Asterisk (*) denotes the corresponding author. Hash (#) denotes co-first authorship (in alphabetical order) .
Asterisk (*) denotes the corresponding author. Hash (#) denotes co-first authorship (in alphabetical order) .
Jilin Wu, Ruike Wu#, Zhijie Xiao. (2025+). A Nonparametric Test for Instantaneous Causality with Time-varying Variances. Econometric Theory. Online.
Ruike Wu, Shuping Shi, Jilin Wu. (2024+). Quantile Analysis for Financial Bubble Detection and Surveillance. Journal of Time Series Analysis. Online.
Qingliang Fan, Ruike Wu#, Yanrong Yang, Wei Zhong. (2024). Time-varying minimum variance portfolio. Journal of Econometrics, 239(2), 105339.
Earlier version. Official Website. PDF. Code.
Jilin Wu, Ruike Wu, Zhijie Xiao. (2024+). Robust Tests for Changing Volatility. Statistica Sinica. Online.
张振环, 吴吉林, 吴睿珂. (2023). 厚尾数据的波动率结构变化检验及应用研究. 统计研究, 40(11): 136-147.
Ruike Wu, Yanrong Yang, Hanlin Shang, Huanjun Zhu. Uncertainty Learning for High-dimensional Mean-variance Portfolio, Major Revision. Journal of Econometrics.
Jilin Wu, Ruike Wu*, Zhijie Xiao. Adaptive LAD-based Bootstrap Unit Root Tests under Unconditional Heterokskedasticity, Major Revision. Journal of Business and Economic Statistics.
Qingliang Fan, Ruike Wu*, Yanrong Yang. Shocks-adaptive Robust Minimum Variance Portfolio for a Large Universe of Assets, Major Revision. Journal of Econometrics.
吴睿珂, 吴吉林. 基于实时泡沫监测技术的中国股市投资决策研究, 修改中, 计量经济学报. 英文版本工作论文.
Jilin Wu, Ruike Wu, Zhijie Xiao, Mengxi Zhang. A robust nonparametric test for structural changes in multivariate volatility.