Concordia University

http://www.concordia.ca/content/concordia/en/artsci/economics/faculty.html

Faculty

Md Nazmul Ahsan

Lecturer in Financial Economics, Economics

Research    Teaching   


Office: S-H 1155-41 
Henry F. Hall Building,
1455 De Maisonneuve Blvd. W.
Phone: (514) 848-2424 ext. 4012
Email: mdnazmul.ahsan@concordia.ca
Website(s): Personal website

Research

Publications

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.
https://doi.org/10.1108/S0731-90532019000040A008

Research Papers

— 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.


Teaching

Concordia University

— Financial Economics (ECON 433/533)
— Introduction to Financial Economics I: Investments (ECON 398A)
— Introduction to Macroeconomics (ECON 203)

McGill University

— 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)

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