Research

Publications Click here (Monash Portal)

1. Loss-Based Variational Bayes Prediction (with D. Frazier, R. Loaiza-Maya, G. Martin), 2024, forthcoming at the Journal of Computational and Graphical Statistics 

2. Nonlinear Dynamics of Kimchi Premium (with M. Seo, Y. Yang), 2024, forthcoming at Economic Modelling

3. Novel utility-based life cycle models to optimise income in retirement (with Pantelous, A. Wang, Y.) 2021, European Journal of Operational Research 299, p. 346-361

4. Pricing in a Competitive Stochastic Insurance Market (with Boonen, T., Mourdoukoutas, F., Pantelous, A.) 2021, Insurance: Mathematics and Economics 97, p. 44-56

5. Using stochastic economic scenario generator to analyse uncertain superannuation and retirement outcomes (with M. Chen, Y. Wang, P. Toscas) 2021, Annals of Actuarial Science, 15(3) p. 549-566

6. Personalised drawdown strategies and partial annuitisation to mitigate longevity risk (with Chen, W., Minney, A., Toscas, P., Zhu,  Pantelous, A.) 2020, Finance Research letters 39, 10 p. 101644.

7. Counterparty choice in the UK credit default swap market: An empirical matching approach (with F, Gerrado, J. Kim and Z. Liu) 2020, Economic Modelling 94, p. 58-74.

8. Indirect inference for locally stationary models (with D. Frazier) 2020, Journal of Econometrics 223, 1, p. 1-27

9. Estimation of a Nonparametric model for Bond Prices from Cross-section and Time series Information (with Davide La Vecchia and Oliver Linton) 2020, Journal of Econometrics, 220, 2, p. 562-588

Code: https://cran.r-project.org/web/packages/ycevo/index.html

10. High-dimensional predictive regression in the presence of cointegration (with H. Anderson, M. Seo, and W. Yao), 2020,  Journal of Econometrics  219, 2, p. 456-477. Online Appendix available below

11. Regularized regression for hierarchical forecasting without unbiasdness conditions (with S. Ben Taieb), 2019, Knowledge Discovery and Data Mining (KDD) 2019 proceedings 

12. A Note on the Validity of Cross-Validation for Evaluating Time Series Prediction (with C. Bergmeir and R. J. Hyndman), 2018, Computational Statistics and Data Analysis 120, 70-83

13. Retirement planning in the light of changing demographics (with H. Wang and C O'Hare), 2016, Economic Modelling 52, 749-763

14. Structural-break models under mis-specification: Implications for forecasting (with M. Seo), 2015, Journal of Econometrics 188, 166-181 Code available below

15. Let's Get LADE: Robust estimation of multiplicative volatility models (with O. Linton), 2015, Econometric Theory 31, 671-702.

16. Competition, premature trading and excess volatility (with P. Deb and Z. Liu), 2014, Journal of Banking and Finance 41, 178-193.

17. Estimation of semiparametric locally stationary diffusion models (with O. Linton), 2012, Journal of Econometrics 170, 210-233.

Working Papers

Miscellaneous

Australian Research Council (ARC) Research Grant Discovery Projects #DP150104292

"Forecasting when model stability is uncertain" 2015-2017 (with H. Anderson and M. Seo)

Australian Research Council (ARC) Research Grant Linkage Projects #LP160101038

"Towards a superannuation system fit for the future" 2016-2019 (with C. O'Hare, Z. Zhu, D. Cox, and D. McBirnie)

Australian Research Council (ARC) Research Grant Discovery Early Career Research Award #DE170100713

"Nonparametric estimation and forecasting of yield curve dynamics" 2017-2019 

Australian Research Council (ARC) Research Grant Discovery Projects #DP210101440

"Statistical Analysis of State-Dependent Government Spending Multipliers" 2021-2023  (with S. Lee and M. Seo)