"Estimation of long-run variance of continuous time stochastic process using discrete sample", with Joon Y. Park, Journal of Econometrics, 2019, 210(2), 236–267.
"Testing for stationarity at high frequency", with Bibo Jiang and Joon Y. Park, available online in Journal of Econometrics, 2020, 215(2), 341-374.
"Understanding regressions with observations collected at high frequency over long span", with Yoosoon Chang and Joon Y. Park, R&R Journal of Econometrics.
"Incremental factor model for high frequency observations with large dimension and long span", with Joon Y. Park
"Modelling Electricity Price Spikes Using Poisson Autoregression with Exogenous Covariates (PARX) ", with Neyavan Suthaharan (coming soon)
"Bootstrap inference for point process models: with applications to Hawkes processes in social media data", with Giuseppe Cavaliere and Anders Rahbek
"Nonlinear factor models in the reproducing kernel Hilbert space", with Yoosoon Chang and Joon Park
"Continuous time heteroskedasticity and autocorrelation robust inference"