Working Papers
- Asymmetry and non-normality in the dynamics of Chinese renminbi markets
- Current Version: February 2025
- Online Appendix: February 2025
- Time variation in house price persistence – The role of expectations versus credit supply (with Chi-Young Choi), October 2024.
Publications
(2024). Conditional sum of squares estimation of k-factor GARMA models (with Paul Beaumont), AStA Advances in Statistical Analysis.
(2023). An investment-based explanation of currency excess returns (with Ibrahim Jamali and Ehab Yamani), Journal of International Money and Finance.
(2023). Inference for estimators of generalized long memory processes (with Paul Beaumont), Communications in Statistics – Simulation and Computation.
(2022). Inference in misspecified GARCH-M models, Oxford Bulletin of Economics and Statistics.
(2021). Determinants of credit loan securitization in Chinese banking, (with Jie Li and Zhenyu Sheng), Pacific Economic Review
(2019). Volatility in productivity and impact on unemployment, (with William J Crowder), Applied Economics
(2019). Analyzing exchange rate uncertainty and bilateral export growth in China: A multivariate GARCH based approach, Economic Modelling.
(2016). A Monte Carlo Investigation of Unit Root Tests and Long Memory in Detecting Mean Reversion in I(0) Regime Switching, Structural Break, and Nonlinear Data, Econometrics Reviews.
(2013). Exchange rate shocks and trade: A multivariate GARCH-M approach, (with Kevin Grier), Journal of International Money and Finance.
(2013). Long Memory Regressors and Predictive Testing: A Two-stage Rebalancing Approach, (with Alex Maynard and Mark Wohar), Econometric Reviews.
(2011). Mean reversion in the real interest rate and the effects of calculating expected inflation, (with Onsurang Norrbin), Southern Economic Journal.
(2010). Generalized long memory and the mean reversion of the real exchange rate, (with Stefan Norrbin), Applied Economics.
(2008). Measuring the persistence of deviations from purchasing power parity with a fractionally integrated STAR model, Journal of International Money and Finance.
(2008). An encompassing test of real interest rate equalization, (with Stefan Norrbin), Review of International Economics.
(2007). Uncertainty and export performance: Evidence from 18 countries, (with Kevin Grier), Journal of Money, Credit, and Banking.
(2006). Generalized long memory processes, failure of cointegration tests and exchange rate dynamics, (with Stefan Norrbin), Journal of Applied Econometrics
(2005). Joint Tests for Non-linearity and Long Memory: The Case of Purchasing Power Parity, Studies in Nonlinear Dynamics & Econometrics.
(2004). Estimating cointegrating vectors using near unit root variables, (with Stefan Norrbin), Applied Economics Letters.