Selected Publications: 

1. Financialization and Commodity Markets Serial Dependence (with Zhi Da, Ke Tang, and Liyan Yang)

Management Science, 2024, Vol. 70 (4), 2122-2143.

• • Supplementary Materials: SSRN version | Commodity Index Exposure (06-18) | Replication Package.

  • Media coverage: 2019 ABFER Research Digest

2. A Time-Varying Network for Cryptocurrencies (with Li Guo and Wolfgang K. Härdle)

Journal of Business & Economic Statistics, 2024, Vol. 42 (2), 437-456.

• Supplementary Materials: SSRN version | Online Supplement | Matlab Codes.

3. Regression-Adjusted Estimation of Quantile Treatment Effects under Covariate-Adaptive Randomizations 

(with Liang Jiang, Peter C.B. Phillips, and Yichong Zhang)

Journal of Econometrics, 2023, Vol. 234 (2), 758-776. 

• Supplementary Materials: SSRN version | Online Supplement | Matlab Codes.

4. Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour (with Peter C.B. Phillips and Jun Yu)

Journal of Econometrics, 2019, Vol. 209 (2), 208-237. 

1. • Supplementary Materials: SSRN version | Online Supplement | Matlab Codes.