Econometrics research at USyd

For a list of econometrics-focused researchers in the USyd School of Economics, click here.

To find a current schedule of econometrics research seminars in the USyd School of Economics, click here.

If you are a current or prospective student at the University of Sydney who is considering asking me to supervise a research project, click here. 

Recent and upcoming conference and seminar presentations

January 31, 2025: Sapienza University of Rome.

February 12, 2025: University of Bologna.

April 4, 2025: Monash University.

April 7-9, 2025: Workshop to celebrate 40 years of unit roots and cointegration. University of Oxford.

Publications

The Granger-Johansen representation theorem for integrated time series on Banach space (2024). To appear in the Journal of Time Series Analysis. With Phil Howlett, Massimo Franchi, John Boland and Konstantin Avrachenkov.

Stochastic arbitrage with market index options (2025). Journal of Banking & Finance, 173, 107395. With Juwon Seo and Zhongxi Zheng.

Optimal measure preserving derivatives revisited (2023). Mathematical Finance, 33 (2), 370-388.

Tail behavior of stopped Lévy processes with Markov modulation (2022). Econometric Theory, 38 (5), 986-1013. With Won-Ki Seo and Alexis Akira Toda. (Corrigendum.)

Determination of Pareto exponents in economic models driven by Markov multiplicative processes (2022). Econometrica, 90 (4), 1811-1833. With Alexis Akira Toda.

Distributional replication (2021). Entropy, 23 (8), 1063.

Least favorability of the uniform distribution for tests of the concavity of a distribution function (2021). Stat, 10 (1), e376.

Improved nonparametric bootstrap tests of Lorenz dominance (2021). Journal of Business & Economic Statistics, 39 (1), 189-199. With Zhenting Sun. (Matlab code.)

Randomization tests of copula symmetry (2020). Econometric Theory, 36 (6), 1025-1063. With Juwon Seo. (Matlab code.)

On the emergence of a power law in the distribution of COVID-19 cases (2020). Physica D: Nonlinear Phenomena, 412, 132649. With Alexis Akira Toda. (Matlab code.)

Representation of I(1) and I(2) autoregressive Hilbertian processes (2020). Econometric Theory, 36 (5), 773-802. With Won-Ki Seo.

An improved bootstrap test of density ratio ordering (2019). Econometrics and Statistics, 10, 9-26. With Xiaoxia Shi. (Matlab code.)

Cointegrated linear processes in Bayes Hilbert space (2019). Statistics & Probability Letters, 147, 90-95. With Won-Ki Seo.

Unit root testing with unstable volatility (2018). Journal of Time Series Analysis, 39 (6), 816-835.

Option augmented density forecasts of market returns with monotone pricing kernel (2018). Quantitative Finance, 18 (4), 623-635. With Asad Dossani.

Book review: "Convolution Copula Econometrics" (2017). Journal of Economic Literature, 55 (4), 1615-1619.

Weak convergence of the least concave majorant of estimators for a concave distribution function (2017). Electronic Journal of Statistics, 11 (2), 3841-3870. With Zheng Fang.

Cointegrated linear processes in Hilbert space (2017). Journal of Time Series Analysis, 38 (6), 1010-1027. With Juwon Seo and Won-Ki Seo.

The Chang-Kim-Park model of cointegrated density-valued time series cannot accommodate a stochastic trend (2017). Econ Journal Watch, 14 (2), 133-137.

An empirical test of pricing kernel monotonicity (2016). Journal of Applied Econometrics, 31 (2), 338-356. With Lawrence Schmidt.

Nonparametric tests of density ratio ordering (2015). Econometric Theory, 31 (3), 471-492. With Jong-Myun Moon.

Vine copula specifications for stationary multivariate Markov chains (2015). Journal of Time Series Analysis, 36 (2), 228-246. With Juwon Seo. (Corrigendum.)

Stable limit theory for the variance targeting estimator (2014). Advances in Econometrics, 33, 639-672. With Igor Vaynman.

Time irreversible copula-based Markov models (2014). Econometric Theory, 30 (5), 923-960. With Juwon Seo.

A coarsening of the strong mixing condition (2014). Communications on Stochastic Analysis, 8 (3), 317-329.

Archimedean copulas and temporal dependence (2012). Econometric Theory, 28 (6), 1165-1185.

Measure preserving derivatives and the pricing kernel puzzle (2011). Journal of Mathematical Economics, 47 (6), 689-697.

Copulas and temporal dependence (2010). Econometrica, 78 (1), 395-410.

A generalization of Hoeffding's lemma, and a new class of covariance inequalities (2009). Statistics & Probability Letters, 79 (5), 637-642.

The Soviet economic decline revisited (2008). Econ Journal Watch, 5 (2), 135-144.

Unpublished manuscripts

Necessary and sufficient conditions for convergence in distribution of quantile and P-P processes in L1(0,1). With Tetsuya Kaji.

The effect of reducible Markov modulation on tail probabilities in models of random growth. With Alexis Akira Toda.

The general solution to an autoregressive law of motion. With Massimo Franchi and Phil Howlett.

Optimal taxation and the Domar-Musgrave effect. With Alexis Akira Toda.

Modified Wilcoxon-Mann-Whitney tests of stochastic dominance. With Jackson Clarke. (To be revised in light of the results in my manuscript with Kaji above.)

Teaching

Semester 1, 2025. 

• No classes taught.

Semester 2, 2025.

• ECMT1020: Introduction to Econometrics.

• ECMT2160: Econometric Analysis.

Advice on mathematics coursework for econometrics students

For advice on mathematics coursework for students of econometrics at the University of Sydney, click here.