PhD with specialization in Financial Mathematics and Financial Econometrics (UWA, 2012)

An electronic copy of my current CV is available here, otherwise please see some information about my research and teaching below. 

 Current Position: 
 Lecturer in Statistics
 School of Mathematics and Statistics
 University of Canterbury

Contact Details:
 Room 500 Erskine Building
 University of Canterbury (Ilam Campus)
 Christchurch
 New Zealand
 Phone: +64 3 364 2987 ext 8371

Teaching
STAT201/FORE222 Applied Statistics(Semester 1: 2012, 2013, 2014)
STAT470 Advanced Time Series (Financial Econometrics), (Semester 2: 2013, 2014)
STAT317/STAT425 Time Series Methods (Semester 2: 2012, 2013, 2014)
ECON323 Time Series Methods (Semester 2: 2012, 2013, 2014) 
EMTH119 Engineering Mathematics (Semester 2: 2013, 2014)
MATH407 Mathematical Finance (Semester 2: 2012)

Mathematical Economics (UG: 2010 University of Adelaide)
Mathematical Statistics (UG: 2010 University of Adelaide)
Introductory Econometrics (UG: 2011 Monash University, 2005 Lincoln University)
Advanced Macroeconomics (PG: 2005 Lincoln University)
  



 
 

 

  

 

 
 
 
 
 

Research Interest:


Economics and Finance:

  • Empirical research of financial markets
  • Quantitative behavioral finance
  • Analysis of financial time series
  • Endogeneity problem in applied economics

Econometrics and Statistics:

  • Semiparametric and nonparametric inferences
  • Asymptotic theory in econometrics
  • Semiparametric models of time series
  • Functional data analysis for sparse longitudinal data
Current Research Projects:
  • Semiparametric factor (reduced rank) model for portfolio correlation
  • Theory and applications of multiplicative error models in finance
  • Predictability of future realized correlation based on implied volatility
  • Predictability of portfolio correlations
  • Non/semiparametric regression with weak and many instruments
Publications and Preprints:
(7) A reduced rank model for portfolio correlations.
Paper (with Yingcun Xia and Hui Jiang)
(6) Shape invariant analysis of regression curve under endogeneity with application to empirical engel curves. Paper (submitted; with Namhyun Kim) 
(5) A misspecification test for multiplicative error models of nonnegative time series. Paper & Supplementary Material 
Journal of Econometricsforthcoming (with J. Gao and N. H. Kim)
(4) Semiparametric Methods in Nonlinear Time Series Analysis, Paper
Journal of Nonparametric Statistics (with J. Gao and N. H. Kim)
 (3) Semiparametric Autoregressive Conditional Duration,
Econometric Reviews (with Jiti Gao and David Allen) Paper
(2) Estimation in Semiparametric Partially Linear Models with Parametric and/or Nonparametric Endogeneity (with N. H. Kim)
(1) Modeling Monetary Policy in a Small Open Economy, Model, Economia Internazionale (with Bert. D. Ward) Journal

Other Working Papers and Technical Reports:

(2) Semiparametric partially linear model with endogeneity (with Namhyun Kim)

(1) Optimal bandwidth in semiparametric regression with generated regressor (with Namhyun Kim)