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. 

Other Refereed Publications: 

(* = Postgraduate Student)

1. Trend-based Forecast of Cryptocurrency Returns (with Xilong Tan*) 

Economic Modelling, 2023, Vol. 124, 106323.

• Supplementary Materials: SSRN version | Replication Package.

2. Model Selection for Explosive Models (with Jun Yu)

Advances in Econometrics (Essays in Honour of Cheng Hsiao), 2020, Vol. 41, 73-103. 

• Supplementary Materials: SSRN version | Matlab Codes.

3. Limit Theory for Moderate Deviation from Integrated GARCH Processes, 

Statistics & Probability Letters, 2019, Vol. 150, 126-136. arXiv version. 

Working Papers:

(* = Postgraduate Student)

1. Joint News, Attention Spillover, and Market Returns (with Li Guo, Lin Peng, and Jun Tu, May 2024.)

Review of Financial Studies, revising for resubmission.

1. • FBR2017 Best Young Scholar Paper Award, circulated under the title "Media Network and Return Predictability."

   • Supplementary Materials: Replication Package.

2. Political Uncertainty and Commodity Markets (with Kewei Hou, Ke Tang, and Bohui Zhang, May 2024.) 

   • Supplementary Materials: Replication Package.

3. Modeling Trading Volume (with Zilin Chen, Tarun Chordia, Amit Goyal, and Dashan Huang.) New draft is coming soon.

• Supplementary Materials: Replication Package.

4. Consistent Inference for Long-horizon Predictive Regression (with Zhijie Luo*.) New draft is coming soon.

   • Supplementary Materials: Matlab Codes.