Research Interests听

Optimal Asset Allocation, Time-Series Econometrics, and Non/Semi-Parametric Econometrics

Research Statement

Selected Publications

  • “Optimal Investment and Asymmetric Risk: A Large Deviations Approach,” (with J. Knight and S. Satchell),听Optimization, 59(1), 2010, pp. 3-27.
  • “Modeling the Contemporaneous Duration Dependence for High-frequency Stock Prices,” (with M. Voia),听Financial Research Letters, 7(3), 2010, pp. 148-162.
  • “Spurious Regressions of Stationary AR(p) Processes with Structural Breaks,” (with R. Kozhan),听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),听European Journal of Operational Research, 211(3), 2011, pp. 533 555.
  • “Recovering Copulas from Limited Information and An Application to Asset Allocation,”听Journal of Banking and Finance, 35(7), 2011, pp. 1824-1842.
  • “” forthcoming on听Journal of Time Series Analysis.
  • “” (with D. T. Jacho-Chavez), forthcoming on听Econometric Theory.
  • “” forthcoming on听听Annals of Finance.
  • “Approximation of Asymmetric Multivariate Return Distributions,” forthcoming on听Asia-Pacific Financial Markets听(the official journal of the Japanese Association of Financial Econometrics and Engineering (JAFEE)).

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