Published papers
Shaping forecast models for arbitrary choice of bandwidth (with Allan Timmermann and Yinchu Zhu), forthcoming in Journal of Econometrics.
[Paper]
Forecast selection in unstable environments (with Stefan Richter), 2025, Journal of Business & Economic Statistics, 2025, Vol. 44(2), 574–586.
[Paper] [Supplementary Material] [Python code]
For non-technical description see [Chicago Booth Review] or a video at [Chicago Booth Review Video]
Estimation of nonstationary nonparametric regression with multiplicative structure (with L. Chen and W.B. Wu), 2022, Econometrics Journal, Vol. 25(1).
[Paper] [Online Appendix] [R code]
Asymptotic Theory for QMLE for the Real-time GARCH(1,1) model (with W. B. Wu), 2021, Journal of Time Series Analysis, Vol 42 (4-5).
[Paper] [Online Appendix]
Real-time GARCH, 2017, Journal of Financial Econometrics, Vol. 15(4).
[Paper] [Supplementary Material] [Matlab Code]
Winner of the G-Research PhD Prize in Quantitative Finance 2017
Winner of the Cambridge Finance Best Student Paper Award, 2017
Testing Martingale Hypothesis for Gross Returns (with Oliver B. Linton), 2016, Journal of Empirical Finance, Vol. 38
[Paper] [Matlab Code]
Working papers
Predictive ability testing robust to instabilities (with Stefan Richter and Jason Lu), submitted
[Paper] [Supplementary Material] [Python code]
Perceived shocks and impulse response functions (with Raffaella Giacomini and Jason Lu), submitted
[Paper] [Chicago Booth Review]
Work in PROGRESS:
Learning what errors matter: directional losses for forecast evaluation
How forecasters perceive the economy: sources of shocks and their dynamic effects (with R. Giacomini, J. Lu and S. Miranda-Agrippino)
Robustness and adaptability in forecasting (with A. Timmermann and Y. Zhu)
Learning performance curves (with J. Lu)
Seasonal adjustment at the boundary: evidence form data revisions and lessons from theory (with J. Lu)