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  • "GMM Estimation of a Stochastic Volatility Model with Realized Volatility: A Monte Carlo Study", (with Pierre Chausse), Forthcoming in Econometric Reviews, (2017+).

  • "Random Matrix Application to Correlations Among Volatility of Assets", (with Ajay Singh), Quantitative Finance, Vol 16 (1), 69--83, 2016.

  • "Is Volatility Clustering of Asset Returns Asymmetric?", (with Cathy Ning and Tony Wirjanto), Journal of Banking and Finance, Vol 52, 62--76, 2015.

  • "Examining Realized Volatility Regimes under a Threshold Stochastic Volatility Model ", International Journal of Finance & Economics, Vol 17(4). 373--389, 2013.

  • "Stochastic Volatility Model under a Discrete Mixture-of-Normal Specification", (with John Knight), Journal of Economics and Finance, Vol 37, 216--239, 2013.

  • "Empirical Evidence of Leverage Effect In A Stochastic Volatility Model: A Realized Volatility Approach ", (with Yuying Li), Invited Contribution, Frontiers of Economics in China, Vol 7 (1), 22 -- 43, 2012.

  • "Asymmetric Stochastic Conditional Duration Model -- A Mixture-of-Normal Approach", (with John Knight and Tony Wirjanto), Journal of Financial Econometrics, Vol 9 (3), 469--488, 2011.

  • "Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters", (with John Knight), Econometric Reviews, Vol 30 (1), 25--50, 2011.

  • "An Efficient Estimation on Switching Regression Models: A Monte Carlo Study", Communication in Statistics: Simulation and Computation, Vol 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), Journal of Derivatives, Vol 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:

  • "Combining a Self-Exciting Point Process with the Truncated Generalized Pareto Distribution: An Extreme Risk Analysis under Price Limits",(with Donghua Wang, Jingru Ji and Chi Xu), 2018.

  • "Modelling Stylized Features of Stock Returns with a Vine Copula",(with Cathy Ning and Wanlin Huang), 2018.

  • "On Persistence of Implied Volatility: Evidence from SP500",(with Ajay Singh), 2018.

  • "A Study on Volatility Spurious Almost Integration Effect: A Threshold Realized GARCH Approach", 2018.

  • "Modelling Asset Returns under Price Limits with Mixture of Truncated Gaussian Distribution", 2018.

  • "Truncated/Censored financial modelling: Applications to stock markets with price limits", (with Lisa Lin), 2017.

  • "An ISE Approach to Gaussian GARCH Models", 2017..

  • "A Mixture-of-Normals Distribution Modeling Approach in Financial Econometrics: A Selected Review", (with Tony Wirjanto), 2015.

  • "Computation of Portfolio VaRs with GARCH Models Using Independent Component Analysis", (with Tony Wirjanto), 2012.

  • "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.