top of page
Working Papers
"The Impact of Futures on Forecasts of Exchange Rate Realized Variance: Evidence from Asian Markets", with Loran Chollete, W. Keener Hughen and Teresa Starzecki, 2023. (submitted)
"Forecasting Market Return with Different Frequencies: The Benefit of Machine Learning and Big Data ", with Norman Swanson
and Chun Yao
"Forecasting Realized Volatility of Shanghai Oil Futures with Mix-Frequency Uncertainty Factors", with Bo Yu, Chun Yao and Wei Lan, 2023. (Submitted)
Publications
"Assessing the Volatility of Green Firms", with Loran Chollete, Keener Hughen, and Ching-Chil Lu, Finance Research Letters, 2024.
"Macroeconomic and Financial Uncertainty Measures in a Big Data Environment", with Norman Swanson, Xiye Yang, and Chun Yao, Journal of the Royal Statistical Society, Series C (Applied Statistics), 2024. [SSRN]
"Sector-level equity returns predictability with machine learning and market contagion measure", with Chun Yao, Empirical Economics, 2023.
"Co-jumps, Co-jump Tests and Sector Level S&P 500 Volatility Prediction: Monte Carlo and Empirical Evidence", with Chun Yao
, Journal of Risk and Financial Management, 2022. [SSRN]
“Financial Econometrics and Big Data: A Survey of Volatility Estimators and Tests for the Presence of Jumps and Co-jumps”,
with Arpita Mukherjee, Norman R. Swanson and Xiye Yang, Handbook of Statistics, Volume 42, 2020, edited by C.R. Rao and H.D. Vinod, Elsevier [SSRN]
“基于静态博弈模型的私企偷逃税问题研究." 当代经济 22 (2013): 160-161. [Link]
bottom of page