Ongoing Research

Working Papers
  • Bias Correction and Robust Inference in Semiparametric Models

    Joint with Jungjun Choi

  • Testing Whether Asset Prices Have Pricing Errors

    Joint with Merrick Li and Oliver Linton

  • 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

  • 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
  • Double/Local Robustness and Efficiency

    Joint with Ruonan Xu

  • Bootstrap Approximation of Degenerate U-Statistics

    Joint with Ruixuan Liu

  • 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