Publications

• Electricity price spike clustering: A zero-inflated GARX approach (2023). Energy Economics, 124. With Neyavan Suthaharan.

Working paper version: download

• Bootstrap inference for Hawkes and general point processes (2023).  Journal of Econometrics, 235 (1), 133-165. With Giuseppe Cavaliere, Anders Rahbek, and Jacob Stærk-Østergaard. 

Working paper version: arXiv | MATLAB code [GitHub][Live script] | R code [GitHub]

• Testing for stationarity at high frequency (2020). Journal of Econometrics, 215 (2), 341-374. With Bibo Jiang and Joon Y. Park.

• Estimation of long-run variance of continuous time stochastic process using discrete sample (2019). Journal of Econometrics, 210 (2), 236-267 With Joon Y. Park.

Working papers

• To boost or not to boost? That is the question, with Adrian Pagan. 

• Understanding regressions with observations collected at high frequency over long span, with Yoosoon Chang and Joon Y. Park. Revised and resubmitted to Quantitative Economics.

MATLAB code [download], March 2022

• Incremental factor model for high frequency observations with large dimension and long span, with Joon Y. Park.

Work in progress

• Maximum simulated likelihood estimation for factor copula models, with James Priest.

• Two classes of skew-elliptical copulas.

• Pricing infinite horizon cash flow in continuous time, with John Stachurski.

• Cross-sectional dependence and time-varying slope parameters in panel data models, with Tim Neal.