1. Giraitis, L., Li, Y., and Phillips, P. C. (2024). Robust inference on correlation under general heterogeneity. Journal of Econometrics, 240(1), 105691. (paper link)
   
   
   

1.  Unlocking Regression Space (with Liudas Giraitis, George Kapetanios, and Alexia Ventouri), accepted by Econometric Theory . (Pre-print)

2. Partial Time-varying Regression Modelling under General Heterogeneity (with Liudas Giraitis, George Kapetanios, and Tien Chuong Nguyen), submitted to Journal of Time Series Analysis (R&R). (Pre-print) 

3. Are Intraday Returns Autocorrelated?  (with Liudas Giraitis and Genaro Sucarrat).  

(Pre-print) 

4. Augmented Dynamic Regression (with Liudas Giraitis, George Kapetanios, and Edward Hill).

5. Model Selection under Structural Change (with Liudas Giraitis).