Manuscripts

Estimation of grouped time-varying network vector autoregression models (with B. Peng, S. Tang and W. Wu). R&R (2025).

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

Estimating factor-based spot volatility matrices with noisy and asynchronous high-frequency data (with O. Linton and H. Zhang). Submitted (2024).

Large-scale curve time series with common stochastic trends (with Y. Li and P.C.B. Phillips). Working paper (2024).

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