Mr Pipat Wongsaart

Biography/ Background

I did my Bachelor and Master Degree with specialization in Quantitative Economics and Econometrics at Lincoln University, New Zealand. I worked full-time as a Lecturer at Lincoln University and as an Economic Statistician at Statistics New Zealand during 2003 to 2005. I began my PhD study in Financial Economics at the University of Western Australia (UWA) under supervision of Prof. Jiti Gao in the middle of 2006. I am an ARC-APAI holder and currently at the final stage of my PhD study.     

*See my  Curriculum Vitae below for more details.

Teaching Interests

Semester I  (2009)

Introductory Mathematical Economics

Textbook:  Mathematics for Economists by Simon and Blume (1994): Chp. 1-11

Mathematical Economics

Textbook: Mathematics for Economists by Simon and Blume (1994): Chp. 12-23

Semester II (2010)

Business & Economic Statistical Theory II

**See SELT Reports for these courses below.  

Research Interests

Econometric Theory, Financial Econometrics, Nonparametric and Semiparametric Econometrics, Time Series Econometrics, Mathematical Finance. 

Publications and Working Papers:

(1) An Alternative Semiparametric Regression Approach to a Nonlinear Duration Model, Under the review for the Journal of Econometrics (With Jiti Gao and David E. Allen)

(2) The Third Generation ACD Model: A Semiparametric Approach, Spring 2008, Being invited for resubmission to Mathematics and Computing in Simulation (WithJiti Gao and David E. Allen)

(3) Modeling Monetary Policy in a Small Open Economy: Evidence from a New Zealand SVAR Model, Economia Internazionale, Vol. LVII, No. 1: February 2004, Genova: Italy (With Bert. D. Ward)

(4) The MGARCH Model of the International Transmissions of Stock Returns and Volatility: The Case of New Zealand, Australia, and the USA, Unpublished conference paper: The New Zealand Association of Economists Conference

Works in Progress:

(1)  Semiparametric Estimation and Testing for Financial Durations

Abstract:

The paper considers a number of essential, empirical issues involving the SEMI-ACD model. Firstly, using the IBM dataset employed in the original Engle and Russell work, the paper investigates how the additional nonlinear features provided by the SEMI-ACD model signi cantly contribute to changes in the shape of the resulting hazard function. Even though the three-step nonparametric procedure established in Wongsaart et al. (2009) is convenient, duration data have a support that is bounded from below, therefore; the standard density estimation may not perform well due to the boundary bias that haunts symmetric xed kernels. An alternative method we consider in this paper, is the Gamma kernel approach proposed by Chen (2000), which is designed particularly for such data. Finally, the development of a testing procedure and testing of the distribution of the empirical standardized duration in the SEMI-ACD conditional duration model are undoubtedly other important themes of this paper.

 (2) An Adaptive Estimation in the Semiparametric ACD Model

Abstract:

This paper examines the asymptotic optimality of the Cross-Validation criterion in the context of the SEMI-ACD model. Although a preliminary draft of the technical analysis of the paper is now available, further work may need to be done in order to improve its rigor.

 

Files

• Curriculum Vitae - CV2009.pdf [103.6K] (application/pdf)
• SELT1 - 1010Me.pdf [60.2K] (application/pdf)
• SELT2 - 2503Mef.pdf [339.9K] (application/pdf)

Entry last updated: Thursday, 19 Nov 2009