Econometrics; Applied Econometrics; Financial Econometrics; Time-Series Econometrics; Empirical Finance; Applied Microeconomics.
Maximum Entropy; Empirical Likelihood; Quantile Regression; Density Estimation; Volatility Model; Portfolio Selection. <!Ned Kelly> <!Le Therapeute>
Published or Forthcoming Papers
- Multivariate Density Forecast Evaluation: A Modified Approach (with Stanley Ko), 2012, International Journal of Forecasting, Forthcoming.
- Resource Abundance and Economic Growth in China (with Rui Fan and Ying Fang), 2012, China Economic Review, 23, 704-719.
- Quantile Autoregressive Distributed Lag Model with an Application to Housing Price Returns (with Antonio Galvao and Gabriel Montes-Rojas), 2011, Oxford Bulletin of Economics and Statistics, Forthcoming.
- A New Robust ARCH Test and YJ-GARCH Model (with Haiqi Li), 2011, Statistical Research, 29, 104-109.
- Money Demand in China and Time-Varying Cointegration (with Haomiao Zuo), 2011, China Economic Review, 22, 330-343.
- An Estimation of U.S. Gasoline Demand : A Smooth Time-Varying Cointegration Approach (with Guochang Zhao), 2010, Energy Economics, 32, 110-120.
- Quantile elasticity of international tourism demand for South Korea using the quantile autoregressive distributed lag model (with Haiqi Li amd Joo H. Seo), 2011, Tourism Economics, 17, 997-1015.
- Estimation and Hedging Effectiveness of Time-Varying Hedge Ratio: Flexible Bivariate GARCH Approaches (with Sang Y. Jei), 2010, Journal of Futures Markets, 30, 71-99.
- Interrelationships among Korean Outbound Tourism Demand: Granger Causality Analysis (with J Seo and S Boo), 2010, Tourism Economics, 3, 597-610.
- The Analysis of the Relationships of Korean Outbound Tourism Demands: Jeju Island and Three International Destinations (with Joo H. Seo and Larry Yu), 2009, Tourism Management, 30, 530-543.
- Maximum Entropy Autoregressive Conditional Heteroskedasticity Model (with Anil K. Bera), 2009, Journal of Econometrics, 150, 219-230.
- The Determinant of Volatility on International Tourism Demand: An Empirical Note (with Sang Y. Jei), 2010, Applied Economics Letters, 17, 217-223.
- Optimal Portfolio Diversification Using Maximum Entropy Principle (with Anil K. Bera), 2008, Econometric Reviews, 27, 484-512.
- Financial Data Analysis Using Maximum Entropy Approach (with Anil Bera), 2004, Proceedings of the International Statistical Conference, pp. 89-106, Sri Lanka (Refereed Articles).
- Use of Maximum Entropy Principle to Improve Distributional Assumption in ARCH model (with Anil Bera), 2003, Proceedings of 2003 Joint Statistical Meeting, Business and Economic Statistics Section, American Statistical Association.
- Multivariate Density Forecast Evaluation: Smooth Test Approach (with Stanley Ko), 2012.
- Do the Futures Contracts Drive the Spot Price of Crude Oil? (with H. Ding and H. Kim), 2012, Submitted.
- Estimating Optimal Conditional Hedge Ratio: A Semi-Parametric Approach (with Haomiao Zuo and Shicheng Huang), 2012, Submitted.
- Density Forecast Evaluation Using Data-Driven Smooth Test (with Yupeng Zhang), 2012.
- A Simple Spatial Dependence Test Robust to Local and Distributional Misspecifications (with Ying Fang and Jingfeng Zhang), 2012, Revised and Resubmitted to Regional Science and Urban Economics.
- Testing for Stock Market Contagion : A Quantile Regression Approach (with Wendun Wang and Naijing Huang), 2012, Submitted.
- Which Quantile is the Most Informative? Maximum Likelihood, Maximum Entropy and Quantile Regression (with Anil Bera, Antonio Galvao and Gabriel Montes-Rojas), 2011, Submitted.
- Determinants of Housing Prices in Hong Kong: A Box-Cox Quantile Regression Approach (with H. Kim and H.K. Chin), 2012, Revision requested.
- Robust Portfolio Selection and S-shaped Utility (with Zhihuang Shuai), 2011.
- Robust Specification Test to Moment Condition Models (with Haiqi Li), 2012.
- Generalized Empirical Likelihood Specification Test Robust to Local Misspecification (with Haiqi Li), 2012.
- Information Theoretic Approaches to Income Density Estimation with an Application to the U.S. Personal Income data (with Anil Bera), 2011.
- The Fisher’s Transformation for the Sample Correlation Coefficient: A Revisit (with Anil Bera), 2011.
- Estimation of Maximum Entropy Density with Application to Income Distribution Dynamics, 2004.
Working in Progress
- A Unified Test for Linear and Nonlinear Granger Causality via Generalized Cross-Spectrum (with Haiqi Li).
- Maximum Entropy Density Estimation under Inequality Moment Conditions.
- A Robust Test of Structural Parameters to Nearly Exogenous Instruments.
- Estimation of Optimal Conditional Hedge Ratio: A Shrinkage Approach (with Rui Fan).
- A GMM-based Robust Test of Structural Parameters under Weak and Nearly Exogenous Instruments.
- Estimating Risk Neutral Densities from Option Prices under Uncertainty: A Maximum Entropy Approach (with Stanley Ko).
- Estimation of Conditional Value at Risk Under Regression Quantiles.
- Maximum Entropy Based-Test with Implication for Neyman’s Smooth Test.
- Information Matrix Test for Spatial Error Autoregressive Model (with Anil Bera and Pradosh Simlai).
- A Robust Test for Constant Correlation in a Multivariate GARCH Model under Local Misspecification (with Haiqi Li).