Publications

¡°Modelling Leverage Effect With Copulas and Realized Volatility¡± (with Cathy Ning and Tony Wirjanto), Finance Research Letters, Vol 5 (4), 2008.

¡°An Empirical Characteristic Function Approach to VaR under a Mixture of Normal Distribution with Time-Varying Volarility¡±, (with Tony Wirjanto), Conditionally Accepted in Journal of Derivatives, 2009.

¡°Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters¡±, (with John Knight), 2009, Forthcoming in Econometric Reviews.

Working Papers:

Modeling Asymmetric Volatility Clusters using Copulas and High Frequency Data¡±, (with Cathy Ning and Tony Wirjanto), (2009), Submitted.

¡°Asymmetric Stochastic Conditional Duration Model ¨C A Mixture of Normals Approach¡±, (with John Knight and Tony Wirjanto), (2008), Under Revision-and-Resubmit Status.

¡°Value at Risk with Bivariate Mixture of Normals Stochastic Volatility Models and Independent Component Analysis¡±, (with Tony Wirjanto), TD-UW Computational Research Partnership Project, 2008.

¡°An Efficient Estimation on Switching Regression Models: A Monte Carlo Study¡±, (2009), Under Revision-and-Resubmit Status.

¡°Stochastic Volatility Model under Discrete Mixture of Normals Specification¡±, (2009), Submitted.

¡°The Applications of Mixture of Normal Distributions in Finance: A Selected Survey¡±, (with Tony Wirjanto), (2009), Submitted.

¡°Computation of Portfolio VaRs with GARCH Models Using Independent Component Analysis¡±, (with Tony Wirjanto), (2009), working in progress.

¡°Empirical Evidence of Leverage Effect In A Stochastic Volatility Model: A Realized Volatility Approach ¡±, (2009), (with Yuying Li), working in progress.

¡°An ISE Approach to Gaussian GARCH Models¡±, (2009), working in progress.

¡°A Flexible Multivariate Stochastic Volatility Model¡±, (2009), working in progress.

¡°Incorporating Realized Volatility into Mixture Stochastic Volatility Model¡±, (2009), working in progress.