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. Intraday Correlation Patterns, 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 Observation Errors at High Frequencies, with Torben G. Andersen, Viktor Todorov, and Zhiyuan Zhang.