Selected publications

• Bayesian estimation for a semiparametric nonlinear volatility model (with S. Hu and D.S. Poskitt), Economic Modelling, forthcoming.

• A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation (with Robert Brooks and Max King), Journal of Econometrics, 2009, 153, 21-32 [R Package].

• Box-Cox stochastic volatility models with heavy-tails and correlated errors (with Max King), Journal of Empirical Finance, 2008, 15, 549-566.

• Influence diagnostics in generalized autoregressive conditional heteroskedasticity processes (with Max King), Journal of Business & Economic Statistics, 2005, 23, 118-129 [Errata].

• Assessment of local influence in GARCH processes, Journal of Time Series Analysis, 2004, 25, 301-313.

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

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

Papers submitted or work in progress

• Gaussian kernel GARCH models (with Max King) [PDF] [Supplementary tables for Section 5].