Areas of Research Interest

ͼ   Investment Behaviors and Portfolio Management

ͼ   Irregular High Frequency Data Analysis on Market Microstructure    

ͼ  Applied Financial Econometrics, esp. on Copula, DCC model, ACD Model and Bootstrapping

ͼ  Empirical Derivative Studies

Researches Materials (Appendix)

The Impact of Credit Risk, Illiquidity and Currency Volatility to Stock Markets during Financial Cries

The Price Discovery of Day Trading Activities in Futures Market includes,        The statistics of a unit root test and residual test of volume, open interest, and day trading variables        The results of the Likelihood-Ratio (LR) Statistics of Model Diagnosis        The model-fitness tests of the VAR and EGARCH-M models        The Cholesky’s one standard deviation innovation figure of impulse response analysis     Appendix. Information Loading Measurement

Psychological Barriers Effects on Futures Markets        mod operator

Measuring Currency Turmoil by SWARCH-Copula Model: Evidence from G8 Countries

Appendix A. Vector Autoregression and Vector Error Correction Models

Appendix B. A Brief Review of Copulas Functions

Appendix C. Results of Vector Autoregression and Vector Error Correction