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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.
Bayesian semiparametric multivariate GARCH modeling with M. Jensen
Modelling Realized Covariances and Returns with X. Jin
Improving Forecasts of Inflation using the Term Structure of Interest Rates with A. Gomez and A. Maynard
Bayesian Adaptively Updated Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models with M. Burda, forthcoming Studies in Nonlinear Dynamics & Econometrics
Components of bull and bear markets: bull corrections and bear rallies Web Appendix with T. McCurdy and Y. Song, forthcoming Journal of Business and Economic Statistics
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.
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.