Research Papers

Fields:

Econometrics; Applied Econometrics; Financial Econometrics; Time-Series Econometrics; Empirical Finance.

Research Interests:

Maximum Entropy; Empirical Likelihood; Quantile Regression; Density Estimation; Volatility Model; Portfolio Selection.

Published or Forthcoming Papers

• An Estimation of U.S. Gasoline Demand : A Smooth Time-Varying Cointegration Approach (with Guochang Zhao), 2010, Energy Economics, 32, 110-120.

• 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.

• 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.

 

Working Papers

• Exponential Tilting Specification Test Robust to Moment Constraints and Local Parametric Misspecifications (with Haiqi Li), 2009.

• Money Demand in China : A Time-Varying Cointegration Approach. (with Haomiao Zuo), 2009.

• Generalized Empirical Likelihood Specification Test Robust to Local Misspecification (with Haiqi Li), 2009.

• Robust Portfolio Selection with S-shaped Utility (with Zhihuang Shuai), 2009.

• Testing for Stock Market Contagion : A Quantile Regression Approach (with WendunWang and Naijing Huang), 2009.

• The Fisher’s Transformation for the Sample Correlation Coefficient: A Revisit (with Anil Bera), 2009.

• Which Quantile is the Most Informative : Maximum Entropy Quantile Regression (with Anil K. Bera, Antonio Galvao and Gabriel Montes-Rojas), 2009, Under revision for the Journal of Econometrics as requested by the Journal.

• Quantile Autoregressive Distributed Lag Model with an Application to House Price Returns (with Antonio Galvao and Gabriel Montes-Rojas), 2009, Submitted.

• Information Theoretic Approaches to Income Density Estimation with an Application to the U.S. Personal Income data (with Anil Bera), 2009, Submitted.

• Quantile Elasticity of International Tourism Demand for South Korea (with Joo H. Seo), 2008, submitted.

• Estimation of Maximum Entropy Density with Application to Income Distribution Dynamics, 2004.

 

Working in Progress

• Maximum Entropy Empirical Likelihood Estimator Under Possible Misspecification.

• Estimation of Conditional Value at Risk Under Regression Quantiles.

• Information Matrix Test for Spatial Error Autoregressive Model (with Pradosh Simlai and Jingfeng Zhang).

• Estimation and Inference for Nonlinear Model in the Presence of Unspecified Conditional Variance (with Pradosh Simlai).

• Maximum Entropy Based-Test with Implication for Neyman's Smooth Test.

• Density Forecast Evaluation Using Data-Driven Smooth Test (with Yupeng Zhang).

• Testing for Spatial Effect Under Distributional Misspecification (with Jingfeng Zhang).

• LM Test Statistic for Spatial Effect Robust to Local and Distributional Misspecification (with Ying Fang and Jingfeng Zhang).

• A Test for Symmetry with Leptokurtic Time Series Data (with Wendun Wang and Fan Rui).

• A Robust Test for Constant Correlation in a Multivariate GARCH Model under Local Misspecification (with Haiqi Li).

 

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