Xibin (Bill) Zhang

PhD (Econometrics), Monash University, Australia

PhD (Systems Engineering), Tianjin University, China

MSc (Probability and Statistics), Nankai University, China

BSc (Mathematical Statistics), Nankai University, China

 

Senior Lecturer, Department of Econometrics and Business Statistics, Monash University, Caulfield East, VIC 3145, Australia

Office location: H5.87, Caulfield Campus. Telephone: +61-3-990 32130; Fax: +61-3-990 32007

 

Research Interests

Bayesian econometrics; error density estimation; hypothesis testing; kernel density estimation; kernel estimation of nonparametric regression; nonparametric binary response model; statistical diagnostics

Competitive Research Grants

  • Zhang, X. and M.L. King (2010-2012), Nonparametric estimation of regression models with unknown error distributions, ARC Discovery Project.
  • King, M.L. and X. Zhang (2006-2008), New procedures for multiple testing of econometric models, ARC Discovery Project.

Publications

2009

  • Zhang, X., R.D. Brooks and M.L. King (2009), A Bayesian Approach to Bandwidth Selection for Multivariate Kernel Regression with an Application to State-Price Density Estimation, Journal of Econometrics, 153, 21-32.

2008

  • Zhang, X., and M.L. King (2008), Box-Cox Stochastic Volatility Models with Heavy-Tails and Correlated Errors, Journal of Empirical Finance, 15, 549-566.
  • Lean, H.-H., W.-K. Wong and X. Zhang (2008), The Size and Power of Some Stochastic Dominance Tests: A Monte Carlo Study for Correlated and Heteroskedastic Distributions, Mathematics and Computers in Simulation, 79, 30-48 (This journal's 2008 JCR impact factor is 0.93).

2007

  • Silvapulle, P., and X. Zhang (2007), Assessing Dependence Changes Using Nonparametric Methods, Applied Financial Economics Letters, 3, 397-401 (This journal has been incorporated into Applied Economics Letters since 2009).
  • Brooks, R.D., X. Zhang and E. Bissoondoyal-Bheenick (2007), Country Risk and the Estimation of Asset Return Distributions, Quantitative Finance, 7, 261-265.

2006

  • Yu, J., Z. Yang and X. Zhang (2006), A Class of Nonlinear Stochastic Volatility Models and Its Implications for Pricing Currency Options, Computational Statistics and Data Analysis, A special issue on nonlinear modelling and financial econometrics, 51, 2218-2231.
  • Zhang, X., M.L. King and R.J. Hyndman (2006), A Bayesian Approach to Bandwidth Selection for Multivariate Kernel Density Estimation, Computational Statistics and Data Analysis, 50, 3009-3031 (among the top 25 hottest articles within the journal from April to June and from July to September, 2006).
  • Pitrun, I., M.L. King and X. Zhang (2006), Smoothing spline based tests for non-linearity in a partially linear model, Journal of Statistical Planning and Inference, 136, 2446-2469.

2005

  • Zhang, X. and M.L. King (2005), Influence Diagnostics in Generalized Autoregressive Conditional Heteroskedasticity Processes, Journal of Business and Economic Statistics, 23, 118-129 (Errata).

2004

  • Zhang, X. (2004), Assessment of Local Influence in GARCH Processes, Journal of Time Series Analysis, 25, 301-313.
  • Tse, Y.K., K.W. Ng and X. Zhang (2004), A Small-Sample Overlapping Variance-Ratio Test, Journal of Time Series Analysis, 25, 127-135.
  • Tse, Y.K., X. Zhang and J. Yu (2004), Estimation of Hyperbolic Diffusion Using the Markov Chain Monte Carlo Method, Quantitative Finance, 4, 158-169.
  • Tse, Y.K. and X. Zhang (2004), A Monte Carlo Investigation of Some Tests for Stochastic Dominance, Journal of Statistical Computation and Simulation, 74, 361-378.

2003 - 2000

  • Lien, D., Y.K. Tse and X. Zhang (2003), Structural Change and Lead-Lag Relationship between the Nikkei Spot Index and Futures Price: A Genetic Programming Approach, Quantitative Finance, 3, 136-144.
  • Tse, Y.K. and X.B. Zhang (2002), The Variance Ratio Test with Stable Paretian Errors, Journal of Time Series Analysis, 23, 117-126 (download the extended tables and graphs here).
  • Zhang, X. and Y.K. Tse (2001), Local Influence on Bandwidth Estimation for Kernel Smoothing, Journal of Statistical Computation and Simulation, 70, 349-370.
  • Zhang, X.B., Y.K. Tse and W.S. Chan (2000), Detecting Structural Changes Using Genetic Programming with an Application to the Greater-China Stock Market, in W.S. Chan, W.K. Li and H. Tong (eds.), Statistics and Finance: An Interface, 370-384, Imperial College Press: London (about the book).

Papers submitted or work in process

  • Influence Diagnostics for Bivariate GARCH Processes (with J. Dark and Q. Nan)
  • Bayesian Estimation of Bandwidth and Parameters of the Single Index Binary Response Model (with P. Silvapulle and T. Papaspirou) (the old version)

Teaching

  • ETF5300 Applied Financial Econometrics (2009 Semester 2)
  • ETF5410 Special Topics in Econometrics II (2009 Semester 2)
  • ETF9350 Econometrics for Financial Markets (2010 Semester 1)
  • ETX1100 Business Statistics (2006 Semester 1)
  • ETX2011/ETX9520 Quantitative Methods for Risk Analysis (Semesters 1 & 2, 2005-2007)

Back to People Page or Econometrics Home Page