Published papers
Testing Martingale Hypothesis for Gross Returns (with Oliver B. Linton), 2016, Journal of Empirical Finance, Vol. 38
[Paper] [Matlab Code]
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
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]
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]
Working papers
Forecast selection in unstable environments (with Stefan Richter), forthcoming at the Journal of Business & Economic Statistics
[Paper] [Supplementary Material] [Python code (notebook + module form)]
A non-technical description of this paper can be found in Chicago Booth Review or in Chicago Booth Review Video
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]
Shape and bandwidth choice for forecasting models (with Allan Timmermann and Yinchu Zhu), revise and resubmit at Journal of Econometrics
[Paper]
Work in PROGRESS:
How forecasters perceive the economy: sources of shocks and their dynamic effects (with Raffaella Giacomini, Jason Lu and Silvia Miranda-Agrippino)
Forecasting as regression discontinuity design (with A. Timmermann and Y. Zhu)
Seasonal adjustment at the boundary: evidence form data revisions and lessons from theory (with Jason Lu)