JerryC Research

Publication發表論文

A Doubly Projected Test for Conditional Independence with High-dimensional Dependent Data (with T.-M. Huang, 2026), submitted
De-correlating and Debiased Inference for High-dimensional and Possibly Nonstationary Time Series (with T.-M. Huang, 2026), submitted
NOMA: A Prediction-improved Nested Model Averaging (with T.-M. Huang, 2026), submitted
The Anatomy of Attention: How Investor Attention Reshapes Stock Returns and Asset Pricing (with W.-I Chuang & M.-Y. Liu, 2026)
Good Beta, Bad Beta, and Beyond: A New Robust Beta Decomposition (with W.-I Chuang & M.-Y. Liu, 2026)
A Sharpe-ratio-assisted Adaptive LASSO (with T.-M. Huang, 2026)
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 Functional Time Series Regressions (with T.-M. Huang, 2021)
A Self-normalized Large Deviation for Poisson Randomly-indexed Branching Processes (with L.-C. Chen, 2020)
On Self-normalized Central Limit Theorems for Compound Poisson Processes under Infinite Variances (with L.-C. Chen, 2019)

Do All Frogs Stay in the Pan? (with W.-I Chuang & M.-Y. Liu)
Model Averaging for Predictive Linear Regression and Quantile Regression with Highly Persistent Predictors (with T.-M. Huang)
Debiased Transfer Learning for High-dimensional Mixed-root Regressions (with T.-M. Huang)
Nonparametric Local Projection Averaging Estimator
AdaBoosting Principle Component Regression with Generalized Spectral Selector
A Power Enhancement Generalized Predictive Accuracy Test
A Simple Value-at-risk Decomposition for Stock Returns using High-order Expansions (with I.-H. Ethan Chiang)

Another Look at Equity Premium Forecasts (2025)
Optimal Model Averaging for Ultra-high Dimensional Quantile Regression with Diverging Covariates (2022)
Uniform Convergence Rate for Multivariate Functional Delta Method (2020)
A Nonparametric IV Unit Root Test with a Known Change Point (2018)
A Nonparametric Likelihood-based Blockwise Bootstrapping Inference for Possibly Nonstationary Dependent Data (2018)