Curriculum Vitae

CONTACT INFORMATION

• Address: 70 York Street, Suite 1100, Toronto, ON, M5J 1S9, Canada

• Email: mahsan@cmhc-schl.gc.ca 

EDUCATION 

• Ph.D. in Economics, McGill University, Canada, November 2020 

  • Thesis: “Statistical Inference for Stochastic Volatility Models” 

  • Supervisor: Jean-Marie Dufour 

  • External Examiner: Jean-Michel Zakoïan

• M.A. in Economics, York University, Canada, June 2009 

• B.B.A. in Finance and Economics, North South University, Bangladesh, April 2008 

RESEARCH FIELDS 

• Major fields: 

  • • Econometrics (Financial and Time Series);

    • Statistical (Machine) Learning;

    • Financial Economics.

• Topics of Interest: 

  • •  Computationally Efficient Methods in Financial Econometrics and Exact Inference;

    • High-dimensional Econometrics,  Machine Learning, Asset Allocation and Big Data; 

    • High-frequency Returns, Proxy Measurements and Market Microstructure;

    • Asset Pricing and Measurements of Macroeconomic Uncertainty;

    • Time Series, Forecasting and Financial Crisis.

POSITIONS 

• Senior Specialist, Housing Research, Canada Mortgage and Housing Corporation, 2023/10 –

• Visiting Doctoral Researcher (Econometrics), McGill University, 2022/11 –

• Research Scientist, CIRANO Montreal, 2014/01 – 2023/09

• Assistant Professor in Economics, Concordia University, 2019/08 – 2022/05

• Research Assistant (Financial Econometrics), FSA ULaval, 2019/01 – 2019/04

• Visiting Professor (Econometrics and Statistics), Western University, 2018/09 – 2018/12

• Research Assistant (Financial Econometrics), McGill University, 2018/04 – 2018/08

• Faculty Lecturer (Econometrics and Statistics), Part-time, McGill University, 2015/01 – 2019/04

PUBLICATIONS 

• Ahsan, M. N. and Dufour, J-M. (2019). “A simple efficient moment-based estimator for the stochastic volatility model,” Advances in Econometrics. Vol. 40A, pp. 157-201. https://doi.org/10.1108/S0731-90532019000040A008 

• Ahsan, M. N. (2020). “Realized measures and statistical inference for stochastic volatility models,” In JSM Proceedings, Business and Economic Statistics Section. Alexandria, VA: American Statistical Association. pp. 2148-2156. 

• Ahsan, M. N., and Dufour, J. M. (2021). “Simple estimators and inference for higher-order stochastic volatility models”. Journal of Econometrics, 224(1), 181-197.  https://doi.org/10.1016/j.jeconom.2021.03.008 

• Ahsan, M. N. (2021), “Option pricing with higher-order stochastic volatility models.” In JSM Pro­ceedings, Business and Economic Statistics Section. Alexandria, VA: American Statistical Association. pp. 241-254. 

RESEARCH PAPERS 

• “High-frequency instruments and identification-robust inference for stochastic volatility models” with Jean-Marie Dufour. CIRANO DP, 2022, 91 pages. Submitted to Journal of Time Series Analysis.

• “Practical estimation methods for high-dimensional multivariate stochastic volatility models” with Jean-Marie Dufour. Discussion Paper, McGill University and CIRANO, 2022, 58 pages.

• “Volatility forecasting with higher-order stochastic volatility models” with Jean-Marie Dufour. CIRANO Discussion Paper, 2021, 42 pages. Submitted to International Journal of Forecasting.

• “Estimation and inference for higher-order stochastic volatility models with leverage” with Jean-Marie Dufour and Gabriel Rodriguez Rondon. Submitted to Journal of Time Series Analysis.

• “Simple scalable estimation for multivariate stochastic volatility models with leverage” with Jean-Marie Dufour. Discussion Paper, McGill University and CIRANO, 2022, 44 pages.

• “High-frequency asset allocation.” Discussion Paper, CIRANO, 2021, 37 pages.

• “On the robustness of the Bayesian estimator for stochastic volatility models.” 29 pages.

•  “A practical estimation method for stochastic volatility models using measures of quadratic variation.” Discussion Paper, CIRANO, 2021, 21 pages.

• “Non-Gaussian and semi-parametric higher-order stochastic volatility models” with Jean-Marie Dufour. 27 pages.

RESEARCH IN PREPARATION 

• “Exact high-frequency jump tests.” 21 pages. 

• “High-dimensional regularized sparse covariance (precision) matrix estimation.” 22 pages. 

• “Optimal invariant inference for a time series that is measured with error.” 43 pages.

RESEARCH GRANTS

• Ministère des Finances du Québec, grant on “Practical and reliable estimation methods for high-dimensional multivariate stochastic volatility models with macroeconomic applications” (with Jean-Marie Dufour, McGill University), $ 29,600. Co-investigator.

• Natural Sciences and Engineering Research Council of Canada, Fund ID: I216461C0G, Merit-based funding (STP), McGill University. $ 12,200.

• Bank of Canada, Research Aid - Econometrics, Fund ID: I213259C0G, Merit-based funding (STP), McGill University. $ 65,000.

• Fonds de recherche du Québec Société et culture (FRQSC), Fund ID: I237337C0G,Merit-based funding (STP), McGill University. $ 6,000.

• Social Sciences and Humanities Research Council of Canada, Fund ID: I232106C0G & I217558C0G, Merit-based funding (STP), McGill University. $ 14,000.

• Canada Research Chairs Program, Fund ID: I208331C0G, Merit-based funding (STP), McGill University. $ 22,500.

FELLOWSHIPS, HONORS AND AWARDS 

• Dufour Graduate Award in Economics, McGill University. 

• Grad Excellence Award in Economics, McGill University. 

• McGill International Doctoral Awards (MIDAs), McGill University. 

• McCall McBain Fellowship, McGill University. 

• Provost’s Grad Fellowship, McGill University. 

• Graduate Scholarship, York University. 

• International Tuition Fee Scholarship, York University. 

• Chris Sloan Book Prize Award for the Best Graduate Student of the Year, York University. 

• Awarded full tuition fee waiver, North South University. 

• Graduated with distinction Summa-Cum-Laude (the greatest praise), North South University. 

• Ranked 11th in the Graduating Class, North South University. 

PAPERS PRESENTED IN SPECIAL INVITED LECTURES, CONFERENCES AND SEMINARS 

* Presented by the co-author. 

• “Practical estimation methods for high-dimensional multivariate stochastic volatility models” 

  • •  * Financial Econometrics Conference, Toulouse School of Economics, May 12 – 13, 2023.

    • * CIREQ Econometrics Conference, Recent Developments in Econometrics, Montreal, May 5 – 6, 2023

    •  * The 10th Days of Econometrics for Finance (JEF2023) is jointly organized with the 12th Workshop on High Dimensional Data Analysis (HDDA-XII), Rabat, Morocco, April 26 – 28, 2023.

    •  * Financial Econometrics Conference to mark Stephen Taylor’s Retirement, Lancaster University, UK, March 29 – 31, 2023.

    • CIREQ Montreal Econometrics Conference in Honor of Eric Renault, Montreal, May 27-28, 2022.

    • * CIREQ-Concordia Seminar, Concordia University, Montreal, November 05, 2021. 

    • 37th Canadian Econometrics Study Group Meeting, Vancouver, November 19-21, 2021. 

    • 11th RCEA Money-Macro-Finance Conference: The Pandemic Crisis, Macro-Financial Distress, Risks and Opportunities, jointly hosted by the Center for European Studies (CefES) of the Uni­versity of Milano-Bicocca, the University of California Riverside, and the Joint Research Centre (JRC), July 27-28, 2021. 

    • * 7th RCEA Time Series Workshop, hosted by the University of Milano-Bicocca, June 25-26 2021. 

    • Mathematical Statistics Session, Bernoulli-IMS Symposium, Virtual, August 2020. 

• “High-frequency instruments and identification-robust inference for stochastic volatility models” 

  • CIREQ-Concordia Seminar, Concordia University, Montreal, October 08, 2021. 

  • Bernoulli-IMS 10th World Congress in Probability and Statistics, jointly organized by the Bernoulli Society and IMS, hosted by the Department of Statistics, Seoul National University, July 19-23, 2021. 

  • Statistics 2021 Canada (6th Canadian Conference in Applied Statistics), hosted jointly by the De­partment of Mathematics & Statistics and the Department of Supply Chain & Business Technol­ogy Management of Concordia University, July 15-18, 2021. 

  • Australasian Meeting of the Econometric Society (ESAM), Department of Economics, University of Melbourne, July 7-9, 2021. 

  • China Meeting of the Econometric Society (CMES), School of Entrepreneurship and Manage­ment, ShanghaiTech University, July 1-3, 2021. 

  • RCEA Time Series Workshop, hosted by the University of Milano-Bicocca, June 25-26 2021. 

  • IAAE 2021 Annual Conference, Erasmus School of Economics, Rotterdam, The Netherlands, June 22-25, 2021. 

  • Society for Financial Econometrics (SoFiE) Annual Conference, Rady School of Management, UC San Diego, June 15-17, 2021. 

  • North American Summer Meeting of the Econometric Society (NASMES), Department of Eco­nomics, Université du Québec à Montréal, June 10-13, 2021. 

  • 2020 Joint Statistical Meeting (theme Everyone Counts: Data for the Public Good), American Statistical Association, August 2020. 

  • Bernoulli-IMS Symposium, Virtual, August 2020. 

  • 36th Canadian Econometrics Study Group Meeting, Montreal, October 2019. 

  • 53rd Annual Conference of the CEA, Banff, Alberta, June 2019. 

  • CIREQ Montreal Econometrics Conference: Recent Advances on Bootstrap Methods, Montreal, May 2019. 

  • 14th CIREQ Ph.D. Students’ Conference, Montreal, May 2018. 

  • CIREQ-McGill Lunch Seminar, McGill University, Montreal, October 2016. 

  • CIREQ Montreal Econometrics Conference in Honor of Jean-Marie Dufour, Montreal, May 2016. 

  • 12th CIREQ Ph.D. Students’ Conference, Montreal, May 2016. 

• “Volatility forecasting with higher-order stochastic volatility models” 

  • 2021 Joint Statistical Meetings (theme Statistics, Data, and the Stories They Tell), American Sta­tistical Association, August 8-12, 2021. 

  • * RCEA Time Series Workshop, Keynote Speaker, hosted by the University of Milano-Bicocca, June 25-26 2021. 

  • 60th Annual Southwestern Finance Association (SWFA) Conference, March 2021. 

  • 21st IWH-CIREQ-GW Macroeconometric Workshop: Forecasting and Uncertainty, October 2020 

  • Time Series Econometrics Session, Bernoulli-IMS Symposium, Virtual, August 2020. 

• “On the robustness of the Bayesian estimator for stochastic volatility models” 

  • Bayesian Statistics Session, Bernoulli-IMS Symposium, Virtual, August 2020. 

• “Simple estimators and inference for higher-order stochastic volatility models” 

  • European Winter Meetings of the Econometric Society, Nottingham, December 2020. 

  • * Statistics Seminar, Département de mathématiques, Université de Sherbrooke, December 2019. 

  • * 11th French Econometrics Conference, Keynote Speaker, Marseille, November 2019. 

  • * Workshop on Econometrics and Statistics, Keynote Speaker, Department of Management Sci­ences, City University of Hong Kong, August 2019. 

  • * NBER-NSF Time Series Conference, Invited Speaker, The Chinese University of Hong Kong, August 2019. 

  • International Association for Applied Econometrics Annual Conference, Nicosia, Cyprus, June 2019. 

  • 36th International Conference of the French Finance Association (AFFI), Quebec City, June 2019. 

  • * Faculté des sciences de l’administration, Université Laval, Quebec City, April 2019.

  •  * BU-2019 Pi-day Econometrics Conference in Honor of Pierre Perron, Department of Economics, Boston University, Boston, March 2019. 

  • Canadian Econometrics Study Group Meeting, Ottawa, October 2018. 

  • International Conference on Time Series and Forecasting, Granada, Spain, September 2018. 

  • International Association for Applied Econometrics Annual Conference, Université du Québec à Montréal, Montreal, June 2018. 

  • 52nd Annual Conference of the CEA, McGill University, Montreal, June 2018. 

  • * CIREQ Montreal Econometrics conference: Recent Advances in the Method of Moments, Mon­treal, April 2018. 

  • * Department of Economics, University of Bergamo, Bergamo, Dalmine, Italy, May 2018. 

  • * Department of Economics, University of Southern California, Los Angeles, April 2018. 

  • * New York Camp Econometrics XIII, The Sagamore (Bolton Landing), NY, April 2018. 

  • Department of Economics, York University, Toronto, February 2018. 

  • 11th World Congress of the Econometric Society, Montreal, August 2015. 

  • 11th CIREQ Ph.D. Students’ Conference, Montreal, May 2015. 

  • CIREQ-McGill Lunch Seminar, McGill University, July 2015. 

• “A Simple Efficient Moment-based Estimator for the Stochastic Volatility Model” 

  • CIREQ-McGill Lunch Seminar, McGill University, Montreal, April 2016. 

TEACHING EXPERIENCE 

• Concordia University 

  • Financial Economics (ECON 433/533, Graduate/Undergraduate) 

  • Econometrics I (ECON 421/521, Graduate/Undergraduate) 

  • Introduction to Financial Economics I: Investments (ECON 398A) 

  • Statistical Methods I (ECON 221) 

  • Introduction to Macroeconomics (ECON 203) 

• McGill University 

  • Financial Econometrics (ECON 763, PhD level)

  • Financial Institutions and Instruments (ECON 304, Undergraduate Level) 

  • Introductory Econometrics 2 (ECON 338, Undergraduate Level) 

  • Economic Statistics Honours (ECON 257D2, Undergraduate Level) 

  • Econometrics -II Honours (ECON 469, Undergraduate Level) 

• University of Western Ontario 

  • Financial Risk Management (ECON 9687, Graduate Level), Fall 2018. 

  • Intermediate Econometrics I (ECON 2222A-001/002, Undergraduate Level), Fall 2018. 

• Teaching Assistant, McGill University (Selected) 

  • Financial Econometrics (ECON 763) 

  • Economic Statistics -Honours (ECON 257D1-D2) 

  • Economic Statistics (ECON 227D2). 

AFFILIATIONS AND PROFESSIONAL SERVICES 

• Member, American Statistical Association 

• Member, The Econometric Society 

• Member, International Association for Applied Econometrics 

• Member, The American Finance Association (AFA) 

• Member, Canadian Economic Association (CEA) 

• Joint Member, Institute of Mathematical Statistics (IMS) and Bernoulli Society 

• Jury Member, the Economics Spring Poster Day Session for MA and PhD students, Concordia Univer­sity, May 2021. 

• Assist Western MFE students in preparation to the McGill International Portfolio Challenge (MIPC) competition. 

• Centre Interuniversitaire de Recherche en Economie Quantitative (CIREQ) 

• VP (Finance), McGill Economics Graduate Association (MEGA), 2013. 

• VP (Student Services), Economics Graduate Students’ Association (EGSA), York University, 2009. 

OTHER INFORMATION 

• Languages: English (Fluent), Bengali (Native), French (Intermediate)

• Computer: MATLAB, R, Python, C++, SAS, GAUSS, SQL, LaTex