I joined the University of Sydney as a Professor of Econometrics in July 2019. Prior to joining the University of Sydney I was a tenured Associate Professor of Economics at the University of California, San Diego, where I taught for eleven years. Prior to my time in San Diego I spent a year at Nuffield College, University of Oxford, as a Research Fellow. I received my Ph.D. from Yale University in 2007 and my Bachelor's degree from the University of New South Wales in 2001.
My primary research interests are econometric theory (in particular, inference under concavity constraints, nonstationary functional time series analysis, and dependence modeling with copulae), and financial econometrics (in particular, option price anomalies and the shape of the pricing kernel).
Tail behavior of stopped Lévy processes with Markov modulation. To appear in Econometric Theory. With Won-Ki Seo and Alexis Akira Toda.
Distributional replication. Entropy, 23 (8), 1063.
Improved nonparametric bootstrap tests of Lorenz dominance. Journal of Business and Economic Statistics, 39 (1), 189-199. With Zhenting Sun. (MATLAB code.)
On the emergence of a power law in the distribution of COVID-19 cases. Physica D: Nonlinear Phenomena, 412, 132649. With Alexis Akira Toda. (MATLAB code.)
Representation of I(1) and I(2) autoregressive Hilbertian processes. Econometric Theory, 36 (5), 773-802. With Won-Ki Seo.
An improved bootstrap test of density ratio ordering. Econometrics and Statistics, 10, 9-26. With Xiaoxia Shi. (MATLAB code.)
Cointegrated linear processes in Bayes Hilbert space. Statistics and Probability Letters, 147, 90-95. With Won-Ki Seo.
Unit root testing with unstable volatility. Journal of Time Series Analysis, 39 (6), 816-835.
Option augmented density forecasts of market returns with monotone pricing kernel. Quantitative Finance, 18 (4), 623-635. With Asad Dossani.
Book review: "Convolution Copula Econometrics". Journal of Economic Literature, 55 (4), 1615-1619.
Weak convergence of the least concave majorant of estimators for a concave distribution function. Electronic Journal of Statistics, 11 (2), 3841-3870. With Zheng Fang.
The Chang-Kim-Park model of cointegrated density-valued time series cannot accommodate a stochastic trend. Econ Journal Watch, 14 (2), 133-137.
Nonparametric tests of density ratio ordering. Econometric Theory, 31 (3), 471-492. With Jong-Myun Moon.
Vine copula specifications for stationary multivariate Markov chains. Journal of Time Series Analysis, 36 (2), 228-246. With Juwon Seo. (Corrigendum.)
Stable limit theory for the variance targeting estimator. Advances in Econometrics, 33, 639-672. With Igor Vaynman.
A coarsening of the strong mixing condition. Communications on Stochastic Analysis, 8 (3), 317-329.
Archimedean copulas and temporal dependence. Econometric Theory, 28 (6), 1165-1185.
Measure preserving derivatives and the pricing kernel puzzle. Journal of Mathematical Economics, 47 (6), 689-697.
Copulas and temporal dependence. Econometrica, 78 (1), 395-410.
A generalization of Hoeffding's lemma, and a new class of covariance inequalities. Statistics and Probability Letters, 79 (5), 637-642.
The Soviet economic decline revisited. Econ Journal Watch, 5 (2), 135-144.
2021, S1: ECMT3110. Econometric Models and Methods. Fridays 11am-2pm, Social Science Building room 210.
2021, S2: ECMT2160. Econometric Analysis. Wednesdays 12-2pm. Online.