Welcome to my homepage.
- Factor High-Frequency Based Volatility (Heavy) Models (joint with Wen Xu)
- Good Volatility, Bad Volatility: Signed Jumps and the Persistence of Volatility (joint with A. J. Patton, revised)
- Does Anything Beat 5-Minute Rv? A Comparison of Realized Measures Across Multiple Asset Classes (joint with L. Liu and A. J. Patton)
- Efficient and feasible inference for the components of financial variation using blocked multipower variation (joint with P. Mykland and N. Shephard)
- Multivariate Rotated ARCH Models (joint with D. Noureldin and N. Shephard)
Recently Updated Teaching Materials
Advanced Financial Econometrics
Advanced Econometrics is a course that covers two topics: forecast evaluation when there are many forecast and forecasting in environments where there are many predictors.
Python for Econometrics
I taught a Python Course in the economics department. The archive of the course, along with Google Hangouts on Air have been preserved .
Introduction to Python for Econometrics has been updated (currently edition 2.1). There are new chapters on pandas and advanced array selection, as well as numerous fixes to keep pace with Python.
Introduction to LyX for writing an Article or Thesis
A series of videos which provide an Introduction to LyX
Oxford-Man Realized Library
I've recently been working on the Oxford-Man Realized Library.