Working Papers:
- Bayesian Learning of Impacts of
Self-Exciting Jumps in Returns and Volatility (with Junye Li and
Andras Fulop)
- Double Asymptotics for an Explosive
Continuous Time Models (with Xiaohu Wang)
- A
New Bayesian Unit Root Test in Stochastic Volatility Models (with Yong
Li)
- Optimal Jackknife for Discrete
Time and Continuous Time Unit Root Models (with Ye Chen)
- Simulated Maximum Likelihood
Estimation for Latent Diffusion Models (with Tore Kleppe and Hans
Skaug)
- Information Loss in Volatility
Measurement with Flat Price Trading
(with Peter Phillips)
- Automatic
Likelihood Based Inference for Stochastic Volatility Models
Programs and data used in the paper (with Hans Skaug)
- Forecasting
Realized Volatility using a Nonnegative Semiparametric Model (with
Daniel Preve and Anders Eriksson, Month RV Data from Jan 1946-Dec
2004, Matlab code)
- Specification Sensitivity in
Right-Tailed Unit Root Testing for Explosive Behavior (with Peter Phillips and Shu-Ping Shi)
- Asymptotic
Distributions of the Least Squares Estimator for Diffusion Processes
(with Qiankun Zhou)
- Testing for Multiple Bubbles
(with Peter Phillips and
Shu-Ping Shi)
- Limit Theory for Dating the
Origination and Collapse of Mildly Explosive Periods in Time Series Data
(with Peter Phillips)
Forthcoming:
- A Semiparametric Stochastic Volatility
Model
Journal of Econometrics, forthcoming
- Bias
in the Estimation of the Mean Reversion Parameter in Continuous Time Models
Journal of Econometrics, forthcoming
- Econometric Analysis of Continuous
Time Models: A Survey of Peter Phillips' Work and Some New Results
Econometric Theory, forthcoming
2012:
- Bayesian Hypothesis Testing in Latent
Variable Models
Journal of Econometrics, 2012, 166, 237-246 (with Yong Li)
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)
- An Conversation
with Eric Ghysels
Econometric Theory, 2011, 28, 1-11 (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 and 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 and 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:
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)