Md Nazmul Ahsan

Education

Ph.D. in Economics, McGill University, Canada

• Thesis: “Statistical Inference for Stochastic Volatility Models”

• Supervisor: Jean-Marie Dufour

Publications

• Ahsan, M. N. 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
• Ahsan, M. N. (2020). “Realized measures and statistical inference for stochastic volatility models,” In JSM Proceedings, Business and Economic Statistics Section. Alexandria, VA: American Statistical Association. pp. 2148-2156.
• Ahsan, M. N., and Dufour, J. M. (2021). “Simple estimators and inference for higher-order stochastic volatility models”. Journal of Econometrics, 224(1), 181-197. https://doi.org/10.1016/j.jeconom.2021.03.008
• Ahsan, M. N. (2021), “Option pricing with higher-order stochastic volatility models.” In JSM Proceedings,
Business and Economic Statistics Section. Alexandria, VA: American Statistical Association (forthcoming).

Research Papers

• “High-frequency instruments and identification-robust inference for stochastic volatility models” with Jean-Marie Dufour.
• “Volatility forecasting with higher-order stochastic volatility models” with Jean-Marie Dufour.
• “Practical estimation methods for high-dimensional multivariate stochastic volatility models” with Jean-Marie Dufour.
• “A practical estimation method for stochastic volatility models using measures of quadratic variation.”
• “Simple scalable estimation for multivariate stochastic volatility models with leverage” with Jean-Marie Dufour.
• “High-frequency asset allocation.”
• “Almost closed-formefficient estimators for stochastic volatility models with leverage and heavy-tailed distributions.”
• “On the robustness of the Bayesian estimator for stochastic volatility models.”

Research in Preparation

• “Exact high-frequency jump tests.”
• “Non-Gaussian and semi-parametric higher-order stochastic volatility models” with Jean-Marie Dufour.
• “High-dimensional regularized sparse covariance (precision) matrix estimation.”
• “Optimal invariant inference for a time series that is measured with error.”

Concordia University

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)

• “High-frequency instruments and identification-robust inference for stochastic volatility models”
– CIREQ-Concordia Seminar, Concordia University, Montreal, October 08, 2021.
– Bernoulli-IMS 10thWorld Congress in Probability and Statistics, jointly organized by the Bernoulli Society and IMS, hosted by the Department of Statistics, Seoul National University, July 19-23, 2021.
– Statistics 2021 Canada (6th Canadian Conference in Applied Statistics), hosted jointly by the Department of Mathematics & Statistics and the Department of Supply Chain & Business Technology Management of Concordia University, July 15-18, 2021.
– Australasian Meeting of the Econometric Society (ESAM), Department of Economics, University of Melbourne, July 7-9, 2021.
– China Meeting of the Econometric Society (CMES), School of Entrepreneurship and Management, ShanghaiTech University, July 1-3, 2021.
– RCEA Time Series Workshop, hosted by the University of Milano-Bicocca, June 25-26 2021.
– IAAE 2021 Annual Conference, Erasmus School of Economics, Rotterdam, The Netherlands, June 22-25, 2021.
– Society for Financial Econometrics (SoFiE) Annual Conference, Rady School of Management, UC San Diego, June 15-17, 2021.
– North American Summer Meeting of the Econometric Society (NASMES), Department of Economics, Université du Québec à Montréal, June 10-13, 2021.
– 2020 Joint Statistical Meeting (theme – Everyone Counts: Data for the Public Good), American Statistical Association, August 2020.
– Bernoulli-IMS Symposium, Virtual, August 2020.
– 36th Canadian Econometrics Study Group Meeting, Montreal, October 2019.
– 53rd Annual Conference of the CEA, Banff, Alberta, June 2019.
– CIREQ Montreal Econometrics Conference: Recent Advances on Bootstrap Methods, Montreal, May 2019.
– 14th CIREQ Ph.D. Students’ Conference, Montreal, May 2018.
– CIREQ-McGill Lunch Seminar, McGill University, Montreal, October 2016.
– CIREQ Montreal Econometrics Conference in Honor of Jean-Marie Dufour, Montreal, May 2016.
– 12th CIREQ Ph.D. Students’ Conference, Montreal, May 2016.
• “Volatility forecasting with higher-order stochastic volatility models”
– 2021 Joint Statistical Meetings (theme – Statistics, Data, and the Stories They Tell), American Statistical Association, August 8-12, 2021.
– * RCEA Time Series Workshop, Keynote Speaker, hosted by the University of Milano-Bicocca, June 25-26 2021.
– 60th Annual Southwestern Finance Association (SWFA) Conference, March 2021.
– 21st IWH-CIREQ-GW Macroeconometric Workshop: Forecasting and Uncertainty, October 2020
– Time Series Econometrics Session, Bernoulli-IMS Symposium, Virtual, August 2020.
• “Practical estimation methods for high-dimensional multivariate stochastic volatility models”
– * CIREQ-Concordia Seminar, Concordia University, Montreal, November 05, 2021.
– 37th Canadian Econometrics Study Group Meeting, Vancouver, November 19-21, 2021.
– 11th RCEA Money-Macro-Finance Conference: The Pandemic Crisis, Macro-Financial Distress, Risks and Opportunities, jointly hosted by the Center for European Studies (CefES) of the University of Milano-Bicocca, the University of California Riverside, and the Joint Research Centre (JRC), July 27-28, 2021.
– * 7th RCEA Time Series Workshop, hosted by the University of Milano-Bicocca, June 25-26 2021.
– Mathematical Statistics Session, Bernoulli-IMS Symposium, Virtual, August 2020.
• “On the robustness of the Bayesian estimator for stochastic volatility models”
– Bayesian Statistics Session, Bernoulli-IMS Symposium, Virtual, August 2020.
• “Simple estimators and inference for higher-order stochastic volatility models”
– European Winter Meetings of the Econometric Society, Nottingham, December 2020.
– * Statistics Seminar, Département de mathématiques, Université de Sherbrooke, December 2019.
– * 11th French Econometrics Conference, Keynote Speaker, Marseille, November 2019.
– * Workshop on Econometrics and Statistics, Keynote Speaker, Department of Management Sciences, City University of Hong Kong, August 2019.
– * NBER-NSF Time Series Conference, Invited Speaker, The Chinese University of Hong Kong, August 2019.
– International Association for Applied Econometrics Annual Conference, Nicosia, Cyprus, June 2019.
– 36th International Conference of the French Finance Association (AFFI), Quebec City, June 2019.
– * Faculté des sciences de l’administration, Université Laval, Quebec City, April 2019.
– * BU-2019 Pi-day Econometrics Conference in Honor of Pierre Perron, Department of Economics, Boston University, Boston, March 2019.
– Canadian Econometrics Study Group Meeting, Ottawa, October 2018.
– International Conference on Time Series and Forecasting, Granada, Spain, September 2018.
– International Association for Applied Econometrics Annual Conference, Université du Québec à Montréal, Montreal, June 2018.
– 52nd Annual Conference of the CEA, McGill University, Montreal, June 2018.
– * CIREQ Montreal Econometrics conference: Recent Advances in the Method of Moments, Montreal, April 2018.
– * Department of Economics, University of Bergamo, Bergamo, Dalmine, Italy, May 2018.
– * Department of Economics, University of Southern California, Los Angeles, April 2018.
– * New York Camp Econometrics XIII, The Sagamore (Bolton Landing), NY, April 2018.
– Department of Economics, York University, Toronto, February 2018.
– 11th World Congress of the Econometric Society, Montreal, August 2015.
– 11th CIREQ Ph.D. Students’ Conference, Montreal, May 2015.
– CIREQ-McGill Lunch Seminar, McGill University, July 2015.
• “A Simple Efficient Moment-based Estimator for the Stochastic Volatility Model”
– CIREQ-McGill Lunch Seminar, McGill University, Montreal, April 2016.

* Presented by the co-author.