PhD with specialization in Statistics and 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 Economics
 Contact Details:
 Newcastle University Business School
 5 Barrack Road

Teaching (at Mathematics and Statistics, University of Canterbury)
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)

Other teaching
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:
Overall, my research fall well into a general definition of a paradigm known today as "Data Science". In particular, I attempt to bridge the gap between traditional statistical and econometric culture, which assume that data are generated by a given stochastic data model, and modern machine learning/data mining culture by which data mechanism is often treated as unknown. 

My progress toward such research direction reflects the fact that today data in many areas of economics, finance, microeconometrics and other social science have become bigger and/or more complex. Meanwhile, empirical questions we seek answers for are also much more complicated.

More specifically, my current research interest focuses on the following:

Non/Semiparametric Econometrics:

Developing new non/semiparametric techniques for problems in 

Time Series Analysis, Financial Econometrics and Microeconometrics

Functional Data Analysis and Curve Time Series:

1) Examining existing and alternative tools to answer real world problems in empirical finance, applied economics and climatology. 

2) Investigating Functional Data Analysis as a tool to better Longitudinal (Panel) Data Analysis

Multiplicative Error Models:

Semiparametric Estimation and Testing with Applications in Behavioral Quantitative Finance

Publications and Submissions:

(6) Asymmetric Conditional Correlations in Stock Returns. Paper 
(Revised and Returned to Annals of Applied Statistics; with Yingcun Xia and Hui Jiang)
(5) Shape invariant analysis of regression curve under endogeneity with application to empirical engel curves. Paper  (submitted; with Namhyun Kim) 
(4) A misspecification test for multiplicative error models of nonnegative time series. Paper SuppMaterial  
Journal of Econometricsforthcoming (with J. Gao and N. H. Kim)
(3) Semiparametric Methods in Nonlinear Time Series Analysis, Paper
Journal of Nonparametric Statistics (with J. Gao and N. H. Kim)
 (2) Semiparametric Autoregressive Conditional Duration,
Econometric Reviews (with Jiti Gao and David Allen) Paper
(1) Modeling Monetary Policy in a Small Open Economy, Model, 
Economia Internazionale (with Bert. D. Ward) Journal

Working Papers:

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

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

Works in Progress:

Analysis of Financial Correlations in Curve Time Series Framework

Semiparametric Binary Response Model with Presence of Weak Instrument

Analysis of the Dynamics of Heavy-Tailed Densities in Curve Time Series Framework