Working paper
“Managing Bitcoin Risk Exposures in Equity Portfolios: Evidence from High Frequency Data” (with Minhao Leong and Vitali Alexeev) - under review
“Is Bitcoin Exciting? A Study of Bitcoin’s Spillover Effects” (with Minhao Leong) - under review
“A Note on Asset Price Bubbles and the Explosion of Quadratic Variations”
“Diagnostic Checks for Multivariate Parametric Intensity Models”
Publication
“A Study on Asset Price Bubble Dynamics: Explosive Trend or Quadratic Variation?” (with Robert A. Jarrow), Quantitative Finance, pp 1-14, May 2024, https://doi.org/10.1080/14697688.2024.2342897.
“Futures Contract Collateralization and its Implications” (with Robert A. Jarrow), Journal of Empirical Finance, 74, December 2023, 101422.
“The Pricing of Jump and Diffusive Risks in the Cross-Section of Cryptocurrency Returns” (with Minhao Leong), Journal of Empirical Finance, December 2023, 101420.
covered by The Chainsaw, Phys.org, and News and Opinions at USyd
“Entrepreneurial risk shocks and financial acceleration asymmetry in a two-country DSGE model" (with Cody Yu-Ling Hsiao, Tao Jin, Xi Wang and Xin Zheng), China Economic Review, 81, October 2023, 102006.
“An explosion time characterization of asset price bubbles” (with Robert A. Jarrow), International Review of Finance, 23(2), pp 469–479, June 2023.
“A Consistent and Robust Test for Autocorrelated Jump Occurrences” , Journal of Financial Econometrics, nbac031, August 2022.
Matlab code available
“Financial Wealth, Investment, and Confidence in a DSGE Model for China" (with Tao Jin and Xin Zheng), International Review of Economics and Finance, 79, pp 114–134, May 2022.
“The PCDID Approach: Difference-in-Differences when Trends are Potentially Unparallel and Stochastic” (with Marc K. Chan), Journal of Business and Economic Statistics, 40 (3), pp 1216–1233, 2022.
Stata Module available
“Inferring Financial Bubbles from Option Data” (with Robert A. Jarrow), Journal of Applied Econometrics, 36 (7), pp 1013–1046, November/December 2021.
covered by Business Insider, this blog post at medium.com, and News and Opinions at USyd
Matlab code available
“Jointly Determining the State Dimension and Lag Order for Markov-Switching Vector Autoregressive Models” (with Nan Li), Journal of Time Series Analysis, 42 (4), pp 471–491, July 2021.
“A Flexible Generalised Hyperbolic Option Pricing Model and its Special Cases” (with Claudia Yeap and S.T. Boris Choy), Journal of Financial Econometrics, 16 (3), pp 425–460, June 2018.
“Connecting the Markets? Recent Evidence on China's Capital Account Liberalization” (with Marc K. Chan), Economic Modelling, 70, pp 417–428, April 2018.
“Risk-Sharing, Market Imperfections, Asset Prices: Evidence from China's Stock Market Liberalization” (with Marc K. Chan), Journal of Banking and Finance, 84, pp 166–187, November 2017.
“Capital Account Liberalization and Dynamic Price Discovery: Evidence from Chinese Cross-Listed Stocks” (with Marc K. Chan), Applied Economics, 48 (6), pp 517-535, February 2016.
“Specification Tests of Calibrated Option Pricing Models” (with Robert A. Jarrow), Journal of Econometrics, 189 (2), pp 397-414, December 2015.
“The Association of Trends in Charcoal Burning Suicide with Google Search and Newspaper Reporting in Taiwan: A Time Series Analysis" (with S.S. Chang, Q. Cheng, Paul S.F. Yip and Y.Y. Chen), Social Psychiatry and Psychiatric Epidemiology, 50 (9), pp 1451–61, September 2015.
“A Study on the Mutual Causation of Suicide Reporting and Suicide Incidences” (with Paul S.F. Yip, F. Chen, X. Xu and Y.Y. Chen), Journal of Affective Disorders, 148 (1), pp 98–103, May 2013.
“A Note on Diagnostic Checking of the Double Autoregressive Model” (with W.K. Li), Journal of Statistical Computation and Simulation, 79 (5), pp 705–715, September 2009.
“The Autoregressive Conditional Marked Duration Model: Statistical Inference to Market Microstructure” (with W.K. Li and Philip L.H. Yu), Journal of Data Science, 7 (2), pp 189–201, April 2009.
“On Diagnostic Checking of the Autoregressive Conditional Intensity Model” (with W.K. Li), Canadian Journal of Statistics, 36 (4), pp 561–576, December 2008.