JerryC Research

Publication

Can Investor Attention Drive Market Return? (with W.-I Chuang & M.-Y. Liu, 2025)
A New Look at Equity Premium Forecasts (2025)
New Test for Conditional Independence with High-dimensional Dependent Data (with T.-M. Huang, 2025)
A Signal-to-noise-based Adaptive Lasso (2024)
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)

Good Beta, Bad Beta, and Beyond: A New Robust Beta Decomposition (with W.-I Chuang & M.-Y. Liu)
Projected Model Averaging for High-dimensional Multiple-horizon Predictive Regressions
De-correlating and Debiased Inference for High-dimensional Time Series (with T.-M. Huang)
Optimal Model Averaging for Predictive Quantile Regression with Highly Persistent Covariates (with T.-M. Huang)
XDDML
A Simple Value-at-risk Decomposition for Stock Return using High-order Expansions (with I.-H. 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