Assoc Prof Xibin Zhang - Researcher Profile

Biography

Xibin works in the Faculty of Business & Economics at Monash University as a Senior Lecturer.

Qualifications

ECONOMETRICS - DOCTORATE BY RESEARCH

Institution: Monash University

Year awarded: 2006

DOCTOR OF PHILOSOPHY

Institution: Monash University

Year awarded: 2006

SYSTEMS ENGINEERING - DOCTORATE BY RESEARCH

Institution: Tianjin University, P.R. China

Year awarded: 1998

PROBABILITY AND STATISTICS - MASTER BY RESEARCH

Institution: Nankai University, P.R. China

Year awarded: 1993

MATHEMATICAL STATISTICS - BACHELOR

Institution: Nankai University, P.R. China

Year awarded: 1990

Publications

Journal Articles

Hu, S., Poskitt, D.S., Zhang, X., 2012, Bayesian adaptive bandwidth kernel density estimation of irregular multivariate distributions, Computational Statistics and Data Analysis [P], vol 56, issue 3, Elsevier BV, Amsterdam Netherlands, pp. 732-740.

Liu, Q., Pitt, D., Zhang, X., Wu, X., 2011, A Bayesian approach to parameter estimation for kernel density estimation via transformations, Annals of Actuarial Science [P], vol 5, issue 2, Cambridge University Press, Cambridge UK, pp. 181-193.

Dark, J.G., Zhang, X., Qu, N., 2010, Influence diagnostics for multivariate GARCH processes, Journal of Time Series Analysis [P], vol 31, issue 4, Wiley-Blackwell Publishing Ltd, UK, pp. 278-291.

Zhang, X., Brooks, R.D., King, M.L., 2009, A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation, Journal of Econometrics [P], vol 153, issue 1, Elsevier BV, North-Holland, Netherlands, pp. 21-32.

Zhang, X., King, M.L., 2008, Box-Cox stochastic volatility models with heavy-tails and correlated errors, Journal of Empirical Finance, vol 15, issue 3, Elsevier BV, North-Holland, Netherlands, pp. 549-566.

Lean, H.H., Wong, W., Zhang, X., 2008, The sizes and powers of some stochastic dominance tests: A Monte Carlo study for correlated and heteroskedastic distributions, Mathematics and Computers in Simulation, vol 79, issue 1, Elsevier BV, North-Holland, Netherlands, pp. 30-48.

Silvapulle, P., Zhang, X., 2007, Assessing dependence changes using nonparametric methods, Applied Financial Economics Letters, vol 3, issue 6, Routledge, UK, pp. 397-401.

Brooks, R.D., Zhang, X., Bissoondoyal-Bheenick, E., 2007, Country risk and the estimation of asset return distributions, Quantitative Finance, vol 7, issue 3, Routledge, UK, pp. 261-265.

Zhang, X., King, M.L., Hyndman, R.J., 2006, A Bayesian approach to bandwidth selection for multivariate kernel density estimation, Computational Statistics & Data Analysis, vol 50, issue 11, Elsevier, The Netherlands, pp. 3009-3031.

Yu, J., Yang, Z., Zhang, X., 2006, A class of nonlinear stochastic volatility models and its implications for pricing currency options, Computational Statistics & Data Analysis, vol 51, issue 4, Elsevier BV, North-Holland, The Netherlands, pp. 2218-2231.

Pitrun, I., King, M.L., Zhang, X., 2006, Smoothing spline based tests for non-linearity in a partially linear model, Journal of Statistical Planning and Inference, vol 136, issue 8, Elsevier BV, North-Holland, The Netherlands, pp. 2446-2469.

Zhang, X., King, M.L., 2005, Influence diagnostics in generalized autoregressive conditional heteroscedasticity processes, Journal of Business & Economic Statistics, vol 23, issue 1, American Statistical Association, USA, pp. 118-129.

Tse, Y.K., Zhang, X., 2004, A Monte Carlo investigation of some tests for stochastic dominance, Journal of Statistical Computation and Simulation, vol 74, issue 5, Taylor & Francis Ltd, UK, pp. 361-378.

Tse, Y.K., Ng, K.W., Zhang, X., 2004, A small-sample overlapping variance-ratio test, Journal of Time Series Analysis, vol 25, issue 1, Blackwell Publishing Ltd, UK, pp. 127-135.

Zhang, X., 2004, Assessment of local influence in GARCH processes, Journal of Time Series Analysis, vol 25, issue 2, Blackwell Publishing Ltd, UK, pp. 301-313.

Tse, Y.K., Zhang, X., Yu, J., 2004, Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method, Quantitative Finance, vol 4, issue 2, Routledge, UK, pp. 158-169.

Lien, D., Tse, Y.K., Zhang, X., 2003, Structural change and lead-lag relationship between the Nikkei spot index and futures price: a genetic programming approach, Quantitative Finance, vol 3, issue 2, Institute of Physics Publishing, UK, pp. 136-144.

Tse, Y.K., Zhang, X., 2002, The variance ratio test wih stable Paretian errors, Journal of Time Series Analysis, vol 23, issue 1, Blackwell Publishing Ltd, UK, pp. 117-126.

Zhang, X., Tse, Y.K., 2001, Local influence on bandwidth estimation for kernel smoothing, Journal of Statistical Computation and Simulation, vol 70, issue 4, Taylor & Francis Ltd, Abingdon UK, pp. 349-370.

Conference Proceedings

Qu, N., Dark, J.G., Zhang, X., 2006, Influence diagnostics in a bivariate GARCH process, Proceedings of ESAM 2006: Australasian Meeting of the Econometric Society, 04 July 2006 to 07 July 2006, The Econometric Society, http://esam06.anu.edu.au, pp. 1-30.

Postgraduate Research Supervisions

Current Supervision

Program of Study:

(DOCTORATE BY RESEARCH).

Thesis Title:

A BAYESIAN APPROACH TO MODELING AUTOMOBILE INSURANCE CLAIMS.

Supervisors:

Zhang, X (Main), Leung, A (Associate).

Program of Study:

(DOCTORATE BY RESEARCH).

Thesis Title:

A density-based approach to hypothesis testing via variance ratios.

Supervisors:

Zhang, X (Main).

Program of Study:

(DOCTORATE BY RESEARCH).

Thesis Title:

Bayesian inference in non-linear time series and panel data models.

Supervisors:

Gao, J (Joint), Zhang, X (Joint-co).

Program of Study:

(DOCTORATE BY RESEARCH).

Thesis Title:

Conditional kernel density: estimation and applications.

Supervisors:

King, M (Main), Zhang, X (Associate).

Program of Study:

(DOCTORATE BY RESEARCH).

Thesis Title:

Semiparametric Estimation of the Probabilities of Defaults (in the area of Credit Risk modelling).

Supervisors:

Gao, J (Main), Silvapulle, P (Associate), Zhang, X (Associate).

Completed Supervision

Student:

Lu, X.

Program of Study:

Electricity spot price and volatility modelling in the Australian national electricity market. (PHD) 2007.

Supervisors:

Sugianto, L (Main), Zhang, X (Associate).

Student:

Zhang, R.

Program of Study:

Bayesian analysis of non-linear multivariate econometric models. (PHD) 2011.

Supervisors:

Inder, B (Main), Zhang, X (Associate).