Research Interests
Optimal Asset Allocation, Time-Series Econometrics, and Non/Semi-Parametric Econometrics
Selected Publications
- “Optimal Investment and Asymmetric Risk: A Large Deviations Approach,” (with J. Knight and S. Satchell), Optimization, 59(1), 2010, pp. 3-27.
- “Modeling the Contemporaneous Duration Dependence for High-frequency Stock Prices,” (with M. Voia), Financial Research Letters, 7(3), 2010, pp. 148-162.
- “Spurious Regressions of Stationary AR(p) Processes with Structural Breaks,” (with R. Kozhan), Studies in Nonlinear Dynamics & Econometrics, 15(1), 2010, pp. 1-23.
- “Large Deviations Theorems for Optimal Investment Problems with Large Portfolios,” (with J. Knight and S. Satchell), European Journal of Operational Research, 211(3), 2011, pp. 533 555.
- “Recovering Copulas from Limited Information and An Application to Asset Allocation,” Journal of Banking and Finance, 35(7), 2011, pp. 1824-1842.
- “Limit Theorems for the Discount Sums of Moving Averages,” forthcoming on Journal of Time Series Analysis.
- “k-Nearest Neighbour Estimation of Inverse-Density-Weighted Expectations with Dependent Data,” (with D. T. Jacho-Chavez), forthcoming on Econometric Theory.
- “Large Deviations Estimation of theWindfall and Shortfall Probabilities for Optimal Diversified Portfolios,” forthcoming on Annals of Finance.
- “Approximation of Asymmetric Multivariate Return Distributions,” forthcoming on Asia-Pacific Financial Markets (the official journal of the Japanese Association of Financial Econometrics and Engineering (JAFEE)).