Market Timing with Bi-Objective Cost-Sensitive Machine Learning
(with Robert James and Jessica Leung; ISF slides, CFE slides, LMU slides), R&R, Review of Asset Pricing Studies
Optimal Bundling Strategies for Complements and Substitutes under Heavy-Tailed Dependent Valuations
(with Rustam Ibragimov and Johan Walden)
The Post Double LASSO for Efficiency Analysis
(with Valentin Zelenyuk and Chris Parmeter, EcoSta slides, HSE slides, NES slides, EWEPA24 slides, Drexel slides, CFE slides, talk-part-1, talk-part-2)
Improved Bounds for Multi-Armed Bandits with Independent Arms
(with Victor de la Peña, Rustam Ibragimov and Alexander Semenov)
Improved Semiparametric Bounds for Tail Probability and Expected Loss: Theory and Applications
(with Erick Li, ISNPS slides)
GMM Estimation of Fixed Effects Stochastic Frontier Models without Distributional Assumptions on Inefficiency
(with David Du and Kien Tran; NAPW slides, iCEBDA slides)
Vector Dependence and Global Systemic Financial Risk
(with Robert James and Jessica Leung; ML in Finance Workshop)
Spatial Stochastic Frontier Model with Latent Classes
(with David Du and Kien Tran, GitHub)
Detection of Explosive Bubbles in Time Series Using Mixed Integer Programming
(with Peter Radchenko, Alexander Semenov and Anton Skrobotov)
Latent Class Spatial Stochastic Frontier Model with Endogenous Regressors and Spatial Weights
(with David Du and Kien Tran)
Sufficient Dimension Reduction Meets Two-Sample Regression Estimation
(with Di Liu and Masa Hirukawa, Supplementary Materials, GitHub)
(with Dmitry Grigoriev and Nina Komarova)
Neural Network Sieves for Semiparametric Copula Estimation
(with Hasan Fallahgoul)
Sparse Sieve MLE
(with Di Liu and David Drukker)
Dynamically Time Warped Cointegration
(with Giuseppe Cavaliere and Anton Skrobotov)