### Working Papers:

Factors that Fit the Time-Series and Cross-Section of Stock Returns (with M. Lettau) *Review of Financial Studies, R&R*

Estimating Latent Asset-Pricing Factors (with M. Lettau)

Supplementary Appendix*Journal of Econometrics, R&R*

Change-Point Testing and Estimation for Risk Measures in Time Series (with L. Fan and P. Glynn)

Interpretable Sparse Proximate Factors for Large Dimensions (with R. Xiong) *Journal of Econometrics, Submitted*

State-Varying Factor Models of Large Dimensions (with R. Xiong)*Journal of Econometrics, R&R*

On the Existence of Sure Profits via Flash Strategies (with C. Fontana and E. Platen) *Journal of Applied Probability, Submitted*

Understanding Systematic Risk: A High-Frequency Approach

Supplementary Appendix*Journal of Finance, R&R*

Contingent Convertible Bonds: Pricing, Dilution Costs and Efficient Regulation

### Publications:

Large-Dimensional Factor Modeling Based on High-Frequency Observations

Supplementary Appendix*Journal of Econometrics, forthcoming 2018*

Contingent Capital, Tail Risk, and Debt-Induced Collapse (with N. Chen, P. Glasserman and B. Nouri)

Supplementary Appendix*Review of Financial Studies*, 2017, 30 (11), 3921-3969

Optimal Stock Option Schemes for Managers (with A. Chen)

Review of Managerial Science, 2014, 8(4), 437-464

Pre-doctoral work

New Performance-Vested Stock Option Schemes (with A. Chen and K. Sandmann) *Applied Financial Economics*, 2013, 23(8), 709-727

Pre-doctoral work

### Work in Progress:

**Deep Learning in Asset Pricing **(with L. Chen and J. Zhu)

**Asset Pricing for a Large Number of Assets **(with L. Chen)

**Estimating Treasury Dynamcis using Deep-Learning **(with D. Filipovic, K. Giesecke and Y. Ye)

**Estimating Time-Varying Asset Pricing Factors with Trees **(with Z. Lin and J. Zhu)

**The Forest Through the Trees: Decision Trees in Asset Pricing **(with S. Bryzgalova and J. Zhu)

**The Efficiency of the U.S. Housing Market **(with K. Giesecke, M. Ohlrogge and B. Ramos)

**Machine Learning Estimators for Corporate Default Probabilities **(with K. Giesecke and X. Li)

**Inferential Theory for Partially Observed Factor Models of Large Dimensions **(with R. Xiong)