Research
My research focuses on volatility forecasting and regression under collinearity.
Advisor: Dennis Cox
Thesis: Robust GARCH methods and analysis of partial least squares regression.
- Fractional power GARCH for heavy tailed heteroskedastic time series.
- Smooth periodic GARCH model for long-horizon volatility forecasting.
- Asymptotic variance of partial least squares regression coefficients.
Conference presentations:
- Long horizon seasonal volatility forecasts for valuation of option contracts. Presented September 23, 2013 at Eubanks Conference, Rice University. Finished 2nd place in conference poster competition.
- Fractional power times series regression for heavy tailed heteroskedastic processes. Presented July 29, 2012 at the American Statistical Association, Joint Statistical Meeting, San Diego, CA.
- Partial Least Squares with Fractional Power Transformation: A factor model for forecasting under heavy tailed distributions. Presented May 18, 2012 at Interface Conference, Rice University.