- December 17th, 2018
|Department:||Economics, Finance, & Legal Studies|
|Education:||PhD, Emory University|
|MA, Emory University|
|MS, Marquette University|
|MBA, Southwestern University of Finance and Economics|
|BA, Southwestern University of Finance and Economics|
Honors, Achievements & Affiliations
Conference Award, 32 International Symposium on Forecasting. (2012).
Editorial Review Board Member, Journal of Finance and Accounting, Newark, DE, United States. (April 2014 - Present).
Editorial Review Board Member, Journal of Finance and Economics, Toronto, Canada. (April 2014 - Present)
Focus and Current Research
"How is the Taylor Rule Distributed under Endogenous Monetary Regimes?" International Review of Finance. June 2018.
"Markov-Switching Quantile Autoregression: A Gibbs Sampling Approach." (With Richard Luger.) Studies in Nonlinear Dynamics and Econometrics. April 2018.
"Structural Volatility Impulse Response Function and Asymptotic Inference." Journal of Financial Econometrics. March 2018.
"Measuring Systemic Risk and Regime Switching in Tails." Economic Modelling. December 2017.
"Can Macroeconomic Dynamics Explain the Time Variation of Risk-Return Trade-offs in the U.S. Financial Market?" The Quarterly Review of Economics and Finance. November 2017.
"Unfolded Risk-Return Trade-Offs and Links to Macroeconomic Dynamics" Journal of Banking and Finance. September 2017.
"An Integrated Macro-Financial Risk-Based Approach to the Stressed Capital Requirement." Review of Financial Economics. September 2017.
"Foreign Exchange Predictability and Carry Trade: A Decomposition Approach." (With Stanislav Anatolyev, Nikolay Gospodinov and Ibrahim Jamali. Journal of Empirical Finance. June 2017.
“Markov-Switching Quantile Autoregression.” Statistica Neerlandica. November 2016.
“A New Approach to Risk-Return Tradeoff Dynamics via Decomposition." (With David Frazier.) Journal of Economic Dynamics & Control. January 2016.
“Unfolded GARCH Models." (With Richard Luger.) Journal of Economic Dynamics & Control. September 2015.
"Modeling Time-varying Skewness via Decomposition for Out-of-sample Forecast." International Journal of Forecasting. April-June 2015.
"China's Segmented Stock Market: An Application of the Conditional International Capital Asset Pricing Model" (With B.J. Jacobsen.) Emerging Markets Review. September 2008