Research

Working Papers

• Fixed-k inference for spot R-squared in high-frequency factor models, Single Author. (Submitted)

• Decomposing high-frequency order flow: Commonality and idiosyncratic trade imbalance, with Wenhao Cui. (To be submitted)

• When asynchronicity meets price staleness: Robust estimation of high-frequency covariance, with Wenhao Cui. (R&R at Journal of Business & Economic Statistics)​

• Estimation of volatility functionals with time-varying price staleness, with Qiang Liu, Zhi Liu. (Submitted)

• Bias-corrected realized covariation in the presence of price staleness, with Zhi Liu. (R&R at Journal of Financial Econometrics)

• Forecasting intraday trading volume with periodicity, with #Dahao Tan, Chao Zhang. (R&R at Journal of Banking and Finance)

• Forecasting realized volatility intervals with pooled conformal calibration, with #Jing Li, Yiming Liu, Ziyu Wang. (To be submitted)

• Statistical inference of multivariate price staleness, with Wenjing Liu, Zhi Liu. (Forthcoming in Statistics and Its Interface)

• A nonparametric test for intraday variation in systematic price staleness, with #Yuexi Zhao, Wenjing Liu (Submitted)

• Penalized latent block model for functional data co-clustering, with #Shi Chen, Yiming Liu, Guangren Yang. (Submitted)

• NetVarDE: A variance-stabilized probabilistic framework for network-enhanced single-cell differential expression, with Tianjiao Zhang. (Submitted)

Working in Progress

• On intraday networks, with Wenhao Cui, Zhenggang Wang.

• The leverage effect puzzle revisited: Zeros, with Yu Jiang, Zhi Liu, Mathias Vetter.

• Double machine learning for jump regression, with Wenhao Cui.