Econometrics research at USyd

For a list of econometrics-focused researchers in the USyd School of Economics, click here.

To find a current schedule of econometrics research seminars in the USyd School of Economics, click here.

If you are a current or prospective student at the University of Sydney who is considering asking me to supervise a research project, click here. 

Recent and upcoming conference and seminar presentations

February 16, 2023: Duke University.

February 28, 2023: Georgetown University.

March 10, 2023: University of Connecticut.

March 24, 2023: University of Illinois Urbana-Champaign.

April 3, 2023: Emory University.

April 12 and 17, 2023: Yale University.

May 31, 2023: University of California Los Angeles.

June 29, 2023: Symposium for High Dimensional Econometrics and Machine Learning. Tsinghua University.

July 1, 2023: Asian Meeting of the Econometric Society. Tsinghua University.

July 18, 2023: Academia Sinica.

August 8, 2023: Australasian Meeting of the Econometric Society. University of New South Wales.

October 27, 2023: University of Sydney (statistics).

November 17, 2023: Australia New Zealand Econometric Study Group Meeting. University of Adelaide.

December 5, 2023: Sydney Macro Reading Group Workshop. University of Sydney.

Publications

Optimal measure preserving derivatives revisited (2023). Mathematical Finance, 33 (2), 370-388.

Tail behavior of stopped Lévy processes with Markov modulation (2022). Econometric Theory, 38 (5), 986-1013. With Won-Ki Seo and Alexis Akira Toda.

Determination of Pareto exponents in economic models driven by Markov multiplicative processes (2022). Econometrica, 90 (4), 1811-1833. With Alexis Akira Toda.

Distributional replication (2021). Entropy, 23 (8), 1063.

Least favorability of the uniform distribution for tests of the concavity of a distribution function (2021). Stat, 10 (1), e376.

Improved nonparametric bootstrap tests of Lorenz dominance (2021). Journal of Business and Economic Statistics, 39 (1), 189-199. With Zhenting Sun. (MATLAB code.)

Randomization tests of copula symmetry (2020). Econometric Theory, 36 (6), 1025-1063. With Juwon Seo. (MATLAB code.)

On the emergence of a power law in the distribution of COVID-19 cases (2020). Physica D: Nonlinear Phenomena, 412, 132649. With Alexis Akira Toda. (MATLAB code.)

Representation of I(1) and I(2) autoregressive Hilbertian processes (2020). Econometric Theory, 36 (5), 773-802. With Won-Ki Seo.

An improved bootstrap test of density ratio ordering (2019). Econometrics and Statistics, 10, 9-26. With Xiaoxia Shi. (MATLAB code.)

Cointegrated linear processes in Bayes Hilbert space (2019). Statistics and Probability Letters, 147, 90-95. With Won-Ki Seo.

Unit root testing with unstable volatility (2018). Journal of Time Series Analysis, 39 (6), 816-835.

Option augmented density forecasts of market returns with monotone pricing kernel (2018). Quantitative Finance, 18 (4), 623-635. With Asad Dossani.

Book review: "Convolution Copula Econometrics" (2017). Journal of Economic Literature, 55 (4), 1615-1619.

Weak convergence of the least concave majorant of estimators for a concave distribution function (2017). Electronic Journal of Statistics, 11 (2), 3841-3870. With Zheng Fang.

Cointegrated linear processes in Hilbert space (2017). Journal of Time Series Analysis, 38 (6), 1010-1027. With Juwon Seo and Won-Ki Seo.

The Chang-Kim-Park model of cointegrated density-valued time series cannot accommodate a stochastic trend (2017). Econ Journal Watch, 14 (2), 133-137.

An empirical test of pricing kernel monotonicity (2016). Journal of Applied Econometrics, 31 (2), 338-356. With Lawrence Schmidt.

Nonparametric tests of density ratio ordering (2015). Econometric Theory, 31 (3), 471-492. With Jong-Myun Moon.

Vine copula specifications for stationary multivariate Markov chains (2015). Journal of Time Series Analysis, 36 (2), 228-246. With Juwon Seo. (Corrigendum.)

Stable limit theory for the variance targeting estimator (2014). Advances in Econometrics, 33, 639-672. With Igor Vaynman.

Time irreversible copula-based Markov models (2014). Econometric Theory, 30 (5), 923-960. With Juwon Seo.

A coarsening of the strong mixing condition (2014). Communications on Stochastic Analysis, 8 (3), 317-329.

Archimedean copulas and temporal dependence (2012). Econometric Theory, 28 (6), 1165-1185.

Measure preserving derivatives and the pricing kernel puzzle (2011). Journal of Mathematical Economics, 47 (6), 689-697.

Copulas and temporal dependence (2010). Econometrica, 78 (1), 395-410.

A generalization of Hoeffding's lemma, and a new class of covariance inequalities (2009). Statistics and Probability Letters, 79 (5), 637-642.

The Soviet economic decline revisited (2008). Econ Journal Watch, 5 (2), 135-144.

Unpublished manuscripts

Optimal taxation and the Domar-Musgrave effect. With Alexis Akira Toda.

Modified Wilcoxon-Mann-Whitney tests of stochastic dominance. With Jackson Clarke.

Stochastic arbitrage with market index options. With Juwon Seo.

The Granger-Johansen representation theorem for integrated time series on Banach space. With Konstantin Avrachenkov, John Boland, Massimo Franchi and Phil Howlett.

Teaching

Semester 1, 2023 (Yale). ECON553: Time Series Econometrics. 28 Hillhouse Avenue, Room A102.

Semester 2, 2023 (USyd). ECMT2160: Econometric Analysis. John Wooley Lecture Theater N395.

Advice on mathematics coursework for econometrics students

For advice on mathematics coursework for students of econometrics at the University of Sydney, click here.