Manuscript/Working Paper論文手稿／工作論文
- A Doubly Projected Test for Conditional Independence with High-dimensional Dependent Data (with T.-M. Huang), submitted
- De-correlating and Debiased Inference for High-dimensional and Possibly Nonstationary Time Series (with T.-M. Huang)
- A Simple Efficient Estimator for the Roy's Model
- The Anatomy of Attention: How Investor Attention Reshapes Stock Returns and Asset Pricing (with W.-I Chuang & M.-Y. Liu)
- Good Beta, Bad Beta, and Beyond: The Cross-sectional Pricing of Continuation-Value Risk (with W.-I Chuang & M.-Y. Liu)
- A Sharpe-ratio-assisted Adaptive LASSO (with W.-I Chuang & M.-Y. Liu)
Work in Progress進行中研究
- Do All Frogs Stay in the Pan? (with W.-I Chuang & M.-Y. Liu)
- Model Averaging for Predictive Quantile Regressions with Highly Persistent Predictors (with T.-M. Huang)
- Debiased Transfer Learning for Mixed-root Regressions (with T.-M. Huang)
- A Simple Value-at-Risk Decomposition using High-order Expansions (with I.-H. Ethan Chiang)
Technical Report技術報告
- Another Look at Equity Premium Forecasts (2025)
- AdaBoosting Principle Component Regression with Generalized Spectral Selector (2024)
- A Misspecification-robust Maching Learning Framework for High-dimensional Time Series (2023)
- 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)