Research

Publications

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

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

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

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

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

Journal of Econometrics, 252: 106089, 2025.

Working Papers

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

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

3. Inference for the Covariance of Option Observation Errors, joint with Torben G. Andersen, Viktor Todorov, and Zhiyuan Zhang.