Research Interests:

Time Series Econometrics, High-frequency Financial Econometrics, Systemic Risk of Financial Institutions, Probability and Statistics

Publications:

1. "The Relative Contribution of Jumps to Total Price Variance", with George Tauchen, Journal of Financial Econometrics, Volume 3, Issue 4, Fall 2005, 456-499. [working paper version]

2. "A Framework for Assessing the Systemic Risk of Major Financial Institutions", with Hao Zhou and Haibin Zhu, Journal of Banking and Finance, Volume 33, Issue 11, November 2009, 2036–2049. [working paper version] An abridged version was invited for publication in Risk Professional, April 2010, 40-48.

3. " A Reduced Form Framework for Modeling Volatility of Speculative Prices Based on Realized Variation Measures", with Torben G. Andersen and Tim Bollerslev, Journal of Econometrics, Volume 160, Issue 1, January 2011, 176-189. [working paper version]

Working Papers:

1. "Macroeconomic News Announcements, Financial Market Volatility and Jumps", Fall 2006. [pdf]

2. "Assessing the Systemic Risk of a Heterogeneous Portfolio of Banks during the Recent Financial Crisis", with Hao Zhou and Haibin Zhu, April 2010. BIS Working Papers No 296. [pdf] Japanese version appears in the Japan Research Institute, Limited(eds.), the Future Course of Financial Systems. Japan: Kinzai Institute For Financial Affairs, Inc (Kinzai), October 2010.[pdf]

3. "Systemic Risk Contributions", with Hao Zhou and Haibin Zhu, August 2010. [pdf]

Teaching:

Elements of Statistics (Econ 2843): Fall 2007, 2008, 2009, 2010, Spring 2010.

Econometrics III (Econ 6343): Spring 2008, 2009, 2010.

Economics of Capital Markets (Econ 4393): Spring 2009.