Publications
"Examining Realized Volatility Regimes under a Threshold Stochastic Volatility Model ", Forthcoming in International Journal of Finance & Economics, (2012+).
"Empirical Evidence of Leverage Effect In A Stochastic Volatility Model: A Realized Volatility Approach ", (with Yuying Li), Forthcoming in Frontiers of Economics in China, Invited Contribution, 2012.
"Stochastic Volatility Model under a Discrete Mixture-of-Normal Specification", (with John Knight), Forthcoming in Journal of Economics and Finance, (2011+).
"Asymmetric Stochastic Conditional Duration Model -- A Mixture-of-Normal Approach", (with John Knight and Tony Wirjanto), Journal of Financial Econometrics, 2011, Vol 9(3), 469--488.
"Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters", (with John Knight), Econometric Reviews, 30(1), 25--50, 2011.
"An Efficient Estimation on Switching Regression Models: A Monte Carlo Study", Communication in Statistics: Simulation and Computation, 39(7), 1403--1421, 2010.
"An Empirical Characteristic Function Approach to VaR under a Mixture of Normal Distribution with Time-Varying Volarility", (with Tony Wirjanto), 2010, Journal of Derivatives, 18(1), 39--58, 2010.
"Modelling Leverage Effect With Copulas and Realized Volatility", (with Cathy Ning and Tony Wirjanto), Finance Research Letters, Vol 5 (4),221--227, 2008.
Working Papers:
"A Mixture-of-Normals Distribution Modeling Approach in Financial Econometrics: A Selected Review", (with Tony Wirjanto), (2010), Submitted.
"Computation of Portfolio VaRs with GARCH Models Using Independent Component Analysis", (with Tony Wirjanto), (2011), Submitted.
"Modeling Asymmetric Volatility Clusters using Copulas and High Frequency Data", (with Cathy Ning and Tony Wirjanto), (2011), Submitted.
"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 ISE Approach to Gaussian GARCH Models", (2009), working paper.
"GMM Estimation of a Stochastic Volatility Model with Realized Volatility: A Monte Carlo Study", (with Pierre Chausse), (2012), working in progress.
"A Flexible Multivariate Stochastic Volatility Model", working in progress.
"A Double-Threshold Asymmetric Stochstic Volatility Model", working in progress.
"Incorporating Realized Volatility into Mixture Stochastic Volatility Model", working in progress.