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), R&R 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), submitted
[Paper] [Supplementary Material] [Python code]
Perceived shocks and impulse response functions (with Raffaella Giacomini R. and Jason Lu), submitted
[Paper]
Shape and bandwidth choice for forecasting models (with Allan Timmermann and Yinchu Zhu), submitted
[Paper]