Publication
Work in Progress
- A New Conditional Independence Test for Dependent Data (with T.-M. Huang, 2024+)
- A Generalized Spectral Screening and Supervised Boosting Principal Component Regression (with Y.-T. Chen, 2024+)
- Out-of-sample Dynamic Equity Premium Forecasts: To Target or Not To Target ? (with Y.-T. Chen & K. Vincent, 2024+)
- Model Averaging Prediction for Persistent Predictive Regression (2024+)
- Model Averaging for Predictive Quantile Regression with Persistent Covariates (2024+)
- VaR-VAR Decompositions of Stock Returns (with I.-H.E. Chiang, 2022+)
Working Paper/Manuscript
- An Unified Misspecification-robust Debiased Learning Framework for High-dimensional Dependent Time Series (with T.-M. Huang, 2023)
- Optimal Model Averaging for Ultra-high Dimensional Generalized Quantile Regression with Diverging Covariates (with Y.-T. Chen, 2023)
- A Functional Stochastic Volatility Correlated Jump Model with Application to High-frequency Financial Data (with T.-M. Huang, 2021)
- On Minimax Rates of Convergence for Mixing Dependent 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)
Technical Report
- An Information-theoretic Estimator under Conditional Moment Restrictions with unknown Functions
- A Nonparametric Likelihood-based Blockwise Bootstrapping GMM Inference for Possibly Nonstationary and Stationary Time Series Data
- A Semiparametric Instrumental-Variable Unit Root Test with a Known Change Point
- Uniform Convergence Rates of Multivariate Functional Delta Method for High-dimensional Time Series