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Research

Research Interests

Financial Econometrics
Time Series Analysis
Large Dimensional Data Analysis
Non- and Semi-parametric Statistics
Quantitative Finance
Empirical Finance
Energy Economics

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. Jie Cheng

    Keele University

    Regime Switching Models

    Prof. Fredj Jawadi

    University of Lille

    Empirical Finance, Energy Economics

    Prof. Dennis Kristensen

    University College London

    Identification and Estimation of Continuous Time Models

    Prof. Jihyun Kim

    Sungkyunkwan University/Toulouse School of Economics

    Nonparametric Continuous Time Models

    Prof. Degui Li

    University of Macau

    Nonparametric Large Dimensional Statistics

    Prof. Zhiyuan Pan

    Southwestern University of Finance and Economics

    Volatility Forecasing

    Prof. Xiaohang Ren

    Central South University

    Empirical Finance

    Prof. Xiaojun Song

    Peking University

    Semiparametric Dynamic Copula Specification Tests

    Prof. Bin Wang

    Harbin Institute of Technology

    Nonparametric Continuous Time Models