JerryC Research

Publication

A New Look at Equity Premium Forecasts (2025)
Good Beta, Bad Beta, and Beyond: A Robust Beta Decomposition (2025)
New Test for Conditional Independence with High-dimensional Dependent Data (with T.-M. Huang, 2025)
A Signal-to-noise-based Adaptive Lasso (2025)
Optimal Model Averaging for Ultra-high Dimensional Quantile Regression with Diverging Covariates (2023)
A Functional Stochastic Volatility Correlated Jump Model with an Application to High-frequency Financial Data (with T.-M. Huang, 2021)
On Minimax Rates of Convergence for Functional Time Series Regressions (with T.-M. Huang, 2021)
A Self-normalized Large Deviation for Poisson Randomly-indexed Branching Processes (2020)
On Self-normalized Central Limit Theorems for Compound Poisson Processes under Infinite Variances (with L.-C. Chen, 2019)

Projected Model Averaging for High-dimensional Dependent Data
Local Projection Averaging Estimator
De-correlating and Debiased Inference for High-dimensional Time-Series Predictive Regressions (with T.-M. Huang)
Optimal Model Averaging for Predictive Quantile Regression with Highly-Persistent Covariates
A Simple Value-at-risk Decomposition for Stock Returns using High-order Expansions (with Ethan Chiang)

A Nonparametric Likelihood-based Blockwise Bootstrapping Inference for Possibly Nonstationary Dependent Data
A Nonparametric IV Unit Root Test with a Known Change Point
Uniform Convergence Rate for Multivariate Functional Delta Method