I am an Associate Professor in the Department of Economics at the University of Macau.
My research is in time series and financial econometrics, with recent work on testing and monitoring for explosive bubbles, comparing forecasts across frequencies, spot volatility estimation, and unit-root and cointegration testing under nonstationary volatility.
I received my PhD in Econometrics from the University of Amsterdam and the Tinbergen Institute in 2012. Before joining Macau I held positions at the University of Nottingham and City, University of London.
Recent
- Improved Andrews’ formula for testing changing mean (with W. Li and X. Zhang) — Economics Letters 268, 113141 (2026). code
- Covariate-augmented CUSUM bubble monitoring procedures (with S. Astill and R. Taylor) — Econometric Theory (early access, 2026).
- Statistical comparison of forecasts made at different frequencies (with R. Zhang and W. Li) — Journal of Business and Economic Statistics 44, 1279–1291 (2026). code
- Testing for explosiveness in financial asset prices using high-frequency volatility (with H. P. Boswijk and J. Yu) — working paper. code