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Homepage of Bei Chen
Research Interests
My research interests lie in time series analysis, financial econometrics and resampling methods for dependent data. I'm currently working on the following projects:
- Investigating statistical properties of resampling methods for constructing prediction
intervals in stationary stochastic processes. Special emphasis is on the prediction in multivariate processes, and on the construction of confidence regions for multiple time points.
- Incorporating seasonal components into duration models for high frequency transaction data,
and developing methods for estimation and inference. The new models will provide a more
comprehensive description of daily and weekly patterns than existing approaches.
- Introducing novel point processes to model the time points of trading activities and price
changes in financial markets. In contrast to existing models, the proposed processes will
capture the long-range dependence and temporal clustering of trading activities.
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