phone: 905-525-9140 ext. 26198
Ph.D. Economics, Queen's University at Kingston Ontario, 1998.
M.A. Economics, Queen's University at Kingston Ontario, 1993.
B.A. Honours Mathematics and Economics, Summa Cum Laude, McMaster University, 1992.
econometrics, nonlinear time-series, empirical finance.
Infinite Markov pooling of predictive distributions with X. Jin and Q. Yang, forthcoming Journal of Econometrics (2021)
Bull and bear markets during the COVID-19 pandemic with T. McCurdy and Y. Song, Finance Research Letters (2021), 42.
Bayesian Nonparametric Estimation of Ex-post Variance with J. Griffin J. and J. Liu, Journal of Financial Econometrics (2021), 19(5) 823-859.
Nonparametric Dynamic Conditional Beta with A. S. Zamenjani, Journal of Financial Econometrics (2021), 19(4), 583-613.
Oil Price Shocks and Economic Growth: The Volatility Link with Y. Song and Q. Yang, International Journal of Forecasting (2020), 36(2), 570-587.
Applications in Finance, Handbook of Mixture Analysis, Eds. S. Fruhwirth-Schnatter, G. Celeux, C. P. Robert, Chapman \& Hall/CRC Handbooks of Modern Statistical Methods with A. S. Zamenjani (2019)
Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices with X. Jin and Q. Yang, Journal of Applied Econometrics (2019), 34(5), 641-660.
Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis with M. Jensen, Journal of Risk and Financial Management, (2018), 11(3), 29.
Improving Markov switching models using realized variance with J. Liu, Journal of Applied Econometrics (2018) 33(3), 297-318.
An Efficient Bayesian Approach to Multiple Structural Change in Multivariate Time Series with Y. Song, Journal of Applied Econometrics (2018), 33(2), 251-270.
An Infinite Hidden Markov Model for Short-term Interest Rates with Q. Yang, Journal of Empirical Finance (2016), 38, 202-220.
Modeling Covariance Breakdowns in Multivariate GARCH with X. Jin, Journal of Econometrics (2016), 194(1), 1-23.
Bayesian Semiparametric Modeling of Realized Covariance Matrices with X. Jin, Journal of Econometrics (2016) 192(1), 19-39.
Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture with M. Jensen, Journal of Econometrics (2014), 178, part 3, 523-538
A New Structural Break Model with Application to Canadian Inflation Forecasting with Y. Song, International Journal of Forecasting (2014), 30(1), 144-160
Do Jumps Contribute to the Dynamics of the Equity Premium? with T. H. McCurdy and X. Zhao, Journal of Financial Economics (2013), 110(2) 457-477.
Bayesian semiparametric multivariate GARCH modeling with M. Jensen, Journal of Econometrics (2013), 176, 3-17.
Modelling Realized Covariances and Returns with X. Jin, Journal Of Financial Econometrics (Spring 2013) 11(2): 335-369, appendix included.
Bayesian Adaptively Updated Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models with M. Burda, Studies in Nonlinear Dynamics & Econometrics (2013), 17(4), 345-372
Components of bull and bear markets: bull corrections and bear rallies Web Appendix with T. McCurdy and Y. Song, Journal of Business and Economic Statistics, 30, Issue 3, July 2012, pages 391-403
Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market with C. Liu, Pacific Basin Finance Journal (2012), 30(3), 329-348.
Do high-frequency measures of volatility improve forecasts of return distributions? with T. McCurdy, Journal of Econometrics (2011), 160(1), 69-76.
Bayesian semiparametric stochastic volatility modeling with M. Jensen, Journal of Econometrics (2010), 157(2), 306-316. (Winner of the 2012 Arnold Zellner Award for the most significant theoretical paper published in the Journal of Econometrics, 2010-2011)
Real Time Detection of Structural Breaks in GARCH Models with Z. He, Computational Statistics & Data Analysis (2010), 54(11), 2628-2640.
FORECASTING VOLATILITY IN THE PRESENCE OF MODEL INSTABILITY with J. Reeves and X. Xie, Australian & New Zealand Journal of Statistics (2010), 52(2), 221-237
Forecasting Realized Volatility: A Bayesian Model Averaging Approach with C. Liu, Journal of Applied Econometrics (2009), 24, 709-733
How useful are historical data for forecasting the long-run equity return distribution? with T. McCurdy, Journal of Business and Economic Statistics (2009), 27(1), 95-112
Are there Structural Breaks in Realized Volatility? with C. Liu, Journal of Financial Econometrics (2008), 6 (3), 291 - 406
Learning, Forecasting and Structural Breaks with S. Gordon, Journal of Applied Econometrics (2008), 23(5), 553-583
Modeling Foreign Exchange Rates with Jumps with T. McCurdy, in Forecasting in the Presence of Structural Breaks and Model Uncertainty, Elsevier Series on Frontiers in Economics and Globalization, Eds D. E. Rapach and M. E. Wohar, (2008)
Components of Market Risk and Return with T. McCurdy, Journal of Financial Econometrics (2007), 5(4), 560-590
Can GARCH Models Capture the Long-Range Dependence? Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press (2005), 9(4), 1269-1269
News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns with T. McCurdy, The Journal of Finance (2004), 59(2) April
Conditional Jump Dynamics in Stock Market Returns with W. Chan, Journal of Business & Economic Statistics (2002), 20(3), July, 377-389
Nonlinear Features of Realized FX Volatility with T. McCurdy, Review of Economics and Statistics (2002), 84 (4), 668 - 681
Volatility Dynamics under Duration-Dependent Mixing, with T. McCurdy, Journal of Empirical Finance (2000), 7, 345-372.
Identifying Bull and Bear Markets in Stock Returns, with T. McCurdy, Journal of Business and Economic Statistics (2000), 18 (1), 100-112.