Md Nazmul Ahsan
Lecturer in Financial Economics, Economics
Ahsan, M. and Dufour, J-M. (2019), “A Simple Efficient Moment-based Estimator for the Stochastic Volatility Model", Advances in Econometrics, Vol. 40A, pp. 157-201.
— High-Frequency Instruments and Identification-Robust Inference for Stochastic Volatility Models (with Jean-Marie Dufour). 61 pages.
— Simple estimators for higher-order stochastic volatility models and forecasting (with Jean-Marie Dufour). 82 pages. Supplementary Appendix (35 pages). Under review Journal of Econometrics.
— A Closed-form Estimator for the Multivariate Stochastic Volatility Model. 29 pages.
— On the Robustness of the Bayesian Estimator for Stochastic Volatility Models. 27 pages.
— Volatility Forecasting with Text Data.
Research in Preparation
— Optimal Invariant Inference for a Time Series that is Measured with Error.
— Measuring Uncertainty with a Class of Stochastic Volatility Models.
— Exact Inference on Multivariate Stochastic Volatility Models with the Possibility of Non-regularities.
— Financial Economics (ECON 433/533)
— Introduction to Financial Economics I: Investments (ECON 398A)
— Introduction to Macroeconomics (ECON 203)
— Financial Institutions and Instruments (ECON 304)
— Introductory Econometrics 2 (ECON 338)
— Economic Statistics Honours (ECON 257D2)
— Econometrics - II Honours (ECON 469)
University of Western Ontario
— Financial Risk Management (ECON 9687, Graduate Level)
— Intermediate Econometrics I (ECON 2222A)