Research
Research Interests
Financial econometrics with a focus on derivatives markets, option-implied risk measures, tail risk, volatility modelling, and empirical asset pricing.
Publications
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The rare disaster concern index: RIX
Global Finance Journal, 69, 101226.
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An empirical study on the early exercise premium of American options: Evidence from OEX and XEO options
Journal of Futures Markets, 44(7), 1117-1153.
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Corporate governance and firm-level jump and volatility risks
Applied Economics, 54(22), 2529-2553.
Working Papers
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The rare disaster concern index (RIX) and cross-sectional equity returns: Evidence from the U.S. energy market
Conference Presentations
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2024 New Zealand Finance Meeting (NZFM)
5-7 December 2024 · Auckland University of Technology, Auckland, New Zealand
“The rare disaster concern index: RIX”.
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2023 Derivative Markets Conference (DMC)
7-8 September 2023 · Auckland University of Technology, Auckland, New Zealand
“An empirical study on the early exercise premium of American options: Evidence from OEX and XEO options”.
Research Methods
Option Pricing & Risk-Neutral Measures
Model-free extraction of option-implied risk measures via numerical integration (CBOE VIX methodology); RIX construction and term-structure estimation across 30-, 60-, and 90-day horizons, with analytical derivation under the Gram-Charlier density framework (Global Finance Journal, 2026).
Option Liquidity & Microstructure
Multiple liquidity proxies to explain the negative early exercise premium (NEEP) of American index options, with cross-sectional OLS robustness checks across moneyness-maturity subgroups (Journal of Futures Markets, 2024).
Cross-Sectional Asset Pricing & Event Studies
Fama-MacBeth regressions, quintile portfolio sorts, long-short strategy evaluation; CAR estimation around earnings announcements and political shocks using Fama-French three-, four-, and five-factor benchmarks.
Volatility Modelling & Systemic Risk
Mimicking-portfolio construction of firm-level jump and volatility risk measures (Applied Economics, 2022); GARCH-based volatility series as macroeconomic state variables; CoVaR and ΔCoVaR estimation via quantile regression; Forward-ΔCoVaR panel forecasting across one- to four-quarter horizons.
Panel Data & Causal Inference
GLS, fixed-effects, and System GMM estimation; endogeneity diagnostics (Hausman, Durbin-Wu-Hausman); panel unit root testing (Fisher-ADF); Newey-West standard errors; bootstrap Kolmogorov-Smirnov inference.