Dr Patrick W. Saart (Wongsa-art)

Current CV: [Link]

Current Position:      Lecturer in Economics (Econometrics)

Education:                 PhD in Statistics and Econometrics, University of Western Australia (Awarded February 2012)

Current Address:      Cardiff Business School
                                    E02C Aberconway Building
                                    Colum Road, Cathays
                                    Cardiff CF10 3EU
                                    United Kingdom

Email:                         wongsa-artp(at)Cardiff.ac.uk

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) [Link]

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) [Link]

Semiparametric Autoregressive Conditional Duration, Econometric Reviews 2015, 34(6-10), 849-881.
(with J. Gao and D. Allen) [Link]

Semiparametric Methods in Nonlinear Time Series Analysis, Journal of Nonparametric Statistics 2014, 26(1), 141-169.
(with J. Gao and N. H. Kim)

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 (in the process of publication):

On Endogeneity and Shape Invariance in Extended Partially Linear Single Index Models
(with J. Gao and N. H. Kim) [Link Paper] & [Link Supplemental Materials]

Functional Analysis of Returns Correlation Dynamics [Link]

Estimation in Partially Linear Semiparametric Models with Parametric and/or Nonparametric Endogeneity
(with N. H. Kim) [Link]

Optimal Smoothing in Semiparametric Time Series Model with Nonparametrically Generated Regressors
(with N. H. Kim) [Link]

Working Papers (working in progress):

Common Factors in Idiosyncratic Volatility and Application in Volatility Forecasting

(with Y. Xia) [Link]

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)

Awards and Professional Services:

Award and Scholarships
Students' Domination for Canterbury Lecturer of the Year Award (2013)
Young Researcher Travel Grant, World Congress of Econometric Society,
The Econometric Society (2010)
Young Researcher Travel Grant, Australasian Meeting of Econometric Society,
The Econometric Society (2009)
ARC Australian Postgraduate Award, Australian Research Council (2006)
Jan Whitwell Prize (Best Presented Paper at NZAE Conference),
New Zealand Association of Economists (2002)
Summer Research Scholarships, Lincoln University (2001, 2002)

Grant Applications and Award
College of Engineering Strategic Fund ($NZ1,500), University of Canterbury
(2012 and 2015)
Marsden Fund ($NZ100,000), The Royal Society of New Zealand
(2014: Proposal was unsuccessful)
Erskine Fellowship ($NZ30,000), The John Angus Erskine Bequest (2013)

Professional Services:
Session Organizer, Computational Financial Econometrics Conference (2014)
Session Organizer, Computational Financial Econometrics Conference (2013)
Organizer, Canterbury Statistics Open Day (1-day Workshop) (2012)
Local Correspondent, New Zealand Statistical Association (2012 and 2013)