Work
Publications and Forthcoming Papers
1. Testing for Jumps in Noisy High Frequency Data (with Yacine Ait-Sahalia and Jean Jacod), Matlab Code
Journal of Econometrics, 168, 207-222, 2012
Econometrica, 81, 1673-1693, 2013
3. Volatility Occupation Times (with George Tauchen and Viktor Todorov)
Annals of Statistics, 41, 1865-1891, 2013
4. Estimating the Volatility Occupation Time via Regularized Laplace Inversion (with G. Tauchen and V. Todorov)
Econometric Theory, Vol 32, 2016, 1253-1288
5. Robust Jump Regressions (with G. Tauchen and V. Todorov)
Journal of the American Statistical Association, Theory and Method, Vol 112, 2017, 332-341.
6. Inference Theory on Volatility Functional Dependencies, (with G. Tauchen and V. Todorov)
Journal of Econometrics, Volume 193, 2016, 17-34
7. Generalized Method of Integrated Moments for High-Frequency Data. (with Dacheng Xiu)
Econometrica, Volume 84, 2016, 1613–1633
8. Jump Regressions (with G. Tauchen and V. Todorov)
Econometrica, Vol. 85, No. 1 (January, 2017), 173–195.
9. Mixed-scale Jump Regressions with Bootstrap Inference (with G. Tauchen, V. Todorov and R. Chen)
Journal of Econometrics, Vol 201, 2017, 417-432
10. Adaptive Estimation of Continuous-Time Regression Models using High-Frequency Data (with G. Tauchen and V. Todorov)
Journal of Econometrics, Vol 200, 2017, 36-47
11. Asymptotic Inference for Predictive Accuracy using High Frequency Data (with Andrew Patton)
Journal of Econometrics, Vol 203, 2018, 223-240
12. Volume, Volatility and Public Announcements (with T. Bollerslev and Y. Xue)
Review of Economic Studies, Vol 85, 2018, 2005–2041.
13. Efficient Estimation of Integrated Volatility Functionals via Multi-scale Jackknife (with Y. Liu and D. Xiu),
Annals of Statistics, Vol 47, 2019, 156-176.
14. Rank Tests at Jump Events (with H. Lin, G. Tauchen and V. Todorov)
Journal of Business and Economic Statistics, Vol 37, 2019, 312-321
15. Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale (with D. Xiu)
Journal of Financial Econometrics, 2017. (Invited comment on Professor Jean Jacod’s paper.)
16. Jump Factor Models in Large Cross-Sections (with G. Tauchen and V. Todorov)
Quantitative Economics, Vol 10, 2019, 419-456.
17. Realized Semicovariances (with Tim Bollerslev, Andrew Patton and Rogier Quaedvlieg)
Econometrica, Vol 88(4), 2020, 1515-1551.
18. Uniform Nonparametric Inference for Time Series (with Zhipeng Liao)
Journal of Econometrics, Volume 219, Issue 1, November 2020, Pages 38-51.
STATA Command tssreg. Learn how to use it.
19. Generalized Jump Regressions for Local Moments (with Tim Bollerslev and Leonardo Salim Saker Chaves)
Journal of Business and Economic Statistics, Vol 39, 2021, 1015-1025
20. Uniform Nonparametric Inference for Time Series using Stata (with Z. Liao and M. Gao)
The Stata Journal, Vol 20, 2020, 706-720
21. Efficient Estimation of Integrated Volatility Functionals under General Volatility Dynamics (with Y. Liu)
Econometric Theory, Vol 37,2021,664-707
22. Volatility Coupling (with J. Jacod and Z. Liao)
Annals of Statistics, Vol 49, 2021, 1982-1998
23. Glivenko-Cantelli Theorems for Integrated Functionals of Stochastic Processes (with C. Zhang and Y. Liu)
Annals of Applied Probability, Vol 31, 2021, 1914-1943
24. Fixed-k Inference for Volatility (with T. Bollerslev and Z. Liao)
Quantitative Economics, Vol 12, 2021, 1053-1084
25. A Consistent Specification Test for Dynamic Quantile Models (with P. Horvath, Z. Liao and A. Patton) Online Supplement
Quantitative Economics, Vol 13(1), 2022, 125-151
26. Occupation Density Estimation for Noisy High Frequency Data (with T. Bollerslev and C. Zhang)
Journal of Econometrics, Vol 227, 2022, 189-211
27. Variation and Efficiency of High-Frequency Betas (with G. Tauchen, V. Todorov and C. Zhang)
Journal of Econometrics, Vol 228, 2022, 156-175
28. Conditional Superior Predictive Ability (with Z. Liao and R. Quaedvlieg) Supplemental Appendix
Review of Economic Studies, Vol 89, 2022, 843-875
29. Testing the Dimensionality of Policy Shocks (with V. Todorov and Q. Zhang)
Review of Economics and Statistics, forthcoming.
30. Reading the Candlesticks: An OK Estimator for Volatility (with D. Wang and Q. Zhang)
Review of Economics and Statistics, forthcoming.
31. Conditional Evaluation of Predictive Models: The CSPA Command (with Z. Liao, R. Quaedvlieg and W. Zhou) Stata package.
The Stata Journal, Vol 22, 2022, 924-940
32. Permutation-based Tests for Discontinuities in Event Studies (with F. Bugni and Q. Li)
Quantitative Economics, Vol 14, 2023, 37-70
33. Uniform Nonparametric Inference for Spatially Dependent Panel Data: The xtsnpreg Command (with Z. Liao and W. Zhou) Stata package
The Stata Journal, Vol 23, 2023, 243-264
34. Disagreement in Market Index Options (with G. Salome and G. Tauchen)
Journal of Financial Econometrics, forthcoming.
35. Uniform Nonparametric Inference for Spatially Dependent Panel Data (with Z. Liao and W. Zhou)
Journal of Business and Economic Statistics, forthcoming
36. Optimal Inference for Spot Regressions (with Tim Bollerslev and Yuexuan Ren).
American Economic Review, forthcoming.
37. Optimal Nonparametric Range-Based Volatility Estimation (with Tim Bollerslev and Qiyuan Li), SoFiE22 Talk Slides
Journal of Econometrics, forthcoming
Working Papers
38. Learning Before Testing: A Selective Nonparametric Test for Conditional Moment Restrictions (with Z. Liao and W. Zhou)
Review of Economics and Statistics, R&R.
39. Weak Identification of Long Memory with Implications for Inference (with Peter Phillips, Shuping Shi, and Jun Yu).
Review of Financial Studies, R&R.
40. A General Test for Functional Inequalities (with Zhipeng Liao and Wenyu Zhou).
Journal of Econometrics, R&R.
China Investor Sentiment Index
Measuring China’s Stock Market Sentiment (with Y. Chen, Y. Shen, J. Wang, Z. Huang)
… describes the construction and empirical properties of China Investor Sentiment Index (CISI)