Research
Research Interests
Financial Economics
Financial Econometrics
Time Series Analysis
Quantitative Finance
Continuous Time Stochastic Analysis
Research groups
Research grants
Dissecting Systemic Risks in Large Economic Sectors: A Semiparametric Big Data Approach
BRITISH ACADEMY (UK)
March 2022 - March 2024
Modelling Interest Rate Dynamics: A Flexible and Efficient Nonparametric Likelihood Approach
ECONOMIC AND SOCIAL RESEARCH COUNCIL
July 2012 - June 2014
A new approach for modelling multivariate interest rates with applications to UK and US markets
BRITISH ACADEMY (UK)
January 2010 - December 2010
A Pilot Study for Flexible and Efficient Modelling of a General Class of Short Term Interest Rate Dynamics
BRITISH ACADEMY (UK)
April 2014 - September 2015
Research collaborations
Prof. Degui Li
University of York
Nonparametric Large Dimensional Statistics
Prof. Dennis Kristensen
University College London
Identification and Estimation of Diffusion Copulas
Prof. Jihyun Kim
Toulouse School of Economics
Nonparametric Diffusion Estimation
Prof. Fredj Jawadi
University of Lille
Multi-Factor Transformed Diffusion Models
Prof. Abderrahim Taamouti
Durham University
Semiparametric Conditional Independence Tests
Prof. Xiaojun Song
Peking University
Semiparametric Conditional Independence Tests
Dr. Bin Wang
Harbin Institute of Technology
Nonparametric Diffusion Estimation
Prof. Zhiyuan Pan
Southwestern University of Finance and Economics
Volatility Forecasing
Dr. Jie Cheng
Keele University
Regime Switching Models