Patrick W. Saart (Wongsa-art)

Current Position:      Lecturer in Economics (Econometrics)
Education:                 PhD in Statistics and Econometrics, 
University of Western Australia (February 2012)

Current Address:      Cardiff Business School
                                    E02C Aberconway Building
                                    Colum Road, Cathays
                                    Cardiff CF10 3EU
                                    United Kingdom
Email:                         wongsa-artp(at)
Research Interest:     Financial Econometrics, Applied Macroeconomics, Time Series Analysis, Econometrics and Statistics Theory    
  • Asymmetric Conditional Correlations in Stock Returns, Annals of Applied Statistics 2016, 10, 989-1018                                                                  (with Y. Xia and H. Jiang) Paper
  • A Misspecification Test for Multiplicative Error Models of Nonnegative Time Series, Journal of Econometrics 2015, 189(2), 346-359.                        (with J. Gao and N. H. Kim) Paper Supplemental Materials
  • Semiparametric Autoregressive Conditional Duration, Econometric Reviews 2015, 34(6-10), 849-881.                                                                         (with J. Gao and D. Allen) Paper & Supplemental Materials
  • Semiparametric Methods in Nonlinear Time Series Analysis, Journal of Nonparametric Statistics 2014, 26(1), 141-169.                                             (with J. Gao and N. H. Kim) Paper
  • Modelling Monetary Policy in a Small Open Economy Model: Evidence from a SVAR Model, Economia Internazionale 2004, 57(1), 77-115.              (with B. D. Ward)
Working Papers:   
  • Functional Analysis of Returns Correlation Dynamics
  • On Endogeneity and Shape Invariance in Extended Partially Linear Single Index Models                                                                                            (Under review; with J. Gao and N. H. Kim) Paper & Supplemental Materials
  • Estimation in Partially Linear Semiparametric Models with Parametric and/or Nonparametric Endogeneity                                                                  (with N. H. Kim) Paper
  • Optimal Smoothing in Semiparametric Time Series Model with Nonparametrically Generated Regressors                                                                   (with N. H. Kim) Paper

Papers in Progress:

  • A Market Risk Factor Model and its Application in Volatility Prediction                                                                                                                                   (with Y. Xia)
  • Periodicity and Cyclical Behavior in Functional Time Series: The Spectral/Functional Data Approach                                                                          (with J.Y. Park and Y. S. Chang)
Selected Conference Presentations and Invited Talk:
  • Joint Econometrics and Statstics Seminar, LSE, London (November 2016)
  • Cross-Strait Conference on Probability and Statistics, Chengdu (August 2016)
  • Economic Seminar, Department of Economics, University of Seoul, Seoul (July 2016)
  • Time Series Workshop on Macro and Financial Economics, SKKU, Seoul (May 2016)
  • RCEA Time Series Econometrics Workshop, Rimini (June 2015)
  • Seminar, Grad. School of Decision Sciences, Universitat Konstanz (April 2015)
  • Computation Financial Econometrics Conference, London (December 2014)
  • Non/Semiparametric Volatility\&Correlation Models, Panderborn (July 2014)
  • The Asian Meeting of the Econometric Society, Seoul (August 2011)
  • Symposium on Econometric Theory and Applications, Melbourne (April 2011)
  • Research Seminar, Dept of Economics, University of Melbourne (February 2011)
  • Departmental Seminar, EBS, Monash University, Melbourne (November 2010)
  • The World Congress of the Econometric Society, Shanghai (August 2010)
  • Annual Meeting of the Society of Financial Econometrics (June 2010)
  • Research Seminar, The University of Queensland (February 2010)
  • The Econometric Society Australasian Meeting, Canberra (July 2009)