Selected Journal Articles
Other Journal Articles
Submitted Journal Articles
Refereed Conference Proceedings
Book Chapters
Internal Technical Report
- (with J Raymer, G Qing, B Baffour and T Wilson) “The Sources and Diversity of Migrant Population Change in Australia, 1981-2011”, Demography (2018), 55 (5), pp. 1777–1802 (SSCI, SJR: Q1, ERA 2010: A*, Top 1 in Demography).
- (with K Ho) “Long Memory and Regime Switching: A Simulation Study on the Markov Regime-Switching ARFIMA Model”, Journal of Banking and Finance (2015), 61 (S2), pp. S189–S204 (SSCI, SJR: Q1, ABDC: A*).
- (with K Ho and W Liu) “Public News Arrival and the Idiosyncratic Volatility Puzzle”, Journal of Empirical Finance (2016), 37, pp. 159–172 (Among the top 10 most downloaded papers in 2016; SSCI, SJR: Q2, ABDC: A).
- (with G Gao and K Ho) “Long memory or regime switching in volatility? Evidence from high-frequency returns on the US stock indices”, Pacific-Basin Finance Journal, forthcoming (SSCI, SJR: Q1, ABDC: A).
- (with G Gao and X Meng) “Stochastic Payments Per Claim Incurred”, North American Actuarial Journal, forthcoming (SJR: Q2, ABDC: A).
- (with K Ho and Z Zhang) “News and Return Volatility of Chinese Bank Stocks”, International Review of Economics and Finance, forthcoming (SSCI, SJR: Q1, ABDC: A).
- (with X Jiang) “Does US Partisan Conflict Affect US–China Bilateral Trade?”, International Review of Economics and Finance, forthcoming (SSCI, SJR: Q1, ABDC: A).
- (with K Ho and Z Zhao) “Does News Matter in China’s Foreign Exchange Market? Chinese RMB Volatility and Public Information Arrivals”, International Review of Economics and Finance (2017), 52, pp.302–321 (SSCI, SJR: Q1, ABDC: A).
- (with K Ho and W Liu) “Public Information Arrival and Stock Return Volatility: Evidence from News Sentiment and Markov Regime-Switching Approach”, International Review of Economics and Finance (2016), 42, pp. 291–312 (SSCI, SJR: Q1, ABDC: A).
- (with L Feng) “A Discussion on the Innovation Distribution of the MRS-GARCH Model”, Economic Modelling (2016), 53, pp. 278–288 (SSCI, SJR: Q2, ABDC: A).
- (with K Ho) “Modelling High-Frequency Volatility with Three-State FIGARCH Models”, Economic Modelling (2015), 51, pp. 473–483 (SSCI, SJR: Q2, ABDC: A).
- (with L Feng) “Markov Regime-Switching Autoregressive Model with Tempered Stable Distribution: Simulation Evidence”, Studies in Nonlinear Dynamics & Econometrics, forthcoming, (SSCI, SJR: Q1, ABDC: A).
- (with K Ho and Z Zhao) “It Takes Two to Tango: A Regime-Switching Analysis of the Correlation Dynamics Between the Mainland Chinese and Hong Kong Stock Markets”, Scottish Journal of Political Economy (2016), 63(1), pp. 41–65 (SSCI, SJR: Q2, ABDC: A).
- (with L Feng) “Forecasting Mortality: Multivariate or Univeriate Model?”, Journal of Population Research (2018), 35 (3), pp. 289–318 (SJR: Q2 ABDC: A).
- (with K Ho and Z Zhang) “How Does News Sentiment Impact Asset Volatility? Evidence from Long Memory and Regime-switching Approaches”, North American Journal of Economics and Finance (2013), 26, pp. 436–456 (Among the top 5 most cited papers in 2014–2016; SSCI, SJR: Q2, ABDC: B)
Other Journal Articles
- (with T Fu and L Feng) “Innovation Distribution of the Markov Regime-Switching Model: Simulation Evidence”, Computational Economics, forthcoming (SSCI, SJR: Q2, ABDC: B).
- (with Y Yang) “Modeling high frequency data with long memory and structural change: A-HYEGARCH Model”, Risks (2018), 6(2), pp. 26 (ESCI, ABDC: B).
- (with J Raymer, J O’Donnell and N Biddle) “Multistate Projections of Australia’s Indigenous Population with Identification Status Change”, Vienna Yearbook of Population Research (2018), 16, pp. 1–28 (SJR: Q2).
- (with K Ho and Z Zhang) “Public Information Arrival, Price Discovery and Dynamic Correlations in the Chinese Renminbi Markets”, North American Journal of Economics and Finance (2018), 46, pp. 168–186 (SSCI, SJR: Q2, ABDC: B).
- (with L Feng) “A Simulation Study on the Distributions of Disturbances in the GARCH Model”, Cogent Economics & Finance (2017), 5:1355503 (ESCI, ABDC: B).
- (with L Feng) “Fractionally Integrated GARCH Model with Tempered Stable Distribution: A Simulation Study”, Journal of Applied Statistics (2017), 44, pp. 2837-2857.(SCI, ABDC: B).
- (with Gunay) “Long-Memory in Volatilities of CDS Spreads: Evidences from the Emerging Markets”, Romanian Journal of Economic Forecasting (2016), 19, pp. 122-137 (SSCI, SJR: Q2).
- “Can We Distinguish Regime Switching from Long Memory? A Simulation Evidence”, Applied Economics Letters (2015), 22, pp. 318–323 (SSCI, ABDC: B).
- (with K Ho and Z Zhang) “Volatility and Correlation Dynamics of the Mainland Chinese Stock Markets: Evidence from the A-, B-, H- and Red Chip Markets”, Journal of Wealth Management (2014), 17, pp. 55–67 (ABDC: B).
Submitted Journal Articles
- (with K Ho) “Addressing the Confusion Between Long Memory and Regime Switching: The Markov Regime-Switching Hyperbolic GARCH Model”, Journal of Empirical Finance (revised).
- “A Simulation Study on the Markov Regime-switching Zero-drift GARCH Model”, Economic Modelling.
Refereed Conference Proceedings
- (with K Ho) “News Sentiment and States of Stock Return Volatility: Evidence from Long Memory and Discrete Choice Models” In Piantadosi, J., Anderssen, R.S. and Boland J. (eds) MODSIM2013, 20th International Congress on Modelling and Simulation. Modelling and Simulation Society of Australia and New Zealand, December 2013, pp. 1378–1384.
- (with K Ho) “Modelling High-Frequency Volatility with Three-State FIGARCH Models” In Piantadosi, J., Anderssen, R.S. and Boland J. (eds) MODSIM2013, 20th International Congress on Modelling and Simulation. Modelling and Simulation Society of Australia and New Zealand, December 2013, pp. 1385– 1391.
- (with K Ho and W Liu) “Public Information Arrival and Stock Return Volatility: Evidence from News Sentiment and Markov Regime-Switching Approach”, the Fifth Annual Asian Conference of the Financial Management Association International, April 2013.
- (with K Ho and W Liu) “Foreign Exchange Volatility, Media Coverage and the Mixture of Distribution Hypothesis: The Case of the Chinese Renminbi Currency” In Chan, F., Marinova, D. and Anderssen, R.S. (eds) MODSIM2011, 19th International Congress on Modelling and Simulation, Modelling and Simulation Society of Australia and New Zealand, December 2011, pages 1589–1595.
Book Chapters
- (with K Ho and Z Zhang) “Price Discovery and Dynamic Correlations: The Case of the Chinese Renminbi Markets”, A New Paradigm for International Business: Springer, 2015.
- (with K Ho and Z Zhang) “Public News Flows and Chinese Renminbi: A Volatility Regime-Switching Analysis”, A New Paradigm for International Business: Springer, 2015.
- (with K Ho and Z Zhang) “High-Frequency News Flow and States of Asset Volatility”, The Handbook of High Frequency Trading: Elsevier, 2015.
- (with K Ho and Z Zhang) “News Sentiment and High-Frequency Volatility Dynamics in the Japanese Stock Market”, Handbook of Asian Finance: Elsevier, 2014.
- (with K Ho and Z Zhang) “A Regime-Switching Analysis of Asian Bank Stocks”, Handbook of Asian Finance: Elsevier, 2014.
- (with K Ho and Z Zhang) “What Drives the Time-Varying Performance of Japanese Mutual Funds?”, Handbook of Asian Finance: Elsevier, 2014.
Internal Technical Report
- “New Moderation Methods of Higher School Certificate Assessments: A Technical Report”, NSW Education Standards Authority, (2017).
- “New Moderation Methods of Higher School Certificate Assessments: A Follow-up Study on the Historical Results”, NSW Education Standards Authority, (2017).
- “Practical Issues of Item Response Theory Models: Bayesian or Frequentist”, NSW Education Standards Authority, (2017).