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Working Papers

1. " Forecasting Volatility of Currencies and Oil with Brown Firms: A Mixed-Frequency Approach", with Loran Chollete, Keener                 Hughen, and Ching-Chil Lu, 2025.

2. "Leveraging High-Frequency Data for Market Return Forecasting", with Norman Swanson and Chun Yao, 2025.

3. “Forecasting Realized Volatility Using Idiosyncratic and Systematic Jump Risks: A Machine Learning Approach with Market                      Regimes”, with Eman Abdelfattah, 2025.

4. “Natural Capital, Regulatory Stringency, and Foreign Direct Investment”, with Sunnie Wu, Loran Chollate, Mahfuja Malik, and Bo Yu, 2025.

5. "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.  (ABS2, ABDC:A)

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.  (ABS3, ABDC:A)

3. "Sector-level equity returns predictability with machine learning and market contagion measure", with Chun Yao,  Empirical Economics,                2023. (ABS2, ABDC: A)

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. (ABDC: B)

5. "The Impact of Futures on Forecasts of Exchange Rate Realized Variance: Evidence from Asian Markets", with Loran Chollete, W.              Keener Hughen and Teresa Starzecki, Eastern Economic Journal 2025. (ABS1, ABDC: B)

6. “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].

7. “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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