Papers by years

”#” marks supervised postgraduate students

Working papers

  • Economic Forecasts Using Many Noises,” with Yuan Liao, Xinjie Ma, and Andreas Neuhierl, 2023.

  • On LASSO for High Dimensional Predictive Regression,” with #Ziwei Mei, 2024. R&R.

  • Implicit Nickell Bias in Panel Local Projection,” with #Ziwei Mei and Liugang Sheng, 2023. [code]

  • The Boosted HP Filter Is More General Than You Might Think,” with #Ziwei Mei and Peter C.B. Phillips, 2024. R&R. [code]

  • Forecast Combination in Cryptocurrency Realized Volatility,” with Yue Qiu, Yifan Wang and Tian Xie, 2023.

  • “Nickell Meets Stambaugh: A Tale of Two Biases,” with #Chengwang Liao and #Ziwei Mei, 2024.

  • “Unveiling Dynamics in Climate Disaster Information Dissemination: A Variance Decomposition Network Approach,” with Sebastien Box-Couillard, Yichun Fan, Yi Huang, Yilan Xu, and Siqi Zheng, 2024

  • “Team Persistent or Team Transitory? Sectoral Linkage and Inflation Persistence,” with Liugang Sheng and Steve Pak Yeung Wu, 2024.

  • “Estimating Large Covariance Matrices with Unobserved Clustering,” with Wenxin Huang, Yiru Wang and Baoning Zheng, 2024.

  • “Asset Prices and China’s Inflation Forecast: Based on Individual Stock Return and Machine Learning Algorithm,” with Naijing Huang, Yuqing Qi and Jie Liu, 2022.

  • “A Structural Network Pairwise Regression Model with Unobservable Heterogeneity,” with Xi Chen and #Yapeng Zheng, 2023.