Peer-Reviewed Publications
In 2025-
21. "Quantile-based Modeling of Scale Dynamics in Financial Returns for Value-at-Risk and Expected Shortfall Forecasting" (with Richard Luger), International Journal of Forecasting, accepted.
In 2024-
20. "Are Exchange Rates Absorbers of Global Oil Shocks? A Generalized Structural Analysis" (with Andre Harrison and Shamar Stewart), Journal of International Money and Finance, 2024, 146: 103126 Article link
In 2023-
19. "Structural Sources of Oil Market Volatility and Correlation Dynamics" (with Andre Harrison and Shamar Stewart), Energy Economics, 2023, 121: 106658 Article link
18. "Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary" (with Timo Dimitriadis, Julie Schnaitmann) Journal of Financial Econometrics , 2023, 21(2): 412-444 Article link
In 2021-
17. "On Fiscal and Monetary Policy-induced Macroeconomic Volatility Dynamics" Journal of Economic Dynamics & Control , 2021, 127: 104123 Article link
In 2020 -
16. "Forecasting short-run exchange rate volatility with monetary fundamentals: A GARCH-MIDAS approach" (with You Yu) Journal of Banking and Finance , 2020, 116: 1-15 Article link
15. "Quantile-Based Asymmetric Dynamics of Real GDP Growth" Macroeconomic Dynamics, 2020, 24: 1960-1988 Article link
In 2019 -
14. "On Tail Fatness of Macroeconomic Dynamics" Journal of Macroeconomics, 2019, 62: 1-18 Article link
In 2018 -
13. "Structural Volatility Impulse Response Function and Asymptotic Inference" Journal of Financial Econometrics, 2018, 16(2): 316-339 Article link
12. "Markov-Switching Quantile Autoregression: A Gibbs Sampling Approach" (with Richard Luger) Studies in Nonlinear Dynamics and Econometrics, 2018, 22(2): 1-33 Article link
11. "How is the Taylor Rule Distributed Under Endogenous Monetary Regimes?" International Review of Finance, 2018, 18(2): 305-316 Article link .
In 2017 -
10. "Unfolded Risk-Return Trade-Offs and Links to Macroeconomic Dynamics" Journal of Banking and Finance, 2017, 82: 1-19. Article link
9. "Foreign Exchange Predictability and Carry Trade: A Decomposition Approach" (with Stanislav Anatolyev, Nikolay Gospodinov, Ibrahim Jamali) Journal of Empirical Finance , 2017, 42: 199-211. Article link
8. "Can Macroeconomic Dynamics Explain the Time Variation of Risk-Return Trade-offs in the U.S. Financial Market?" The Quarterly Review of Economics and Finance, 2017, 66: 275-293. Article link
7. "Measuring Systemic Risk with Regime Switching in Tails" Economic Modelling, 2017, 67: 55-72. Article link
6. "An Integrated Macro-Financial Risk-Based Approach to the Stressed Capital Requirement" Review of Financial Economics, 2017, 34: 86-98. Article link
In 2016 -
5. "Markov Switching Quantile Autoregression" Statistica Neerlandica, 2016, 70(4): 356-395 Article link
4. "A New Approach to Risk-Return Tradeoff Dynamics via Decomposition" (with David Frazier) Journal of Economic Dynamics & Control, 2016, 62: 43-55 Article link
In 2015 -
3. "Unfolded GARCH Models" (with Richard Luger) Journal of Economic Dynamics & Control, 2015, 58: 186-217 Article link
2. "Modeling Time-varying Skewness via Decomposition for Out-of-sample Forecast," International Journal of Forecasting, 2015, 31: 296-311 Article link
Prior to 2015 -
1. "China's Segmented Stock Market: An Application of the Conditional International Capital Asset Pricing Model"
(with Jacobsen, BJ), Emerging Markets Review, 2008, 9(3): 153-173. Article link