Research Fields: Asset Pricing, Macro-Finance, Financial Econometrics, Systemic Risk
Check my SSRN author page
Demographics and the Behavior of Interest Rates (with Carlo Favero and Arie Gozluklu) [paper] , IMF Economic Review, November 2016, Volume 64, Issue 4, pp 732-776
Implications of Returns Predictability across Horizons for Asset Pricing Models (with C. Favero, F. Ortu and A. Tamoni) [paper], Journal of Business & Economic Statistics, 2020, Volume 38, Issue 3，527-541
Financial Development and Wage Income: Evidence from the Global Football Markets. (With W. Wang and X. Wang) [paper], Journal of Banking and Finance, 2023, accepted
Publication in Chinese (中文期刊发表）
人口结构与系统性风险测度及监管—以利率为纽带的视角 (合作者：范小云，段月姣)，经济研究，2018年第八期，pp52-67
极端事件冲击与股票收益率 ——基于A股市场双侧尾部风险的研究 (合作者：周英雄，刘志威），金融学季刊，2023，3
少儿抚养比如何影响地方政府 隐性债务风险——基于土地财政模式的研究 （范小云，邹小备），南开经济研究，2022，5：81-106
Demographic Trend, the Rent-to-price Ratio and Predictability of the House Market (with Yuansheng Wang and Zhizhen Chen), R&R
Risk in Mining and Cryptocurrency Returns: Evidence from Electricity Prices (with Yuecheng Jia and Runyu Zhang), submitted
Profitability Skewness and Stock Return (with Yuechengjia, Shu Yan and Runyu Zhang), R&R
There is A Growth Premium: Evidence from A Decomposition of Book-to-Market Ratio (with Yuecheng Jia, Shu Yan) [paper]，R&R
A Robust Variance Bound on Pricing Kernels [paper]
Testing Semiparametric Predictive Regression Model (with Xiaojun Song) [paper]，submitted