In July 2022, I’ll be starting a new full-time position as a Financial Economist & Policy Adviser in the Research Department at the Federal Reserve Bank of Atlanta

My Google Scholar page is available here

New: Mixed-Frequency Machine Learning: Nowcasting and Backcasting Weekly Initial Claims with Daily Internet Search Volume Data, with Daniel Borup and Eric Christian Montes Schütte [International Journal of Forecasting, forthcoming | SSRN link]

New: Asset Pricing: Time-Series Predictability [open access], with Guofu Zhou [Oxford Research Encyclopedia of Economics and Finance, June 20, 2022 | SSRN link]

New: Forecasting: Theory and Practice [open access], with 79 co-authors [International Journal of Forecasting, 2022, 38(3), 705–871 | arXiv link]

Update: short interest index (SII) data for 1973:01–2021:12 from Rapach, Ringgenberg, and Zhou (2016, JFE) [figure | featured in March 12, 2022 MarketWatch column by Mark Hulbert]

Revised working paper: Out-of-Sample Exchange Rate Prediction: A Machine Learning Perspective, with Ilias Filippou, Mark Taylor, and Guofu Zhou [SSRN link]

New: Anomalies and the Expected Market Return, with Xi Dong, Yan Li, and Guofu Zhou [Journal of Finance, 2022, 77(1), 639–681 | SSRN link]

Revised working paper: Expected Stock Returns and Firm Characteristics: E-LASSO, Assessment, and Implications, with Yufeng Han, Ai He, and Guofu Zhou [SSRN link]

New working paper: Boosting Cryptocurrency Return Prediction, with Ilias Filippou and Christoffer Thimsen [SSRN link]

Revised working paper: Sparse Macro Factors, with Guofu Zhou [SSRN link | data for new sparse macro three-factor model]

New: Time-Series and Cross-Sectional Stock Return Forecasting: New Machine Learning Methods, Chapter 1 in Machine Learning for Asset Management: New Developments and Financial Applications (Edited by Emmanuel Jurczenko), with Guofu Zhou

Revised working paper: Bayesian Estimation of Macro-Finance DSGE Models with Stochastic Volatility, with Fei Tan [revise & resubmit to the Journal of Applied Econometrics | SSRN link]