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Ai-Ru (Meg) Cheng Home  Directory Ai-Ru (Meg) Cheng
| Education History | |
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Ph.D., University of North Carolina at Chapel Hill |
| Courses Taught | |
ECON-211A-01 - Adv Econometrics
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| Research Focus | |
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Finance (asset pricing) and econometrics |
| Long Description | |
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Ai-Ru Cheng joined the economics faculty at UCSC in 2004. Her research interests include finance (asset pricing), econometrics, and applied microeconomics. |
| Selected Publications | |
"A Central Limit Theorem for Computation of Option Prices for Stochastic Volatility Models," with A. Ronald Gallant, Chuanshu Ji, and Beom S. Lee, Working Paper, 2005.
"Central Limit Theorems and Higher-Order Asymptotic Expansions in Computation of Option Prices with Stochastic Volatility Models," with A. Ronald Gallant, Working Paper, 2005.
"No-Arbitrage Testing with Single Factor - A Nonparametric Approach," University of California Santa Cruz, Working Paper, 2005.
"Macro Announcements and Bond Pricing," with Eric Ghysels, University of California, Santa Cruz, Working Paper, 2005.
"MCMC Analysis of Stochastic Volatility Models: Joining Evidence from Spot and Option Prices," Working Paper, 2004. |
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