Research

Working Papers

Semiparametrically Optimal Cointegration Test (First Runner-up of Bates-White Prize at 2024  annual SoFiE conference), accepted by Journal of Econometrics <SSRN> <arXiv> <code> 

Real-Time Detection of Local No-Arbitrage Violations (with Torben Andersen and Viktor Todorov) R&R at Quantitative Economics  <SSRN> <arXiv>

Asymptotic Representation of Sequantial Experiments (with Ramon van den Akker and Bas Werker)

Ancillarity and semiparametric efficiency (with Marc Hallin and Bas Werker)

Publications

Hybrid Rank-Based Panel Unit Root Tests (with Ramon van den Akker and Bas Werker) Festschrift in honor of Professor Marc Hallin. <SSRN> 

On bounded completeness and the L-1 denseness of likelihood ratios (with Marc Hallin and Bas Werker) Sankhya A (2023) <arXiv>

Semiparametric testing with highly persistent predictors (with Bas Werker) Journal of Econometrics, 2022, Volume 227, Issue 2, 347-370.  <SSRN> <arXiv> 

Volatility measurement with pockets of extreme return persistence (with Torben Andersen, Yingying Li, and Viktor Todorov) Journal of Econometrics, 2021  <SSRN> 

Semiparametrically point-optimal hybrid rank tests for unit roots  (with Ramon van den Akker and Bas Werker) Annals of Statistics, 2019, 47 (5), 2601–2638.  <SSRN> <arXiv> <code>

Work in Progress

Latent Jumps (with Alexei Kolokolov, Viktor Todorov, and Torben Andersen)

Batched Team Formation (with Yan Xu)

Sequential Detection for LAN/LAMN/LABF models

A component-wise rank approach for nonstandard econometric problems

Level and Volatility Factors in Commodity Prices (with Joseph Byrne, Xiaoshan Chen, and Ryuta Sakemoto)