My Publications and Working Papers

1. Bayesian inference for dynamic spatial quantile models with interactive effects. with Tomohiro Ando, Jushan Bai and Kunpeng Li.

2. Atlantic Trade and the Decline of Conflict in Europe (with Reshad Ahsan and Laura Panza). Economic Journal, Nov 2024.  A communication piece on VOX. https://doi.org/10.1093/ej/ueae102

3. Identification and forecasting of bull and bear markets using multivariate returns. Journal of Applied Econometrics, 39(5), 723-745 (with John Mahue and Jia Liu)

4. Bull and Bear Markets During the COVID-19 Pandemic, Finance Research Letters, Volume 42, October 2021 (with John Maheu and Thomas McCurdy).

5. Sparse Change-point VAR models, Journal of Applied Econometrics, 2021;1–25.  (with Arnaud Dufays, Zhuo Li and Jeroen Rombouts). https://onlinelibrary.wiley.com/doi/10.1002/jae.2844

6. Corrigendum to "Predictability of stock returns and asset allocation under structural breaks" Journal of Econometrics 164 (2011) 60-78. Journal of Econometrics, 2021 (with Davide Pettenuzzo and Allan Timmermann)

7.  Markov Switching, Oxford Research Encyclopedia of Economics and Finance, 2021 (with Tomasz Wozniak) 

8. Oil Price Shocks and Economic Growth: The Volatility Link, International Journal of Forecasting,  36: 570-587, 2020 (with John Maheu and Qiao Yang)

9. The evolution of Ottoman-European market linkages, 1469-1914: evidence from dynamic factor models, Explorations in Economic History, 71: 112-134, 2019,  (with Zhuo Li and Laura Panza).  Online Appendix

10. Measuring Inflation Expectations Uncertainty Using High-Frequency Data, Journal of Money, Credit and Banking, 50: 1139-1166, 2018. doi:10.1111/jmcb.12498   (with Joshua Chan).

11. Heterogeneous Traders, the Leverage Effect and Volatility of the Chinese P2P Market, Journal of Management Science and Engineering,  3(1): 39-56, 2018. (with Xing Fang, Bo Wang and Lanbiao Liu) 

12. An Efficient Bayesian Approach to Multiple Structural Change in Multivariate Time Series, Journal of Applied Econometrics, 33: 251-270, 2018 (with John Maheu).

13. A Fast Estimation Procedure for Discrete Choice Random Coefficients Demand Model, Applied Economics, 49(58): 5849-5855, 2017 (with Donghyuk Kim and Huaxin Xu).

14. Identifying speculative bubbles with an infinite hidden Markov model, Journal of Financial Econometrics, 14(1): 159-184, 2016 (with Shuping Shi).

15. Modeling Regime Switching and Structural Breaks with an Infinite Hidden Markov Switching Model, Journal of Applied Econometrics, 29:825-842, 2014.

16. A New Structural Break Model, with an Application to Canadian Inflation Forecasting, International Journal of Forecasting, 30(1):144-160, 2014 (with John Maheu).

17. Components of bull and bear markets: bull corrections and bear rallies, Journal of Business and Economic Statistics 30(3):391-403, 2012 (with John Maheu and Tom McCurdy).