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)