Chen Zhang - Research

Publications

Working Papers

Xiaohu Wang, Weilin Xiao, Jun Yu and Chen Zhang, Maximum Likelihood Estimation of Fractional Ornstein-Uhlenbeck Process with Discretely Sampled Data. Revise and Resubmit, Journal of Econometrics.
Markus Bibinger, Jun Yu and Chen Zhang, Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion. Revise and Resubmit, Journal of Business and Economic Statistics.
Tetsuya Takabatake, Jun Yu and Chen Zhang, Optimal Estimation for General Gaussian Processes. Submitted.
Xiaohu Wang and Chen Zhang, Towards a unified fractional unit root distribution.

Conference Presentations

International Symposium on Econometric Theory and Applications, University of Macau, 2025. Local Committee.
FBA Salon Series on Data Analysis, University of Macau, 2025.
Inaugural Meeting of the Greater Bay Econometrics Study Group, University of Macau, 2024.
Fudan Workshop on Time Series Econometrics, Fudan University, 2024.
Lingnan College Advanced Seminar on Quantitative Economics, Sun Yat-sen University, 2023.
Asian Meeting of the Econometric Society in East and Southeast Asia, Nanyang Technological University, 2023. Session Chair.
Monash/Princeton/SJTU/SMU Conference on Econometrics, Singapore Management University, 2023.
International Symposium on Econometric Theory and Applications, Singapore Management University, 2023. Session Chair.
SH3 Conference on Econometrics, Singapore Management University, 2023.
Asian Finance Association Annual Conference, Hong Kong Polytechnic University, 2022.

Grants

New Machine Learning Methods with Applications in Forecasting Economic and Financial Variables

Participant, Tier 2 Grant, Ministry of Education, Singapore

Principal Investigator, Seed Grant, University of Macau