News and Updates

2024

[Oct] My paper, titled On the Spectral Density of Fractional Ornstein-Uhlenbeck Process, has been accepted for publication by the Journal of Econometrics.

[Oct] My paper, titled Weak Identification of Long Memory with Implications for Inference, has been accepted for publication by the Review of Financial Studies.

[Oct] My paper, Quantile Analysis for Financial Bubble Detection and Surveillance, has been accepted for publication by the Journal of Time Series Analysis.

[Sep] I presented my paper, titled "Bubble Mitigation Policies: Counterfactual Analysis and Treatment Effect Inference" at the Xiamen University and Chinese Academy of Sciences. 

[August] I am thrilled to announce that I will join the editorial board of Econometric Theory as an Associate Editor from September! 

[June] My paper, titled Realized Drift, is forthcoming in the Journal of Econometrics.

[June] I presented my paper, titled Uncovering Mild Drift in Asset Prices with Intraday High-Frequency Data, at the Quantitative Finance and Financial Econometrics conference.
[May] I presented my paper, titled Uncovering Mild Drift in Asset Prices with Intraday High-Frequency Data, at the Cambridge University Financial Econometrics Workshop.

[May] My paper, titled Fractional Stochastic Volatility Model, is forthcoming in the Journal of Time Series Analysis.

[May] My paper, titled Fractional Gaussian Noise: Spectral Density and Estimation Methods, is forthcoming in the Journal of Time Series Analysis.

[Mar] I present my paper, titled Sequential Cauchy Combination Test for Multiple Testing Problems with Financial Applications, at Queensland University.

[Jan] I present my paper, titled "Realized Drift", at the Capital University of Economics and Business.  

2023

[Nov] I present my paper, titled Sequential Cauchy Combination Test for Multiple Testing Problems with Financial Applications, at the Australian and New Zealand Econometric Study Group Meeting (Adelaide).

[Nov] I presented my paper,  titled "Realized Drift", at the Time Series Forecasting Symposium (as an invited speaker).

[July] I presented my paper, titled Weak Identification of Long Memory with Implications for Inference" at the International Symposium on Econometric Theory and Applications (as an invited speaker).

[June] I presented my paper, titled Weak Identification of Long Memory with Implications for Inference" at the SMU Volatility Workshop.

[July] I presented my paper, titled Sequential Cauchy Combination Test for Multiple Testing Problems with Financial Applications, at Xiamen University.

[May] I presented my paper, titled Sequential Cauchy Combination Test for Multiple Testing Problems with Financial Applications, at the Capital University of Economics and Business. 

2022

[Oct] I was invited to serve as a program co-chair for the 2023 Annual Society of Financial Econometrics (SoFiE) Conference, which will take place at Sungkyunkwan University, Seoul on June 15-18, 2023. See here for the Call for Papers.

[Sep] I presented my paper, titled "Weak Identification of Long Memory with Implications for Inference" at Monash University.

[Sep] I presented my paper, titled "Realized Drift" at Melbourne Business School.

[July] I am greatly honored and grateful to be the recipient of the 2022 Young Economist Award by the Economic Society of Australia. This award is "To honour that Australian economist under the age of forty who is deemed to have made a significant contribution to one or more of economic thought, economic knowledge, and the application of economics to public policy and public debate." There is no more than one award each year.

[June] I presented my paper, titled "Weak Identification of Long Memory with Implications for Inference" at the University of Adelaide.

[June] I presented my paper, titled "Realized Drift" at the 6th IAER Econometrics Workshop, DUFE, Dalian, China.

[May]  I presented my paper, titled "Weak Identification of Long Memory with Implications for Inference" at the Singapore Management University-Arhus Volatility Workshop.

[May ] I presented my paper, titled "Realized Drift", at the Reserve Bank of Australia, Macroeconomics Workshop.

[April] I presented my paper, titled "Realized Drift", at the Shanghai University of Finance and Economics.

[April] I presented my paper, titled "Realized Drift", at the Liverpool Econometrics Workshop (virtual).

[Mar] Our paper, titled Volatility Puzzle, has been accepted by Management Science. Replication data and programs are available on my Code page.

2021

[Nov] I presented my paper, titled "Fractional Stochastic Volatility", at the University of Technology Sydney (virtual).

[Oct] Our paper, titled Detecting Common Bubbles in a Large-Dimensional Financial System, is forthcoming in the Journal of Financial Econometrics. 

[Sep] I presented my paper, titled "Realized Drift", at the Melbourne University (virtual).

[Oct] I presented my paper,  titled Housing Networks and Driving Forces, at the Queensland University of Technology.

[Sep] Our paper, titled Housing Networks and Driving Forces, is forthcoming in the Journal of Banking and Finance.

[Sep] I presented my paper, titled Housing Networks and Driving Forces,  at the University of Wollongong.

[Aug] Our paper, titled Gold as a Financial Instrument, is forthcoming in the Journal of Commodity Markets.

[Jul] I presented my paper, titled Different Strokes for Different Folks: Long Memory and Roughness, at the Singapore Management University.

[Jul] I presented my paper, titled "Persistent and Rough Volatility", at the Australasian Meeting of Econometric Society (virtual).

[Jul] I presented my paper, titled "Realized Drift", at the 2021 Asian Meeting of Econometric Society (virtual).

[May] The Australian and New Zealand housing markets have been experiencing extraordinary growth in prices over recent months. Price-rent ratios in some cities have witnessed double-digit growth in a single month, causing concerns of the general public and policymakers.

We (together with Peter C. B. Phillips from Yale University) are very excited to launch the housing fever website: www.housing-fever.com

This website provides real-time bubble indicators for housing markets in the eight Australian capital cities and six primary New Zealand regions. These indicators provide a direct quantitative measure of the extent of housing fever in these major metropolitan areas. The measures are benchmarked against housing and macroeconomic fundamentals to provide a statistical mechanism for assessing the existence and the degree of speculative behaviour in these housing markets.

[Mar] Our paper, titled "Diagnosing Housing Fever with an Econometric Thermometer", has now been accepted for publication by the Journal of Economic Surveys.

[Mar] I presented my paper, titled "Realized Drift" at the Singapore Management University.

[Mar] I presented my paper, titled "Detecting Common Bubbles in a Large-Dimensional Financial System" at the Center for econometrics and business analytics at the St. Petersburg State University.  

[Feb] Our paper, titled Unit Root Testing with High-Frequency Data, has now been accepted for publication by the Econometric Theory.

2020

[Sep] I presented my paper, titled "Persistent and Rough Volatility" at the Singapore Management University.

[Sep] I presented my paper, titled "Diagnosing Housing Fever with an Econometric Thermometer" at the Arndt-Corden Department of Economics seminar series at the Australian National University.

[Aug] I presented my paper, titled "Unit Root Testing with High Frequency Data" at the Singapore Management University, via Zoom.

[May] My paper, titled "Australian Housing Market Booms: Fundamentals or Speculation?", is forthcoming in the Economic Record.

[Jan] I presented my paper titled "Detecting Common Bubbles in a Large-Dimensional Financial System" at Lingnan College, Sun Yet-Sen University, 10 Jan, 2020

[Jan] I visited Singapore Management University from Dec 2019 to Jan 2020.

2019

[Nov] I presented at the 2019 International Economic Flows: Energy, Finance, Diplomacy and Market Structures Workshop on “Detecting Common Bubbles in a Large-Dimensional Financial System", Sydney, Nov 28. 

[Nov] I presented at the 2019 Time Series Forecasting Symposium on “Unit Root Testing with High Frequency Data”, Sydney, Nov 11-12, 2019. 

[Oct] I gave a seminar presentation at the Department of Economics, Deakin University, on "Detecting Common Bubbles in a Large-Dimensional Financial System", Oct 16, 2019.

[Oct] I gave a seminar presentation at the Department of Economics, The University of Sydney, on "Detecting Common Bubbles in a Large-Dimensional Financial System", Oct 21, 2019.

[Jun] I presented my paper titled “Unit Root Test with High-Frequency Data” at the 2019 Quantitative Finance and Financial Econometrics, Marseille.

[Jun] I presented my paper titled “Volatility Estimation and Jump Detection for drift-diffusion Processes" at the Financial Econometrics and New Finance Conference, Zhejiang, China.

[Jun] I gave a presentation on “Econometric Analysis of Asset Price Bubbles” at the Symposium on Financial Time Series in Honor of Jun Yu, Zhejiang, China.

[May] The paper "Volatility Estimation and Jump Detection for Drift-diffusion Processes" is forthcoming in the Journal of Econometrics.

[Apr] The paper "Detecting Financial Collapse and Ballooning Sovereign Risk," is forthcoming in the Oxford Bulletin of Economics and Statistics.

[Mar] I presented my paper titled "Volatility Estimation and Jump Detection for drift-diffusion Processes" at the University of Melbourne.

[Feb] The paper "Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship" is forthcoming in the Journal of Financial Econometrics.

[Jan] The paper "Information Flow in Times of Crisis: The Case of the European Banking and Sovereign Sectors" has been published by Econometrics (Special Issue Celebrated Econometricians: Peter Phillips). 

[Jan] I presented my paper titled "Volatility Estimation and Jump Detection for drift-diffusion Processes" in the 5th annual meeting of Young Econometricians in Asia-Pacific.

2018

[Nov] I received an Australian Research Council Discovery Early Career Researcher Award (2019-2021) and an Australian Research Council Discovery Project Awards (2019-2021). 

[Nov] The R package psymonitor developed in conjunction with the book chapter for the real-time monitoring of bubbles and crises has now been published on CRAN.

[Nov] The book chapter Real Time Monitoring of Asset Markets: Bubbles and Crises (with Peter C.B. Phillips) is forthcoming in the Handbook of Statistics, Volume 41 - Econometrics Using R. 

[Aug]  The paper "Change Detection and the Causal Impact of the Yield Curve" is forthcoming in the Journal of Time Series Analysis.

[Jul] Together with Stan Hurn from NCER, we organized the 2018 Frontiers in Econometrics workshop. It was held one day at the Macquarie University City Campus and two days at the QUT Garden point. 

[May] I presented a paper titled, "Testing for Jumps in Near Non-stationary Diffusion Processes" at the 14th International Symposium on Econometric Theory and Applications. 

[Mar] The paper Bubble Detection and Sector Trading in Real Time is forthcoming in the Quantitative Finance.

[Mar] I presented a paper, titled “Detecting Financial Collapse and Ballooning Sovereign Risk”, at the SMU Tripartite Conference, Singapore.

[Feb] An R package has been developed for the  bubble testing method we proposed in papers titled Testing for Multiple Bubbles. It is now available for download from the website. 

[Feb] I presented a paper, titled “Testing for Jumps in Linear Drift Diffusion Processes”, at the Australian and New Zealand Econometric Study Group Meeting, Queensland.

[Jan] I presented a paper, titled “Detecting Financial Collapse and Ballooning Sovereign Risk”, at the 4th Annual Meeting of Young Econometricians in Aisa-Pacific, Shanghai, China.

2017

[Dec] I presented a seminar, “Detecting Financial Collapse and Ballooning Sovereign Risk”, at the Wang Yanan Institute for Studies in Economics, Xiamen University, Xiamen, China

[Dec] I presented a paper, titled “Does the Random Walk Assumption Hold in High-Frequency Prices?”, at the Quantitative Method in Finance Conference, Sydney.

[Nov] I presented a paper, titled “Change Detection and the Causal Impact of the Yield Curve” at the 5th Annual “Continuing Education in Macroeconometrics” Workshop, Sydney.

[Jun] The paper Speculative Bubbles or Market Fundamentals? An Investigation of US Regional Housing Markets is forthcoming in the Economic Modelling.

[Jun] The paper Did Bubbles Migrate from the Stock Market to the Housing Market in China between 2005 and 2010? is forthcoming in the Pacific Economic Review.

[Mar-May] I am visiting the Singapore Management University.

[Mar] The paper Financial Bubble Implosion is forthcoming in the Econometric Theory.

[Feb-Mar] I am visiting the Federal Reserve Bank of St. Louis Research Department.

2016

[Dec 2016] The paper An Empirical Investigation of Herding in the U.S. Stock Market is forthcoming in the Economic Modelling.

[Dec 2016] I present my paper Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship at the Sydney Econometrics Research Group.

[Sep 2016] I present my paper Bubble Detection and Sector Trading in Real Time at J.P morgan Quantference.

[July 2016 ] I presented my paper Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship at the 2016 Australasia Meeting of Econometric Society.

[May 2016] The paper Dating the Timeline of House Price Bubbles in Australian Capital Cities is forthcoming in the Economic Record.

[March 2016] I present my paper Speculative Bubbles or Market Fundamentals? An Investigation of US Regional Housing Markets

at the Macquarie University Financial Risk Day.

[Jan 2016]  The paper Energy Consumption and Economic Growth in the United States Financial Bubble Implosion, Econometric Theory Applied Economics.

2015

[July 2015]  I gave a seminar presentation at the Center for Research in Economics and Statistics (CREST). 

[June 2015 ] I presented the paper titled Change Detection and the Causal Impact of the Yield Curve at the 2nd annual conference of the International Association for Applied Econometrics.

[Feb 2015]  I presented the paper titled Change Detection in  Granger Causality at the New Zealand Econometrics Study Group Meeting 2015.

[May 2015] The paper Nonlinearities and Tests of Asset Price Bubbles is forthcoming in the Empirical Economics.

2014

[Nov 2014] We (with Stan Hurn, Mardi Dungey and Peter Phillips) receive the award of a Discovery Project grant (2015-2017) from the Australian Research Council. The project is titled Change detection in Granger Causality.

[Oct 2014] The paper Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500, forthcoming in the International Economic Review.

[Aug 2014] The paper titled Financial Bubble Implosion is now available for download from my research webpage.

[Aug 2014] I presented the paper titled Financial Bubble Implosion at the Princeton/QUT/SMU Tripartite Conference on Financial Econometrics.

[Jul 2014] The paper Identifying Speculative Bubbles with an Infinite Hidden Markov Model is forthcoming in the Journal of Financial Econometrics.

[Jun 2014] The paper Testing for Multiple Bubbles: Limit Theory of Real Time Detectors is forthcoming in the International Economic Review.

[Jun 2014] An Eviews Addin has been developed for the  bubble testing method we proposed in papers titled Testing for Multiple Bubbles. It is now available for download from the Eviews addin website named rtadf*. 

[Apr 2014] I gave a seminar presentation at Department of Economics, Melbourne University.

[Feb 2014] I presented the paper titled The Implosion of Economic and Financial Bubbles at the New Zealand Econometrics Study Group Meeting 2014.

[Feb 2014] I have moved to Macquarie University as a senior lecturer in Economics.

2013

[July 2013] I got the invitation to visit and give a seminar at the Reserve Bank of New Zealand -- I will be visiting the bank in the coming October..

[July 2013] The paper The Divergence between Core and Headline Inflation: Implications for Consumers' Inflation Expectations is forthcoming in the Journal of Macroeconomics.

[July 2013] I presented the paper The Divergence between Core and Headline Inflation: Implications for Consumers' Inflation Expectations at the Econometric Society Australasian Meeting 2013.

2012

[Dec 2012] The paper Specification Sensitivities in Right-Tailed Unit Root Testing for Explosive Behavior is forthcoming in Oxford Bulletin of Economics and Statistics. See the research section for more information.

[Dec 2012] I presented the paper Testing for Explosive Behaviour in Relative Inflation Measures: Implications for Inflation Expectations at Conference on CommodityPrice Volatility, Past and Present.

[Jul 2012] The paper Specification Sensitivities in the Markov-Switching Unit Root Test for Bubbles is forthcoming in Empirical Economics. An earlier version of the paper is titled Bubbles or volatility: A markov-switching ADF test with regime-varying error variance. See the research section for more information.

[May 2012]  A new version of the paper Testing for Explosive Behaviour in Relative Inflation Measures: Implications for Inflation Expectations (joint with Vipin Arora and Pedro Gomis-Porqueras) is available. See the research section for more information.

[Apr 2012]  A new version of the paper Specification Sensitivities in Right-Tailed Unit Root Testing for Explosive Behavior (joint with with Peter C.B. Phillips and Jun Yu) is available. See the research section for more information.

[Apr 2012]  I presented the paper A Heterogeneous Agent Foundation for Tests of Asset Price Bubbles (joint with Vipin Arora) at Sydney Heterogeneous Agent Modeling Research Group.

[Mar 2012]  We got the invitation fromDeutsche Bundesbank to present the paper Testing for Multiple Bubbles. Jun will visit them in June.

[Mar 2012]  I attended CAMA workshop "Issues in Monetary and Fiscal Policy After the Global Financial Crisis".

[Jan 2012]  The paper An application of models of speculative behaviour to oil prices (joint with Vipin Arora) has been published in Economics Letters. See the research section for more information.

[Jan 2012]  A new version of the paper Testing for Multiple Bubbles (joint with with Peter C.B. Phillips and Jun Yu) is available. See the research section for more information.

2009-2011

Jul 2011 I presented the paper Specification Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles on 04 - 07 July at the 2011 Econometric Society Australasian Meeting.

Jun 2011I presented the paper Testing for Multiple Bubbles on 13 June at the Monetary Authority of Singapore.

Jun 2011 I visited the Sim Kee Boon Institute for Financial Economics at SMU to work with Professor Jun Yu.

Jun 2011 I presented the paper Bubbles or volatility: A markov-switching ADF test with regime-varying error variance on 08 - 09 June at the SMU-ESSEC Symposium on Empirical Finance and Financial Econometrics.

Apr 2011 I presented the paper Specification Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles on 14 - 16 April at the 7th International Symposium on Econometric Theory and Applications.

Mar 2011 I presented the paper Bubbles or volatility: A markov-switching ADF test with regime-varying error variance on 17 - 18 March at the 19th Symposium of the Society for Nonlinear Dynamics and Econometrics.

Feb 2011   I joined theSchool of Finance, Actuarial Studies and Applied Statistics, ANU as a lecturer in Finance.

Aug 2010  I joined CAMA, ANU as a research associate.

Jul 2010    I presented the paper Testing periodically collapsing bubbles: a generalized sup ADF test on 15 - 17 July at the 16th International conference on computing in Economics and Finance.

Jun 2010    I am going to start as a lecturer at School of Finance, Actuarial Studies and Applied Statistics, ANU Feb. next year (Related News).

Apr 2010   I presented the paper Testing periodically collapsing bubbles: a generalized sup ADF test on 29 - 30 April and 01 May at the International Symposium on Econometric Theory and Applications.

Apr 2010    I visited the Sim Kee Boon Institute for Financial Economics at SMU to work on The origination of bubbles and the termination of crises under the supervision of Professor Peter C.B. Phillips.

Dec 2009    I won the FIRN 2009 Best Paper Award (Related News).

Aug 2009    I received the overseas travel grant from FIRN (Related News).