Research
Research Interests:
·
Finance
§
Asset Pricing
§
Portfolio Choice
§
Risk Management
§
Emerging Markets
·
Econometrics and
Time Series Analysis
·
International
Finance
·
Applied
Probability
Publications:
·
Jahan-Parvar, M.
R., and H. Mohammadi (2009), “Oil Prices and
Competitiveness: Time Series Evidence from Six Oil Producing Countries,"
Journal of Economic Studies, Vol. 36 No. 1. (pdf)
Working Papers:
·
Home Bias Puzzle
Revisited: A General Equilibrium Solution Based on Model Mis-Specification
·
Portfolio Choice
with Multi Factor Stochastic Volatility
·
An Empirical
Investigation of Stock Market Behavior in Middle East and
·
Equity Premium
and Real Business Cycles in Small Open Economies (with Xuan
Arthur Liu and Philip Rothman) (pdf)
·
Flood Insurance
Coverage in the Coastal Zone (with Craig E. Landry) (pdf)
·
Real Exchange
Rates and Oil Prices in Oil Exporting Countries: A Bounds Testing Approach
(with H. Mohammadi) (pdf)
·
Dutch Disease in
Oil–Exporting Countries: Evidence from TAR and M-TAR Models (with H. Mohammadi) (pdf)
Work in Progress:
·
Portfolio Choice
with Multi Factor Stochastic Volatility: Comparative Theoretical and Empirical
Implications (with
·
Portfolio Choice
and Demand for Robustness: A Martingale Solution.
·
Realized and Implied
Volatility in Foreign Exchange European Options: Are Jump Tests Correctly
Specified? (with Ai-Ru Cheng)
·
Do oil spot
prices and oil futures have prediction power for the term structure of
·
Asset Pricing in
Small Open Economies (with Xuan Arthur Liu)
·
Oil Prices, Curse
of Natural Resources, and Autoregressive Conditional Root Tests (with Randal
Parker)
Research Grants:
·
·
East Carolina
University