MY STUDENTS' RESEARCH


    Mauri Hall (PhD April 2023)

  • Modelling Comovements of Selected Large Cap Cryptocurrencies: A Semi-Parametric Noncausal VAR Approach Download

    • Peter MacKenzie

  • "Digital Divide: Empirical Study of CIUS 2020" Download with Pujee Tuvaandorj

    • Emre Inan

  • "Time-Varying Coefficient DAR Model and Stability Measures for Stablecoin Prices: An Application to Tether" Download > with A. Djogbenou, Journal of International Money and Finance,

    • Aryan Manafi Neyazi

  • "GCov-Based Portmanteau Test" Download

    • Cheng Zhong

  • "Intraday and Daily Dynamics of Cryptocurrency" Download

    • Maygol Bandehali (PhD June 2020)

  • Estimation of Credit Rating Transitions under Stress Scenarios Download

  • Transition Model for Coronavirus Management, with A. Djogbenou, C. Gourieroux, P. Rilstone, J. Jasiak Canadian Journal of Economics, 2022, Vol 55, Issue S1, 665-704, Covid Economics, Issue 35, July 07 2020,

  • Composite Likelihood for Stochastic Migration Model with Unobserved Factor Download with A. Djogbenou, C. Gourieroux, J. Jasiak

    • Akram Panahi (PhD April 2020)

  • Positional Portfolio Management: A Bivariate Rank Approach Download North American Journal of Economics and Finance, Volume 52, April 2020, 101133

  • Optimal Positional Momentum and Liquidity Management Download

    • Andrew Hencic (PhD June 2019)

  • Bitcoin and Other Cryptocurrencies: A Review Download

  • Noncausal Autoregressive Model in Application to Bitcoin/USD Exchange rates Download Econometrics of Risk, 2015, Studies in Computational Intelligence 583:17-40

  • Forecast Performance and Bubble Analysis in Noncausal MAR(1,1) Processes, with J. Jasiak, Gourieroux Journal of Forecasting 2021, Volume40, Issue2, 301-326

    • Michelle Tong (PhD April 2021)

    (co-supervision with Yiasong Tian, Schulich School of Business)
  • 2021 Convolution-Based Filtering and Forecasting: An application to WTI Crude Oil Prices, with J. Jasiak, Gourieroux Journal of Forecasting link