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Working Papers
1. "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)
2. " Forecasting Volatility of Currencies and Oil with Brown Firms: A Mixed-Frequency Approach", with Loran Chollete, Keener Hughen, and Ching-Chil Lu, 2025.
3. "Forecasting Market Return with Different Frequencies: The Benefit of Machine Learning and Big Data ", with Norman Swanson
and Chun Yao
4. "Forecasting Realized Volatility of Shanghai Oil Futures with Mix-Frequency Uncertainty Factors", with Bo Yu, Chun Yao and Wei Lan, 2025. (R&R at Pacific-Basin Finance Journal)
Publications
1. "Assessing the Volatility of Green Firms", with Loran Chollete, Keener Hughen, and Ching-Chil Lu, Finance Research Letters, 2024.
2. "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.
3. "Sector-level equity returns predictability with machine learning and market contagion measure", with Chun Yao, Empirical Economics, 2023.
4. "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.
5. “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]
6. “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]
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