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