Research

Selected Publications

• Sources of the Stock Price Fluctuations in Chinese Equity Market (working paper version), with Zhenhua Su and Mark E. Wohar, forthcoming, European Journal of Finance. (online appendices)

• Is the Quality of Chinese Citizens Too Poor to Actualize Democracy? -- A Case Study of Zeguo Township in China, with Zhenhua Su, Junjie Le, and Yongjing Zhang, forthcoming, Asian Perspective, Vol.36, No.1, January, 2012.

• Sources of the Great Moderation: A Time Series Analysis of GDP Subsectors, with Walter Enders, Journal of Economic Dynamics & Control, Vol.35, January, 2011.

• Spurious Inference in the GARCH(1,1) Model When It Is Weakly Identified, with Charles R. Nelson, Richard Startz, Studies in Nonlinear Dynamics & Econometrics (Lead Article), Vol.11, No.1, March, 2007.

• The Characteristics of 'Club Convergence' of China's Economic Growth and Its Causes, with Kunrong Shen, Economic Research Journal (In Chinese), No.1, January, 2002.

Completed Working Papers

• Long-Run Risks and Its Implications for the Equity Premium Puzzle: New Evidence from a Multivariate Framework. 2nd revise and resubmit at Journal of Money, Credit, and Banking.

  This paper has been on SSRN's Top Ten download list for ERN: Hypothesis Testing (Topic), and SSRN's Top Ten down list for ERN: Consumption; Saving (Topic).

  This paper is a substantially revised one based on an earlier paper: The Long-Run Risk in Consumption and Equity Premium Puzzle: New Evidence Based on Improved Inference.

• A Generalized Unobserved Components Decomposition of US Economy Activity, with Mark E. Wohar. revise and resubmit at Journal of Money, Credit, and Banking.

  The earlier draft of this paper is titled Real and Nominal Business Cycles: New Evidence from a Generalized Unobserved Components Model.

• Valid Inference for a Class of Models Where Standard Inference Performs Poorly; Including Nonlinear Regression, ARMA, GARCH, and Unobserved Components, with Charles R. Nelson.

  Economics Series Working Paper No.256, the Institute for Advanced Studies, Vienna. 

• Expected Returns and Expected Dividend Growth: Time to Rethink an Established Empirical Literature, with Mark E. Wohar. 

• The Contribution of Economic Fundamentals to Movements in Exchange Rates, with Nathan S. Balke and Mark E. Wohar. submitted

• Understanding Housing Market Volatility, with Joseph Fairchild and Shu Wu.  submitted

• The Contribution of Discount Rates to Movements in Stock Prices Is Much More Uncertain Than the Previous Literature Suggests, with Mark E. Wohar. submitted

• How Much Do Expected Returns and Expected Dividend Growth Contribute to Movements in UK Price-Dividend Ratio? Some New Evidence, with Mark E. Wohar. submitted

• Portfolio Reallocation and Exchange Rate Dynamics, with Liang Ding. submitted

• Can Fundamental Risks Explain the Foreign Exchange Risk Premium? with Liang Ding. submitted

• The Forward Premium Puzzle: Beyond Negative Beta, with Liang Ding.

• Does Fiscal Policy Affect Private Sector output? A VAR Analysis, with James Cover.

• A Closed-Form Asymptotic Variance-Covariance Matrix for the Quasi Maximum Likelihood Estimator of the GARCH(1,1) Model.

• Is There a Structural Break in the Risk Free Interest Rate Dynamics?