Michael Tseng
Michael Tseng
Assistant Professor
Department of Economics
University of Central Florida
Contact Information:
Department of Economics
College of Business
University of Central Florida
P.O. Box 161400
Orlando, Florida 32816-1400
michael.tseng@ucf.edu
Research Interests: Financial Economics, Time Series Econometrics.
Working Papers
Arrow-Debreu Meets Kyle: Price Discovery for Derivatives, with Christian Keller.
Implementing Deterministic Outcomes in Stochastic Dynamic Environments, with Roberto Burguet.
A Spatial Invariance Principle for Non-stationary Random Fields.
Estimation of a Time-Varying Parameter from Long-Range Dependent Data, available on SSRN.
A Simple Unit Root Test For Near Double-Integrated Time Series, with Lealand Morin, available on SSRN.
Recent/Upcoming Presentations
10th HEC-McGill Winter Finance Workshop
National Taiwan University Department of Economics Seminar
Econometric Society North American Summer Meeting
19th Annual Conference of the Asia-Pacific Association of Derivatives
Published Papers
Price Impact and Bursts in Liquidity Provision, with Ramazan Gencay, Jakub Rojcek, and Soheil Mahmoodzadeh, Quantitative Finance (WP version).
"Wait and See" Monetary Policy, with Xiaowen Lei, Macroeconomic Dynamics (WP version).
Contagion in a Network of Heterogeneous Banks, with Ramazan Gencay, Hao Pang, and Yi Xue, Journal of Banking and Finance (WP version).
Regulatory Arbitrage and Global Push Factors, with Stefan Avdjiev and Uluc Aysun, Economic Modelling (WP version).