Ai-ru (Meg) Cheng, Assistant Professor

Professor Cheng received her PhD from the University of North Carolina at Chapel Hill in 2004. Prior to joining Northern Illinois University, she held a position at the University of California at Santa Cruz.

Areas of Specialization: Econometrics, Finance

Current Research:  Option pricing, High-Frequency data

Selected Publications:

  • A Gaussian Approximation Scheme for Computation of Option Prices in Stochas- tic Volatility Models, with A. Ronald Gallant, Chuanshu Ji, and Beom Lee (2008) Journal of Econometrics  146, 44-58.
  • Return, Trading Volume, and Market Depth in Currency Futures Markets, with Yin-Wong Cheung, (2008) International Journal of Applied Economics 5, 1-23.
  • An Empirical Investigation of Stock Market Behavior in Middle East and North Africa, with Mohammad R. Jahan-Parvar and Phillip  Rothman (2009) Journal of Empirical Finance 17(3), 413-427.
  • Central Bank Intervention and Japanese Exchange Rate Volatility Evidence Us- ing Realized Volatility, with Kuntal Das and Takeshi Shimatani (2013) Journal of Asian Economics 28, 87-98.
  • Risk-Return Trade-Off in  Pacific-Basin Equity  Markets, with  Mohammad R. Jahan-Parvar (2014) Emerging Markets Review 18, 123-140.