Research

Publications

  1. 1.

    Specification LASSO and a Flexible Characteristics-Based Asset Pricing Model

    with C. Dong, S. Ge, S. Li

    Journal of Business & Economic Statistics, 2026 [Link]

  2. 2.

    Should We Augment Large Covariance Matrix Estimation by Auxiliary Network Information?

    with S. Ge, S. Li, O. Linton, W. Liu

    Journal of Econometrics, 2026 [Link]

  3. 3.

    Heterogeneous Spatial Factors Pricing Model in the Chinese Stock Market

    with S. Ge, S. Li, X. Li

    Chinese Journal of Econometrics, 2025 [Link]

Working Papers

  1. 1.

    Heterogeneous Spatial Regression Model with Time-varying Spatial Matrices and Applications in Asset Pricing

    with S. Ge, S. Li

    Journal of Business & Economic Statistics, 2026+ — Revise and resubmit. [Link]

  2. 2.

    How Fast Do Signatures Learn? Statistical Theory and Applications for Path Regression

    with B. Horvath, W. Su, B. Wang, R. Zhang

    2026+ — Under review. [Link]

  3. 3.

    Text as Priors

    with S. Ge, S. Li, O. Linton

    2026+ — Under review. [Link]

Industry-Related Research

  1. 1.

    Distance to Default Based on the CEV-KMV Model

    Journal of Risk, 2023 [Link]

  2. 2.

    A Semi-Parametric Equity-CDS Formula for Credit Spread Estimation

    with M. Arnsdorf, B. Horvath, S. Schismenos

    Journal of Credit Risk, 2026+ — Revise and resubmit. [Link]

  3. 3.

    Signature Structural Models and Applications in Credit Markets

    with M. Arnsdorf, B. Horvath, S. Schismenos

    2026+