Recent Publications |
Working Papers |
Last updated: September 15, 2011
My research interests are in the areas of econometric
theory (Bayesian methods, identification issues, weak
instruments), time series econometrics (modeling
nonstationary data, state space models, structural change), financial econometrics
(modeling with high frequency data, testing financial models), empirical
macroeconomics (business cycle modeling, forecasting) and empirical international finance
(modeling and forecasting exchange rate behavior). Further details on
my published research is provided on my CV.
Modeling Financial Time Series with S-PLUS,
Second Edition, with
Jiahui Wang, Springer-Verlag, December 2005.
Modeling Financial Time Series with S-PLUS, with
Jiahui Wang, Springer-Verlag, October 2002.
"Predicting Stock Volatility
Using After-Hours Information: Evidence from the NASDAQ Actively Traded
Stocks ," with Chun-Hung Chen and Wei-Choun Yu,
forthcoming in the International Journal of Forecasting.
"A New Method of Projection-Based
Inference in GMM with Weakly Identified Nuisance Parameters," with
Saraswata Chaudhuri, Journal of Econometrics, June 2011.
"State Space Modeling Using SsfPack in S+FinMetrics
3.0," Journal of Statistical Software, May 2011.
"Forecasting the Term Structures of Treasury and
Corporate Yields: Dynamic Nelson-Siegel Models Evaluation," with
Wei-Choun Yu, International Journal of
Forecasting, April-June, 2011.
"Postwar Slowdowns and Long-Run Growth: A Bayesian
Analysis of Structural Break Models," with Yi-Chi Chen, Empirical Economics,
"Time Variation and Structural Change in the Forward
Discount: Implications for the Forward Rate Unbiasedness Hypothesis",
with George Sakoulis and Kyongwook Choi, Journal of Empirical Finance,
"Long Memory versus Structural Breaks in Modeling and
Forecasting Realized Volatility," with Kyongwook Choi and William Yu,
Journal of International Money and Finance, September 2010.
"Extracting a Robust U.S. Business Cycle Using a Time-Varying
Multivariate Model-Based Bandpass Filter," with Drew Creal and Siem Jan
Koopman, Journal of Applied Econometrics, June-July 2010.
"Split-Sample Score Tests in
Linear Instrumental Variables Regression," with
Saraswata Chaudhuri, Thomas Richardson, and James Robins,
Econometric Theory, March 2010.
"A Structural Analysis of Price
Discovery Measures, with Bingcheng Yan. Journal of Financial Markets,
"A Comment on Weak Instrument Robust Tests in GMM
and the New Keynesian Phillips Curve," with Saraswata Chaudhuri, Journal of Business and Economic Statistics,
"The Relationship between the
Beveridge-Nelson Decomposition and Unobserved Component Models with
Correlated Shocks," with Drew Creal and Kum Hwa
Oh, Journal of Econometrics, April 2009 .
"Forecasting Inflation with Commodity Price Aggregates ," with Yu-Chin
Chen and Stephen J. Turnovsky. September, 2011. Downloads:
"Indirect Inference Based on the Score," with Peter Fuleky. June, 2010.
Revised March, 2011. Downloads:
"The Dynamics of Price Discovery,"
with Bingcheng Yan. April 2005. Updated on January 24, 2010. Downloads:
"Trends of U.S. Emissions of Nitrogen Oxides
and Volatile Organic Compounds," with Nina S. Jones.
November, 2007. Downloads:
"Implications of Two Measures
of Persistence for Correlation Between Permanent and Transitory Shocks
in U.S. Real GDP", with Daisuke Nagakura. January,
Evaluating Structural Models for the
U.S. Short Rate Using EMM and Particle Filters," with Drew Creal and
Ying Gu. August, 2006. Updated on March 21, 2007. Downloads:
"The Clark Model with
Correlated Components," with Kum Hwa Oh. January, 2006. Downloads:
"Analysis of High-Frequency Financial Data with
S-PLUS", with Bingchen Yan. November 2003. Downloads:
S-PLUS script for examples in paper:
S-PLUS HF library: HFLibrary.SSC.
Note: some of the functions in the HF library require the FinMetrics
function diff.timeSeries and will not work without FinMetrics
loaded. I am working on a pure S-PLUS version of the library that
will work without FinMetrics.
"Inference on Unit Roots and Trend Breaks in
Macroeconomic Time Series," with Chris Murray. October 1998.
R/Finance 2011 Factor Model Risk Tutorial, April 2011.
Scottish Financial Risk Academy, March 2011.
�Analysis of High Frequency Data in R�, workshop
presentation at the 1st R/Rmetrics Summer School and 4th User/Developer
Meeting on Computational Finance and Financial Engineering, Meielisalp
Switzerland, June 2010.
R script files
Short course on Analysis of High
Frequency Financial Time Series presented at the 11th Brazilian
Time Series and Econometrics Meeting (ESTE), July 31 - August 3, 2005.
Also presented at the University of Sao Paulo (USP), August 5 - August 9, 2005.
lecture 1 (overview of high frequency
data in finance)
lecture 2 (survey of realized
ETH Zurich lectures on simulation based estimation of
probabilistic discrete choice models and continuous-time financial
models with examples in SPLUS. January 2004.
lectures 1-2 (choice models)
lectures 3-4 (continuous-time financial models)
SEG Lisbon lectures on structrual change. April
lecture 1 (tests for structural change)
lecture 2 (estimating linear models with structural
lecture 3 (time varying parameter models)
NSF SBIR Phase II DMI-0132076 "Next Generation
Component Software for Simulation-based Estimation and Inference".
Research conducted with Insightful Corporation. March 2002 - March 2004
NSF Grant SBR-9711301 "Improved Inference for
Instrumental Variables Estimation" (with Charles Nelson and Richard
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