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Faculty

Md Nazmul Ahsan

Assistant Professor, Financial Economics


Md Nazmul Ahsan
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

Papers in Proceedings

— Ahsan, M. 2020. "Realized measures and statistical inference for stochastic volatility models". In JSM Proceedings, Business and Economic Statistics Section. Alexandria, VA: American Statistical Association.

Research Papers

— "Simple estimators and inference for higher-order stochastic volatility models" with Jean-Marie Dufour. Revised and resubmitted to Journal of Econometrics.
— "High-frequency instruments and identification-robust inference for stochastic volatility models". Submitted to Journal of Econometrics.
— "Volatility forecasting and option pricing with higher-order stochastic volatility models" with Jean-Marie Dufour.
— "Simple efficient estimators for large scale multivariate stochastic volatility models" with Jean-Marie Dufour.
— "Almost closed-form efficient 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

— "High-frequency asset allocation."
— "Exact inference on multivariate stochastic volatility models with the possibility of non-regularities."
— "Optimal invariant inference for a time series that is measured with error."


Teaching

Concordia University

— Financial Economics (ECON 433/533)
— Introduction to Financial Economics I: Investments (ECON 398A)
— Statistical Methods I (ECON 221)
— 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)


Papers Presented in Special Invited Lectures, Conferences and Seminars

— "Volatility forecasting and option pricing with higher-order stochastic volatility models"
     — 21st IWH-CIREQ-GW Macroeconometric Workshop: Forecasting and Uncertainty, October 2020
     — 2020 Bernoulli-IMS Symposium (Time Series Econometrics Session), Virtual, August 2020.
— "Simple efficient estimators for large scale multivariate stochastic volatility models"
     — 2020 Bernoulli-IMS Symposium (Mathematical Statistics Session), Virtual, August 2020.
— "High-Frequency Instruments and Identification-Robust Inference for Stochastic Volatility Models"
     — 2020 Bernoulli-IMS Symposium, Virtual, August 2020.
     — 2020 Joint Statistical Meeting, Virtual, August 2020.
     — 2019 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, 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.
—  "On the robustness of the Bayesian estimator for stochastic volatility models"
     — 2020 Bernoulli-IMS Symposium (Bayesian Statistics Session), Virtual, August 2020.
— "Simple estimators for higher-order stochastic volatility models and forecasting"
     — 2020 Winter Meetings of the Econometric Society, Nottingham, December 2020. (scheduled).
     — * 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.
     — * 2019 NBER-NSF Time Series Conference, Invited Speaker, The Chinese University of Hong Kong, August 2019.
     — 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.
     — 2018 Canadian Econometrics Study Group Meeting, Ottawa, October 2018.
     — 2018 International Conference on Time Series and Forecasting, Granada, Spain, September 2018.
     — 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.

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