Whittle-type estimation under long memory and nonstationarity
We consider six variants of (local) Whittle estimators of the fractional order of integration d.
CV
Education
- B.Sc in Quantitative Finance, Hong Kong University of Science and Technology, 2010 - 2013
- Ph.D in Finance, Goethe University Frankfurt, 2013 - 2019
- Visiting Ph.D. student, Massachusetts Institute of Technology, 2018
Employment
- Capital University of Economics and Business
- Associate Professor, 2022 - Present
- Assistant Professor, 2019 - 2022
Publications
Nonstationarity-extended Whittle estimation with discontinuity: A correction
The objective functions of two nonstationarity-extended Whittle estimators are found to be discontinuous. This letter provides a simple solution to the problem.
Long memory factor model: On estimation of factor memories
This paper considers the estimation of the integration orders of the latent factors in an approximate factor model.
Identification of time-varying factor models
This paper considers the situation under which both the factors and the loadings of TVFM can be consistently estimated without rotations.
Institutions, international financial integration, and output growth
The paper investigates the long-run output effects of international financial integration, and in particular their dependence on a countrys institutions as proxied by the quality of governance and the level of domestic financial market development.
Working Papers
Sieve estimation of time-varying factor loadings: Estimating the conditional CAPM
This paper introduces a high-dimensional factor model with time-varying factor loadings.
Identification of matrix-valued factor models
This note considers two sets of identification restrictions that help exactly identify a matrix-valued factor model.
Idiosyncratic volatility factor and macroeconomic risks
This paper develops an econometric framework to estimate the common factors among IVol and studies its interplay with macroeconomic uncertainty.
Fixed-T estimation of the matrix-valued factor models
This paper considers the estimation of the matrix-valued factor model under a fixed-T scenario.