Research 研究

Publications

1. Inference for Calendar Effects in Microstructure Noise, with Zhiyuan Zhang.

Journal of Time Series Analysis, 45(6): 931-952, 2024.

2. Functional Volatility Forecasting, with Zhensi Tan, Yinfen Tang and Zhiyuan Zhang.

Journal of Forecasting, 43(8): 3009-3034, 2024.

3. Testing Mean Stationarity of Intraday Volatility Curves, with Torben G. Andersen, Viktor Todorov and Zhiyuan Zhang.

Quantitative Economics, 16(3): 1059-1091, 2025.

4. On-Line Detection of Changes in the Shape of Intraday Volatility Curves, with Torben G. Andersen, Viktor Todorov and Zhiyuan Zhang.

Journal of Econometrics, 252: 106089, 2025.

Working Papers

1. The Intraday Correlation Pattern, with Torben G. Andersen, Viktor Todorov, Zhensi Tan and Zhiyuan Zhang.

2. A Flexible Functional Approach to Volatility Prediction, with Tao Su, Zhensi Tan and Zhiyuan Zhang.

3. Temporal Dependence in Option Microstructure Noise, with Torben G. Andersen, Viktor Todorov, and Zhiyuan Zhang.