Research

Journal Publications

1. "Default dependence in the insurance and banking sectors: A copula approach," with X. Zhang, C. Yan, and Y. Zhao,  Journal of International Financial Markets, Institutions and Money, (2024), 91, 101911.

2. "The dependence structure between equity and foreign exchange markets and tail risk forecasts of foreign investments," with J. Yang, P. Song, and Y. Zhao, Quantitative Finance, (2020), 21(5), 815-835.

3. "FARVaR: Functional Autoregressive Value-at-Risk," with X. Cai, Y. Shin, and Q. Zhang, Journal of Financial Econometrics, (2019), 17(2), 284-337.  Code (MATLAB)  JFEC2018.zip

4. "Do firms care about investment opportunity? Evidence from China," with S. Ding and X. Zhang, Journal of Corporate Finance, (2018), 52, 214-237.

5. "The joint credit risk of UK global-systemically important banks," with M. Cerrato, J. Crosby, and Y. Zhao, Journal of Futures Markets, (2017), 37(10), 964-988. 

6. "Relation between higher order comoments and dependence structure of equity portfolios," with M. Cerrato, J. Crosby, and Y. Zhao, Journal of Empirical Finance, (2017), 40, 101-120.

7. "Forecasting distribution of inflation rates: functional autoregressive approach," with K. Chaudhuri and Y. Shin, Journal of the Royal Statistical Society: Series A (Statistics in Society), (2016), 179(1), 65-102. Code (GAUSS) JRSS2016.zip

8. "In search of robust methods for dynamic panel data models in empirical corporate finance," with V. Dang and Y. Shin, Journal of Banking and Finance, (2015), 53, 84-98. Code (STATA) JBF2015.zip

9. "Asymmetric adjustment toward optimal capital structure: evidence from a crisis," with V. Dang and Y. Shin, International Review of Financial Analysis, (2014), 33, 226-242.

10. "On the asymmetric u-shaped relationship between inflation, inflation uncertainty and relative price skewness in the UK," with K. Chaudhuri, M. Greenwood-Nimmo, and Y. Shin, Journal of Money, Credit and Banking, (2013), 45(7), 1431-1449.  Code (GAUSS) JMCB2013.zip

11. "Asymmetric capital structure adjustments: new evidence from dynamic panel threshold models," with V. Dang and Y. Shin, Journal of Empirical Finance, (2012), 19(4), 465-482. Code (STATA) JEF2012.zip

Working Paper

1. "The impact of cash flow uncertainty on investment-cash flow sensitivity in China: the debt financing channel," with S. Ding, X. Zhang and Y. Zhou, R&R.

2. "Detecting accounting fraud in China: RUSBoost algorithm with financial and corporate governance information," with Y. Dong, R&R.

Working in Progress

1. "Can Q theory explain a firm's green investments?: Evidence from China," with S. Ding, X. Zhang and Y. Zhou. 

2. "Deep GARCH," with S. Yang and C. Cai.

3. "Detecting accounting fraud using machine learning algorithms with MD&A textual information” with S. Chen and Y. Dong.