Manuscripts
Nonparametric estimation of large spot volatility matrices for high-frequency financial data (with R. Bu, O. Linton and H. Wang). Under revision (2024).
Estimating time-varying networks for high-dimensional time series (with J. Chen, Y. Li and O. Linton ). Under revision (2024).
Inference of grouped time-varying network vector autoregression models (with B. Peng, S. Tang and W. Wu). Under revision (2024).
Detection and estimation of structural breaks in high-dimensional functional time series (with R. Li and H. Shang). Under revision (2024).
Estimating factor-based spot volatility matrices with noisy and asynchronous high-frequency data (with O. Linton and H. Zhang). Submitted (2024).
Covariance function estimation for high-dimensional functional time series with dual factor structures (with C. Leng, H. Shang and Y. Xia). Submitted (2024).
High-dimensional functional time series: A selective review (with X. Qiao). Submitted (2024, in Chinese)
Non- and semi-parametric panel data models: a selective review (with J. Chen and J. Gao). Working paper (2013).