My principal research interests are empirical finance, financial econometrics, and asset pricing. I work mainly at the intersection of these areas, that is estimating and testing asset pricing models. I am currently a Bye-Fellow in Economics at Downing College, Cambridge.
My research interests mainly include econometrics of continuous time especially its application to trading and empirical asset pricing to bridge the gap between theoretical finance and empirical finance. I am also interested in derivative pricing and big data.
I am interested in financial networks and risk spillovers. I am currently studying the sovereign risk contagion through interdependent regime-switching.
I am interested in econometric theory and asset pricing.
I study semi-parametric characteristic-beta factor models to detect mispricing functions and then construct characteristic-based and factor tilted portfolios.
Nonparametric econometrics and its application in robust inference and empirical finance.
My chief areas of research are in financial econometrics and energy economics. I am currently looking at the pricing and spillover of volatility in energy commodities futures markets, though my wider interests lead me to explore the application of various
econometric techniques including semiparametric estimation and high dimensional methods.
My research fields are Empirical Market Microstructure and Asset Pricing.
I study predictability of cross-section of international stock returns using multiple hypotheses and machine learning techniques.