection Based on the MCMC Output using R (with Yong Li and Tao Zeng, R code)
Handbook of Statistics Vol 41, Chapter 4, 81-115.
Asymptotic Theory for Rough Fractional Vasicek Models (with Weilin Xiao, online supplement)
Economics Letters, 177, 26-29
An Improved Bayesian Unit Root Test in Stochastic Volatility Models (with Yong Li)
Annals of Economics and Finance, 20, 103-122
Forecasting Realized Volatility using a Nonnegative Semiparametric Model (with Daniel Preve and Anders Eriksson, Month RV Data from Jan 1946-Dec 2004)
Journal of Risk and Financial Management, 12, 139, 1-23

2018

New Distribution Theory for the Estimation of Structural Break Point in Mean (with Liang Jiang and Xiaohu Wang)
Journal of Econometrics, 205, 156-176
Specification Tests based on MCMC Output (with Yong Li and Tao Zeng)
Journal of Econometrics, 207, 237-260. Online Supplement to Specification Tests based on MCMC Output

2017:

Inference in Continuous Systems with Mildly Explosive Regressors (with Ye Chen and Peter Phillips)
Journal of Econometrics, 2017, 201, 400-416. Online Supplement to inference in Continuous Systems with Mildly Explosive Regressors
Bayesian Analysis of Bubbles in Asset Prices (with Andras Fulop)
Econometrics, (a special issue in honor of Peter Phillips), 2017, 5(4), 47

2016:

Double Asymptotics for Explosive Continuous Time Models (with Xiaohu Wang)
Journal of Econometrics, 2016, 193, 35-53

2015:

Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500 (with Peter Phillips and Shu-Ping Shi, supplement material)
International Economic Review, 2015, 56(4), 1043-1078
Testing for Multiple Bubbles: Limit Theory of Real Time Detector (with Peter Phillips and Shu-Ping Shi)
International Economic Review, 2015, 56(4), 1079-1134
Supplement to Two Papers on Multiple Bubbles (with Peter Phillips and Shu-Ping Shi)
International Economic Review, 2015, 56(4)
Self-Exciting Jumps, Learning, and Asset Pricing Implications (with Junye Li and Andras Fulop)
Review of Financial Studies, 2015, 28(3), 876-912.
A Bayesian Chi-Squared Test for Hypothesis Testing (with Yong Li and Xiao-Bin Liu)
Journal of Econometrics, 2015, 189, 54-69.
Limit Theory for an Explosive Autoregressive Process (with Xiaohu Wang)
Economic Letters, 2015, 126, 176-180
Asymptotic Theory for Linear Diffusions under Alternative Sampling Schemes (with Qiankun Zhou)
Economic Letters, 2015, 128, 1-5
Optimal Jackknife for Unit Root Models (with Ye Chen)
Statistics and Probability Letters, 2015, 99, 135-142
Bias in the Estimation of Mean Reversion in Continuous-Time Levy Processes (with Yong Bao, Aman Ullah and Yun Wang)
Economic Letters, 2015, 134, 16-19
New Methodology for Constructing Real Estate Price Indices Applied to the Singapore Residential Market (with Liang Jiang and Peter Phillips)
Journal of Banking and Finance, 2015, 61. S121-S131.

2014:

Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results
Econometric Theory, 2014, 30, 737-774
A New Approach to Bayesian Hypothesis Testing (with Yong Li and Tao Zeng)
Journal of Econometrics, 2014, 178, 602-612
Maximum Likelihood Estimation of Partially Observed Diffusion Models (with Tore Kleppe and Hans Skaug)
Journal of Econometrics, 2014, 180, 73-80
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior (with Peter Phillips and Shu-Ping Shi)
Oxford Bulletin of Economics and Statistics, 2014, 76, 315-333
Deviance Information Criterion for Comparing VAR Models (with Tao Zeng and Yong Li)
Advances in Econometrics, 2014, 33, 615-637
A Flexible and Automatic Likelihood Based Framework for Inference in Stochastic Volatility Models, Programs and data used in the paper (with Hans Skaug)
Computational Statistics and Data Analysis, 2014, 76, 642-654

2013:

Detecting Bubbles in Hong Kong Residential Property Market (with Matthew Yiu and Lu Jin)
Journal of Asian Economics, 2013, 28, 115-124

2012:

Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models
Journal of Econometrics, 2012, 169, 114-122
A Semiparametric Stochastic Volatility Model
Journal of Econometrics, 2012, 167, 473-482
Bayesian Hypothesis Testing in Latent Variable Models
Journal of Econometrics, 2012, 166, 237-246 (with Yong Li)
An Conversation with Eric Ghysels
Econometric Theory, 2012, 28, 207-217 (with Peter Phillips)

2011:

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)
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)
Bias in Estimating Multivariate and Univariate Diffusions
Journal of Econometrics, 2011, 161, 228-245 (with Xiaohu Wang and Peter Phillips)
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)
Corrigendum to “A Gaussian Approach for Continuous Time Models of the Short Term Interest Rate”
Econometrics Journal, 2011, 14, 126-129 (with Peter Phillips)

2010:

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

2009:

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

2008:

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

2007:

Temporal Aggregation and Risk-Return Relation
Finance Research Letters, 2007, 4, 104-115 (with Xing Jin and Leping Wang)
On Stiffness in Affine Asset Pricing Models
Journal of Computational Finance, 2007, 10, 99-123 (with Shirley Huang)
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:

Multivariate Stochastic Volatility: A Review
Econometric Reviews, 2006, 25, 145-175 (with Manabu Asai and Mike McAleer)
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)
Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
Econometric Reviews, 2006, 25, 361-384 (with R. Meyer)
Realized Variance and Market Microstructure Noise - Comment
Journal of Business & Economic Statistics, 2006, 24, 202-208 (with Peter Phillips)
A Class of Nonlinear Stochastic Volatility Models, JCIS-2006 Proceedings, doi:10.2991/jcis.2006.87

2005:

Comment: A Selective Overview of Nonparametric Methods in Financial Econometrics
Statistical Science, 2005, 20, 338-343 (with Peter Phillips)
On Leverage in a Stochastic Volatility Model
Journal of Econometrics, 2005, 127, 165-178
Jackknifing Bond Option Prices
Review of Financial Studies, 2005, 18, 707-742 (with Peter Phillips)

2004:

Deviance Information Criterion for Comparing Stochastic Volatility Models
Journal of Business & Economic Statistics, 2004, 22, 107-120 (with Andreas Berg and Renate Meyer)
Estimation of Hyperbolic Diffusion using MCMC Method
Quantitative Finance, 2004, 4, 158-169 (with Y.K. Tse and X.B. Zhang)
Empirical Characteristic Function Estimation and Its Applications
Econometric Reviews, 2004, 23, 93-123

2002:

Empirical Characteristic Function In Time Series Estimation
Econometric Theory, 2002, 18(3), 691-721 (with John Knight)
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)
Forecasting Volatility in the New Zealand Stock Market
Applied Financial Economics, 2002, 12, 193-202

2001:

An Gaussian Approach for Continuous Time Models of The Short Term Interest Rates
The Econometrics Journal, 2001, 4(2), 211-225 (with Peter Phillips)
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)
Forecasting Volatility: Evidence from the German Stock Market
International Conference on Volatility, 2001 (with Hagen Bluhm)

2000:

BUGS for a Bayesian Analysis of Stochastic Volatility Models
The Econometrics Journal, 2000, 3(2), 198-215 (with Renate Meyer)
Test for Finite Variance Stock Return Distributions
Return Distributions in Finance edited by Knight and Satchell, 2000, 143-164, Butterworth-Heinemann

1999:

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 and Editor’s Introduction:

1. Bayesian Methods in Economics and Finance: Editor’s Introduction

Journal of Econometrics, 230, 1-2.

2. Forecasting Singapore GDP using SPF Data (with Tian Xie)

Macroeconometric Review, 2020, October, 112-121.

3. Special Issue of Econometric Theory on SETA2010: Editors’ Introduction

Econometric Theory, 2014, 30(1), 1-2

4. Bubble or roller coaster in world stock markets

Business Times, 2013, June 28 (with Peter Phillips)

5. Recent advances in nonstationary time series: A festschrift in honor of Peter C.B. Phillips

Journal of Econometrics, 2012, 169, 139-141

6. Recent advances in panel data, nonlinear and nonparametric models: A festschrift in honor of Peter C.B. Phillips