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Research

Research Interests

Financial Economics
Financial Econometrics
Time Series Analysis
Quantitative Finance
Continuous Time Stochastic Analysis

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