Xibin (Bill) Zhang

Associate Professor

 

PhD (Econometrics), Monash University, Australia

D. Engineering (Systems Engineering), Tianjin University, China

MSc (Probability and Statistics), Nankai University, China

BSc (Mathematical Statistics) Nankai University, China

 

Address:

Department of Econometrics and Business Statistics, Monash University,

H587, 900 Dandenong Road, Caulfield East, Victoria 3145, Australlia

 

Telephone: +61-3-990 32130

Fax: +61-3-990 32007

 

Email: xibin.zhangATmonash.edu

 

Recent Employment

  • January 2012 - Now: Associate Professor, Department of Econometrics and Business Statistics, Faculty of Business and Economics, Monash University.
  • January 2007 - December 2011: Senior Lecturer, Department of Econometrics and Business Statistics, Faculty of Business and Economics, Monash University.
  • December 2004 - December 2006: Lecturer, Department of Econometrics and Business Statistics, Faculty of Business and Economics, Monash University.

Research Interest

  • Bayesian econometrics
  • Bayesian semiparametric models
  • Kernel estimation of density and nonparametric regression
  • Hypothesis testing
  • Markov chain Monte Carlo simulation techniques
  • Missing data problems
  • Nonlinear time series models
  • Spatial econometric models

Awards

  • 2009 Dean's Award for Excellence in Research
  • 2007 Dean's Commendation for Excellence in Research Publication

Competitive Research Grants

  • 2010-2012: Zhang, X. and M.L. King, Nonparametric estimation of regression models with unknown error distributions, Australian Research Council Discovery Project.
  • 2006-2008: King, M.L. and X. Zhang, New procedures for multiple testing of econometric models, Australian Research Council Discovery Project.

Papers Submitted

  • Zhang, X. and M.L. King (2011), Bayesian semiparametric GARCH models, submitted (PDF).
  • Zhang, X., M.L. King and H.L. Shang (2011), Bayesian estimation of bandwidths for a nonparametric regression model with a flexible error density, submitted (working paper version PDF).
  • Zhang, R., B.A. Inder and X. Zhang (2012), Parameter estimation for a discrete-response model with double rules of sample selection: A Bayesian approach (PDF), submitted.

Publications

2012 - Now

  • Li, S., M.J. Silvapulle, P. Silvapulle and X. Zhang (2012), Bayesian approaches to non-parametric estimation of densities on the unit internal (PDF), Econometric Reviews (Ranked A by the Excellence in Research for Australia (ERA) Initiative in 2010).

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  • Hu, S., D.S. Poskitt and X. Zhang (2012), Bayesian adaptive bandwidth kernel density estimation of irregular multivariate distributions, Computational Statistics and Data Analysis, 56, 732-740 (First version) (Ranked A by ERA Initiative in 2010).

2004 - 2011

  • Liu, Q., D. Pitt, X. Zhang and X. Wu (2011), A Bayesian approach to parameter estimation for kernel density estimation via transformations, Annals of Actuarial Science, 5(2), 181-193 (download) (Ranked A by ERA).

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  • Dark, J., X. Zhang and N. Qu (2010), Influence diagnostics for multivariate GARCH processes, Journal of Time Series Analysis, 31, 278-291 (Ranked A by ERA).

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  • Zhang, X., R.D. Brooks and M.L. King (2009), A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation, Journal of Econometrics, 153, 21-32 (R Package) (Ranked A* by ERA).

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  • Zhang, X., and M.L. King (2008), Box-Cox stochastic volatility models with heavy-tails and correlated errors, Journal of Empirical Finance, 15, 549-566 (Ranked A by ERA).

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  • Lean, H.-H., W.-K. Wong and X. Zhang (2008), The size and power of some stochastic dominance tests: A Monte Carlo study for correlated and heteroskedastic distributions, Mathematics and Computers in Simulation, 79, 30-48.

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  • Silvapulle, P., and X. Zhang (2007), Assessing dependence changes using nonparametric methods, Applied Financial Economics Letters (incorporated into Applied Economics Letters since 2009), 3, 397-401.

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  • Brooks, R.D., X. Zhang and E. Bissoondoyal-Bheenick (2007), Country risk and the estimation of asset return distributions, Quantitative Finance, 7, 261-265.

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  • Yu, J., Z. Yang and X. Zhang (2006), A class of nonlinear stochastic volatility models and its implications for pricing currency options, Computational Statistics and Data Analysis, A special issue on nonlinear modelling and financial econometrics, 51, 2218-2231 (Ranked A by ERA).

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  • Zhang, X., M.L. King and R.J. Hyndman (2006), A Bayesian approach to bandwidth selection for multivariate kernel density estimation, Computational Statistics and Data Analysis, 50, 3009-3031 (among the top 25 hottest articles within the journal during June and September quarters, 2006).

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  • Pitrun, I., M.L. King and X. Zhang (2006), Smoothing spline based tests for non-linearity in a partially linear model, Journal of Statistical Planning and Inference, 136, 2446-2469 (Ranked A by ERA).

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  • Zhang, X. and M.L. King (2005), Influence diagnostics in generalized autoregressive conditional heteroskedasticity processes, Journal of Business and Economic Statistics, 23, 118-129 (Errata) (Ranked A* by ERA).

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  • Zhang, X. (2004), Assessment of local influence in GARCH processes, Journal of Time Series Analysis, 25, 301-313 (Ranked A by ERA).

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  • Tse, Y.K., K.W. Ng and X. Zhang (2004), A small-sample overlapping variance-ratio test, Journal of Time Series Analysis, 25, 127-135 (Ranked A by ERA).

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  • Tse, Y.K., X. Zhang and J. Yu (2004), Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method, Quantitative Finance, 4, 158-169.

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  • Tse, Y.K. and X. Zhang (2004), A Monte Carlo investigation of some tests for stochastic dominance, Journal of Statistical Computation and Simulation, 74, 361-378.

2000 - 2003

  • Lien, D., Y.K. Tse and X. Zhang (2003), Structural change and lead-lag relationship between the Nikkei spot index and futures price: A genetic programming approach, Quantitative Finance, 3, 136-144.

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  • Tse, Y.K. and X.B. Zhang (2002), The variance ratio test with Stable Paretian errors, Journal of Time Series Analysis, 23, 117-126 (download the extended tables and graphs here).

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  • Zhang, X. and Y.K. Tse (2001), Local influence on bandwidth estimation for kernel smoothing, Journal of Statistical Computation and Simulation, 70, 349-370.

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  • Zhang, X.B., Y.K. Tse and W.S. Chan (2000), Detecting structural changes using genetic programming with an application to the Greater-China stock market, in W.S. Chan, W.K. Li and H. Tong (eds.), Statistics and Finance: An Interface, 370-384, Imperial College Press: London.

Work in Progress

  • King, M.L., X. Zhang and M. Akram (2011), A new procedure for multiple testing of econometric models (working paper version PDF).

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Conference Papers (selected)

  • Zhang, X. and M.L. King, Bayesian semiparametric GARCH models, presented at Quantitative Methods in Finance, 14-17 December 2011, Sydney (slides; handout).

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  • Zhang, X., M.L. King and H.L. Shang, Bayesian estimation of bandwidths for a nonparametric regression model with an unknown error density, presented at Econometric Society North American Summer Meeting, 9-12 June 2011, St. Louis, MO, USA (PDF) (Slides).

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  • King, M.L., X. Zhang and M. Akram, A new procedure for multiple testing of econometric models, presented by Max King at Econometric Society World Congress, 17-21 August 2010, Shanghai, China (PDF).

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  • Zhang, X., P. Silvapulle and T. Papaspirou, Bayesian estimation of bandwidth and parameters of the single index binary response model, presented at Econometric Society Australasian Meeting, 7-10 July 2009, Canberra (PDF).

Invited Talks

  • Bayesian semiparametric GARCH models, Bayes on the Beach, 4-5 October, 2010, Surfers Paradise, Australia

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  • Bayesian semiparametric GARCH models with an application to VaR estimation (slides), presented at the seminar organised by La Trobe University under the Global Association of Risk Professionals (GARP) University Chapters, the 26th October 2011.

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  • Bayesian semiparametric GARCH models, presented at the seminar organised by the Department of Mathematics and Statistics, The University of Melbourne, the 8th November 2011 (slides; paper).

Teaching

  • ETF5300 Applied Financial Econometrics (Semester 2, 2012)
  • ETF5410 Special Topics in Econometrics II (Semester 2, 2012)
  • ETF9350 Econometrics for Financial Markets (Semester 1, 2011)
  • ETF5300 Applied Financial Econometrics (Semester 2, 2011)
  • ETF5410 Special Topics in Econometrics II (Semester 2, 2008-2010)
  • ETX1100 Business Statistics (Semester 1, 2007)
  • ETX2011/ETX9520 Quantitative Methods for Risk Analysis (Semesters 1&2, 2005-2007)

Community

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