Research Papers
Fields:
Econometrics; Applied Econometrics; Financial Econometrics; Time-Series Econometrics; Empirical Finance; Applied Microeconomics.
Research Interests:
Maximum Entropy; Empirical Likelihood; Quantile Regression; Density Estimation; Volatility Model; Portfolio Selection.
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.
Working Papers
- 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).