Uniform Inference on High-dimensional Spatial Panel Networks, with Chernozhukov V and Wang W. arXiv preprint arXiv: 2105.07424. [Accepted by Journal of Business & Economic Statistics]
Arellano-Bond LASSO Estimator for Dynamic Linear Panel Models, with Chernozhukov V, Fernández-Val I and Wang W. arXiv preprint arXiv: 2402.00584. [R&R at Quantitative Economics] (CRAN package)
Uniform Inference for Generalized Random Forests, with Härdle WK and Khowaja K. DOI: 10.2139/ssrn.4079006. [Submitted]
How Does Post-Earnings Announcement Sentiment Affect Firms’ Dynamics? New Evidence from Causal Machine Learning, with Audrino F, Chassot J, Knaus M, Lechner M and Ortega JP, Journal of Financial Econometrics, 2024, 22(3): 575-604. DOI: 10.1093/jjfinec/nbac018.
LASSO-Driven Inference in Time and Space, with Chernozhukov V, Härdle WK and Wang W, Annals of Statistics, 2021, 49(3): 1702-1735. DOI: 10.1214/20-AOS2019.
Spatial Functional Principal Component Analysis with Applications to Brain Image Data, with Li Y and Härdle WK, Journal of Multivariate Analysis, 2019, 170: 263-274. DOI: 10.1016/j.jmva.2018.11.004.
Flexible HAR Model for Realized Volatility, with Audrino F and Okhrin O, Studies in Nonlinear Dynamics & Econometrics, 2019, 23(3). DOI: 10.1515/snde-2017-0080.
Multivariate Factorizable Expectile Regression with Application to fMRI Data, with Chao SK and Härdle WK. Computational Statistics & Data Analysis, 2018, 121: 1-19. DOI: 10.1016/j.csda.2017.12.001.
Discussion on "Of quantiles and expectiles: consistent scoring functions, Choquet representations and forecast rankings" by Ehm, Gneiting, Jordan and Krüger, with Härdle WK, Journal of the Royal Statistical Society: Series B Statistical Methodology, 2016, 78(3): 545. DOI: 10.1111/rssb.12154.
Factorisable Sparse Tail Event Curves with Expectiles, with Härdle WK and Chao SK. Oberwolfach Report No. 12/2016: New Developments in Functional and Highly Multivariate Statistical Methodology: 592-595. DOI: 10.4171/OWR/2016/12.