Economics

Cathy Ning, PhD

OFFICE: JOR-226
TELEPHONE: 416-979-5000 ext 6181
EMAIL: qning@ryerson.ca

EDUCATION

Ph.D., University of Western Ontario

RESEARCH INTERESTS

Financial Econometrics, Empirical Finance, Econometrics.

PUBLICATIONS

“Dependence Structure between the Equity Market and the Foreign Exchange Market--A Copula Approach”, Journal of International Money and Finance, 2010, Vol. 29 Issue 5, 743-759.

“The Dependence Structure between the Canadian Stock Market and the US/Canada Exchange Rate: A Copula Approach” (with Leo Michelis), Canadian Journal of Economics, 2010, Volume 43, Issue 3, 1016-1039.

“Extreme Return-Volume Dependence in East-Asian Stock Markets: A Copula Approach” (with Tony Wirjanto), Finance Research Letters, 2009, 6, 202-209.

“Modeling Leverage Effect with Copulas and Realized Volatility” (with Dinghai Xu and Tony Wirjanto), Finance Research Letters 2008, 5, 221-227.

"Estimation of the Stochastic Conditional Duration Model via Alternative Methods -- ECF and GMM" (with John Knight), The Econometrics Journal 11(3).

WORKING PAPERS

“The Dependence Structure of Macroeconomic Variables in the US” (with Loran Chollete), Ryerson Working Paper No. 005

“Modeling Asymmetric Volatility Clusters Using Copulas and High Frequency Data” (with Dinghai Xu, and Tony Wirjanto), Ryerson Working No. 006.

“Extreme Dependence in International Stock Markets”. Ryerson Working Paper No. 009.

“Market Segmentation and Pricing of International Assets” (with Stephen Sapp), Ryerson Working Paper No. 010

“Asymmetric Dependence in US Financial Risk Factors?” , in progress.

TEACHING FIELDS