Research
Risk Analytics
Asymptotics for Expectile Estimators of Stationary Processes (2024), joint with Wang Yifu, Wentao Hu and Wei-Biao Wu Under Review
Cross-exchange Crypto Risk: A High-frequency Dynamic Network Perspective (2024), joint with Wanbo Lu, Yifu Wang, Min-Bin Lin and Wolfgang Karl Härdle, International Review of Financial Analysis 94: 103246
Financial Risk Meter based on Expectiles (2022), joint with Meng-Jou Lu, Yingxing Li and Wolfgang Karl Härdle, Journal of Multivariate Analysis 189: 1-16
Financial Risk Meter for Cryptocurrencies and Tail-Risk Network Based Portfolio Construction (2022), joint with Michael Althof and Wolfgang Karl Härdle, The Singapore Economic Review 2022: 1-27
Sentiment and Behavior
Investor Opinion Formation and the Distribution of Stock Returns (2023), joint with Maria Osipenko
Peer effects and Club Selections of a Unique Online Fishing Game (2022), joint with Francis de Véricourt, Weining Wang and Ya Qian
An Innovative Sentiment Analysis to Measure Herd Behavior (2020), joint with Desheng Wu, IEEE Transactions on Systems, Man, and Cybernetics: Systems 50(10): 3841-3851
Forecasting Stock Market Movement Direction using Sentiment Analysis and Support Vector Machine (2019), joint with Desheng Wu and Tianxiang Liu, IEEE Systems Journal 13(1): 760-770
Portfolio Analysis
A Network View on a Portfolio Risk Decomposition (2024), joint with Wolfgang Karl Härdle, Zijin Wang and Wei-Biao Wu Under Revision in the JBES