- Title: Doctor
- Position: Associate Professor - Department of Economics
- Qualifications: Ph.D. (ANU)
Areas of expertise
Time Series Analysis, Financial Econometrics, Bubbles and Crises
Research Grants and Awards
2015 - 2017 Australian Research Council (ARC) Discovery Grant
Project Title: Change Detection in Causal Relationships and Measurement of Systemic Risk
(with Stan Hurn, Mardi Dungey, and Peter Phillips)
Amount Awarded: 404,700AUD
2015 Early Career Research Excellence Award
Faculty of Business and Economics
Refereed Journal Articles
- Nonlinearities and Tests of Asset Price Bubbles, Empirical Economics, forthcoming (with Vipin Arora).
- Identifying Speculative Bubbles with an Infinite Hidden Markov Model, Journal of Financial Econometrics, forthcoming (with Y. Song).
- Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500, International Economic Review , 56(4): 1043-1078 (with Peter Phillips and Jun Yu).
- Testing for Multiple Bubbles: Limit Theory of Real Time Detectors, International Economic Review, 56(4): 1079-1134 (with Peter C.B. Phillips and Jun Yu).
- Specification Sensitivity in Right-tailed Unit Root Testing for Explosive Behaviour, Oxford Bulletin of Economics and Statistics, forthcoming (with P. Phillips and J. Yu).
- The Divergence between Core and Headline Inflation: Implications for Consumers' Inflation Expectations, Journal of Macroeconomics, 2013, 38: 497-504 (with Vipin Arora and P. Gomis-Porqueras).
- Specification Sensitivities in the Markov-Switching Unit Root Test for Bubbles, Empirical Economics, 2013, 45(2): 697-713.
- An application of models of speculative behaviour to oil prices, Economics Letters, 2012, 115: 469-472 (with Vipin Arora).
- Change Detection and the Causal Impact of the Yield Curve, submitted (with Peter C.B. Phillips and Stan Hurn)
- Energy Consumption and Economic Growth in the United States, revise and resubmit (with Vipin Arora)
- Speculative Bubbles or Housing Market Fundamental? submitted
- Financial Bubble Implosion, revise and resubmit (with Peter C.B. Phillips)
- Dating the Timeline of House Price Bubbles in Australian Capital Cities, submitted (with Abbas Valadkhani, Russel Smyth, and Farshid Vahid)
- A New Test for Asset Price Bubbles with an Application to the Oil Price (with Vipin Arora)