Manuscripts

Estimating factor-based spot volatility matrices with noisy and asynchronous high-frequency data (with O. Linton and H. Zhang). Revision requested (2026).

Large-scale curve time series with common stochastic trends (with Y. Li and P.C.B. Phillips). Revision requested (2026).

Factor models of matrix-valued time series: Nonstationarity and cointegration (with Y. Yan and Q. Yao). Revision requested (2026).

Time-varying model averaging of multi-layer network vector autoregressions (with Y. Sun and B. Wu). Manuscript (2026).

Nonparametric dyadic quantile regression (with F. Bravo and Z. Li). Manuscript (2026).

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