Publications
- Laplace Estimator of Integrated Volatility When Sampling Times Are Endogenous. Journal of Business & Economic Statistics, 2022, VOL. 40, NO. 2, 651-663
- Nonparametric Estimation for High-Frequency Data Incorporating Trading Information (with Jie Hu and Jiandong Wang). Journal of Econometrics, accepted
Publications in Chinese
- The Optimal Endogenous Sampling Scheme for Financial Asset Volatility Estimation (with Chenyue Zhou). China Journal of Econometrics, 2023, VOL. 3, NO .1, 238-258
Others
- Challenges in Using High-Frequency Financial Data in Estimating and Forecasting Return Volatility: The Laplace Estimator of Volatility. Sage Research Methods: Business, 2023
Working Papers
- Inference for Volatility under Time Endogeneity.
- Smoothing Spline Semi-parametric Non-Gaussian Structural Vector Autoregressive Models.