Office phone: 416-978-1495
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Ph.D. Economics, Queen's University at Kingston Ontario, 1998.
M.A. Economics, Queen's University at Kingston Ontario, 1993.
B.A. Honours Mathematics and Economics, McMaster University, 1992.
econometrics, nonlinear time-series, empirical finance.
Modelling Realized Covariances with X. Jin
Extracting Bull and Bear Markets from Stock Returns with T. McCurdy and Y. Song
Improving Forecasts of Inflation using the Term Structure of Interest Rates with A. Gomez and A. Maynard
Bayesian semiparametric stochastic volatility modeling with M. Jensen
Modeling Persistent Time Series Data with Application to Realized Volatility
Real Time Detection of Structural Breaks in GARCH Models with Z. He, forthcoming Computational Statistics & Data Analysis
Do high-frequency measures of volatility improve forecasts of return distributions? with T. McCurdy, forthcoming Journal of Econometrics
Forecasting Realized Volatility: A Bayesian Model Averaging Approach with C. Liu, Journal of Applied Econometrics (2009), 24, 709-733
How useful are historical data for forecasting the long-run equity return distribution? with T. McCurdy, Journal of Business and Economic Statistics (2009), 27(1), 95-112
Are there Structural Breaks in Realized Volatility? with C. Liu, Journal of Financial Econometrics (2008), 6 (3), 291 - 406
Learning, Forecasting and Structural Breaks with S. Gordon, Journal of Applied Econometrics (2008), 23(5), 553-583
Modeling Foreign Exchange Rates with Jumps with T. McCurdy, in Forecasting in the Presence of Structural Breaks and Model Uncertainty, Elsevier Series on Frontiers in Economics and Globalization, Eds D. E. Rapach and M. E. Wohar, (2008)
Components of Market Risk and Return with T. McCurdy, Journal of Financial Econometrics (2007), 5(4), 560-590
Can GARCH Models Capture the Long-Range Dependence? Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press (2005), 9(4), 1269-1269
News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns with T. McCurdy, The Journal of Finance (2004), 59(2) April
Conditional Jump Dynamics in Stock Market Returns with W. Chan, Journal of Business & Economic Statistics (2002), 20(3), July, 377-389
Nonlinear Features of Realized FX Volatility with T. McCurdy, Review of Economics and Statistics (2002), 84 (4), 668 - 681
Volatility Dynamics under Duration-Dependent Mixing, with T. McCurdy, Journal of Empirical Finance (2000), 7, 345-372.