Partial Identification of Structural Vector Autoregressions with Non-Centred Stochastic Volatility (with Helmut Lütkepohl, Luis Uzeda, and Tomasz Woźniak), Journal of Econometrics, Vol. 256, 2026 (published online 2025), 106107. [Paper ] [CRAN: bsvars ]
The Effect of Uncertainty on the Sensitivity of the Yield Curve to Monetary Policy Surprises, Journal of Economic Dynamics and Control, Vol. 137, 2022, 104355. [Paper ]
Will Political Connections Influence the Economic Consequences of Securities Companies? (with Xiaoteng Ma and Zhanguang Chen, in Chinese), Review of Investment Studies, Vol. 38, No. 11, 2019, 142–159.
Identification Verification for Structural Vector Autoregressions with Sparse Heterogeneous Markov Switching Heteroskedasticity (with Tomasz Woźniak), Revise & Resubmit, Advances in Econometrics. [arXiv:2603.16035 ]
A Design Concept of Forecasting Software for Normalized Vector Autoregressions with Fat Tails and Stochastic Volatility (with Xiaolei Wang and Tomasz Woźniak), 2026. [arXiv:2608.28087 ] [bvars ]
When Are Monetary Policy Surprises Informative for the Yield Curve? (earlier draft circulated as “Assessing the Time-Varying Relevance of High-Frequency Identification in Proxy Vector Autoregressions”).
Software: Contributor to the R packages bsvars and bvars.