Manuscripts

Estimating factor-based spot volatility matrices with noisy and asynchronous high-frequency data (with O. Linton and H. Zhang). Under revision (2025).

Covariance function estimation for high-dimensional functional time series with dual factor structures (with C. Leng, H. Shang and Y. Xia). Submitted (2025).

Large-scale curve time series with common stochastic trends (with Y. Li and P.C.B. Phillips). Submitted (2025).

Factor models of matrix-valued time series: Nonstationarity and cointegration (with Y. Yan and Q. Yao). Submitted (2025).

Non- and semi-parametric panel data models: a selective review (with J. Chen and J. Gao). Working paper (2013).