Working Papers

• Influence Function: Local Robustness and Efficiency

  Joint with Ruonan Xu

• Testing for Asset Pricing Errors

  Joint with Merrick Zhen Li

• 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

• Bias Correction and Robust Inference in Semiparametric Models

  Joint with Jungjun Choi

• Flight to Home and Asymmetric Tail Cycles: Identification through Mutual Excitation Approach

  Joint with Deniz Erdemlioglu and Kamil Yilmaz

• Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications

  Joint with Deniz Erdemlioglu and Chris Neely

Work In Progress

• Bootstrap Approximation of Degenerate U-Statistics

  Joint with Ruixuan Liu