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Dr Simon Kwok

BSc (Hons) HKU, MPhil HKU, PhD Cornell
Lecturer

H04 - Merewether Building
The University of Sydney

Telephone +61 2 9351 6607
Fax +61 2 9351 4341

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Biographical details

Simon Kwok obtained his PhD in Economics from Cornell University in August 2012. His research interests are in time series econometrics, statistics and finance. In particular, he is interested in specification tests of time series and point process models, tests of Granger causality, and their empirical applications in market microstructure, credit contagion and financial contagion.

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Research interests

  • Financial Econometrics
  • Model Misspecification Tests
  • Granger Causality

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Selected publications

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Journals

  • Kwok, S., Li, W. (2009). A Note on Diagnostic Checking of the Double Autoregressive Model. Journal of Statistical Computation and Simulation, 79(5), 705-715.
  • Kwok, S., Li, W., Yu, P. (2009). The Autoregressive Conditional Marked Duration Model: Statistical Inference to Market Microstructure. Journal of Data Science, 7(2), 189-201.
  • Kwok, S., Li, W. (2008). On diagnostic checking of the autoregressive conditional intensity model. Canadian Journal of Statistics (Revue Canadienne de Statistique), 36(4), 561-576.

Working Paper Internal

  • Kwok, S. (2012). A Nonparametric Test of Granger Causality in Continuous Time.
  • Kwok, S. (2012). Credit Contagion from Wall Street to Main Street: An Empirical Study of US Corporate Bankruptcies.
  • Kwok, S. (2012). Diagnostic Checks For Multivariate Parametric Intensity Models.
  • Kwok, S., Hsieh, P. (2012). GARCH Models with Exogenous Economic Factors.
  • Kwok, S., Hsieh, P. (2012). Measuring the Economic Value of Political Uncertainty.

2012

  • Kwok, S. (2012). A Nonparametric Test of Granger Causality in Continuous Time.
  • Kwok, S. (2012). Credit Contagion from Wall Street to Main Street: An Empirical Study of US Corporate Bankruptcies.
  • Kwok, S. (2012). Diagnostic Checks For Multivariate Parametric Intensity Models.
  • Kwok, S., Hsieh, P. (2012). GARCH Models with Exogenous Economic Factors.
  • Kwok, S., Hsieh, P. (2012). Measuring the Economic Value of Political Uncertainty.

2009

  • Kwok, S., Li, W. (2009). A Note on Diagnostic Checking of the Double Autoregressive Model. Journal of Statistical Computation and Simulation, 79(5), 705-715.
  • Kwok, S., Li, W., Yu, P. (2009). The Autoregressive Conditional Marked Duration Model: Statistical Inference to Market Microstructure. Journal of Data Science, 7(2), 189-201.

2008

  • Kwok, S., Li, W. (2008). On diagnostic checking of the autoregressive conditional intensity model. Canadian Journal of Statistics (Revue Canadienne de Statistique), 36(4), 561-576.
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