Working Papers
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Bias Correction and Robust Inference in Semiparametric Models
Joint with Jungjun Choi
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Testing Whether Asset Prices Have Pricing Errors
Joint with Merrick Li and Oliver Linton
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Flight to Home and Asymmetric Tail Cycles: Identification through Mutual Excitation Approach
Joint with Deniz Erdemlioglu and Kamil Yilmaz
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Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications
Joint with Deniz Erdemlioglu and Chris Neely
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Mixing Mixed Frequency Macroeconomic Forecasting Models with High Frequency Volatility and Risk Factors: An Empirical Assessment
Joint with Weijia Peng, Normal Swanson, and Chun Yao
Work In Progress
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Double/Local Robustness and Efficiency
Joint with Ruonan Xu
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Bootstrap Approximation of Degenerate U-Statistics
Joint with Ruixuan Liu
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Mind Your Language - Central Bank Communication, Speech-Implied Forecast Revisions, and High-Frequency Market Reaction
Joint with Maximilian Ahrens, Deniz Erdemlioglu, Michael McMahon, and Chris Neely