Cathy Ning
Teaching Fields
Econometrics, Financial Econometrics
Selected Publications
Ning, C., 鈥淎re the stylized features of stock returns the same in market downturns and upturns?鈥� (with B. Cheng, W. Huang, and D. Xu), Journal of Empirical Finance, 87, 2026
Ning, C., 鈥淪afe haven currencies: A dependence switching copula approach鈥� (with Leo Michelis and Jeremey Ponrajah), Finance Research Letters Vol. 86, 2025.
Ning, C., "Extreme comovements and downside/upside risk spillovers between oil prices and exchange rates" (with Dinghai Xu), Macroeconomic Dynamics Vol. 29 e53, 1-20, 2024.
Ning, C., 鈥淪tock鈥揵ond dependence and flight to/from quality鈥� (with J. Ponrajah), International Review of Financial Analysis, 86, 2023.
Ning, C., 鈥淎 new Markov regime-switching count time series approach for forecasting initial public offering volumes and detecting issue cycles鈥� (with X. Wang), Journal of Forecasting, 1-16, 2021.
Ning, C., 鈥淚s volatility clustering of asset returns asymmetric?鈥� (with D. Xu and T. Wirjanto), Journal of Banking and Finance, 52, 62-76, 2015.
Ning, C., 鈥淒ependence structure between the equity market and the foreign exchange market--A copula approach鈥�, Journal of International Money and Finance, 29(5), 743-759, 2010.
Ning, C., 鈥淭he dependence structure between the Canadian stock market and the US/Canada exchange rate: A copula approach鈥� (with L. Michelis), Canadian Journal of Economics, 43(3), 1016-1039, 2010.
Ning, C., 鈥淓xtreme return-volume dependence in East-Asian stock markets: A copula approach鈥� (with T. Wirjanto), Finance Research Letters, 6, 202-209, 2009.
Ning, C.,鈥淢odeling leverage effect with copulas and realized volatility鈥� (with D. Xu and T. Wirjanto), Finance Research Letters, 5, 221-227, 2008.
Ning, C.,"Estimation of the stochastic conditional duration model via alternative methods -- ECF and GMM" (with J. Knight), The Econometrics Journal, 11(3), 2008.
Research Grants
SSHRC Standard Research Grant, "Dependence in financial markets", 2011-2013, $21,805.
SSHRC Research Workshops/Conference Grant, "The econometrics of socioeconomic interactions", 2011-2013, $20,727.