Further information
Selected Publications
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Modelling and forecasting risk dependence and portfolio VaR for cryptocurrencies. Empir Econ, 1-26. link> doi> full text>2023.
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A latent-factor-driven endogenousregime-switching non-Gaussianmodel: Evidence from simulation and application. INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 3881-3896, vol. 27(4). link> doi> full text>2022.
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Datafication of epistemic equality: advancing understandings of teaching excellence beyond benchmarked performativity. TEACHING IN HIGHER EDUCATION, 493-509, vol. 25(4). link> doi> full text>2020.
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Liberating the "oppressed" and the "oppressor": a model for a new TEF metric, internationalisation and democracy. EDUCATIONAL REVIEW, 346-364, vol. 72(3). link> doi> full text>2020.
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Spectral density of Markov switching models: Derivation, simulation studies and application. Model Assisted Statistics and Applications. doi>2016.
Full Publications Listshow
Journal Articles
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Modelling and forecasting risk dependence and portfolio VaR for cryptocurrencies. Empir Econ, 1-26. link> doi> full text>2023.
-
A latent-factor-driven endogenousregime-switching non-Gaussianmodel: Evidence from simulation and application. INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 3881-3896, vol. 27(4). link> doi> full text>2022.
-
Datafication of epistemic equality: advancing understandings of teaching excellence beyond benchmarked performativity. TEACHING IN HIGHER EDUCATION, 493-509, vol. 25(4). link> doi> full text>2020.
-
Liberating the "oppressed" and the "oppressor": a model for a new TEF metric, internationalisation and democracy. EDUCATIONAL REVIEW, 346-364, vol. 72(3). link> doi> full text>2020.
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Spectral density of Markov switching models: Derivation, simulation studies and application. Model Assisted Statistics and Applications. doi>2016.
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Nonlinearity and Endogeneity in Continuous-Time Regime-Switching Diffusion Models for Market Volatility. Studies in Nonlinear Dynamics and Econometrics. doi>2016.
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A Transitional Markov Switching Autoregressive Model. Communications in Statistics - Theory and Methods. doi>2016.
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How do risk attitudes of clearing firms matter for managing default exposure in futures markets?. European Journal of Finance. doi>2015.
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Modeling and Forecasting Corporate Default Counts Using Hidden Markov Model. Journal of Economics, Business and Management. doi>2015.
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Applications of Poisson-Hidden Markov Model. International Journal of Applied Mathematics and Statistics.2015.
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Reducible Diffusions with Time Varying Transformations with Application to Short-Term Interest Rates. Economic Modelling. doi>2014.
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Using Hidden Markov Model to Detect Macro- economic Risk Levels. Review of Integrative Business and Economics Research.2013.
Research Themes
Pure Mathematics and Statistics
School of Computer Science and Mathematics
Keele University
Staffordshire
ST5 5AA
Email: scm.admin@keele.ac.uk
Tel:+44 (0) 1782 731830