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.