The Models and Methods of Financial Econometrics.
Cambridge University Press. January 2019.
ISBN 97811071177154 (hardback), 9781316630334 (paperback), 9781316819302 (ebook)
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Probability, Statistics and Econometrics.
Book published by Academic Press, October 2016. 400pp.
ISBN 9780128104958

The Impact of Corporate QE on Liquidity_ Evidence from the UK (with L. Boneva, D.Elliott, I. Kaminska, B. Morley, and N. McLaren)
Economics Journal

High Dimensional Semiparametric Moment Restriction Models (with C. Dong and J. Gao)
Journal of Econometrics

A ReMeDI for microstructure noise (with Z. Merrick Li)
Econometrica

On Unit Free Assessment of The Extent of Multilateral Distributional Variation (with G.Anderson, G. Pittao, Y. Whang, and R. Zelli)
Econometrics Journal

A unified framework for efficient estimation of general treatment models (with C. Ai, K. Motegi, and Z. Zhang)
Quantitative Economics

Estimation and inference for the counterfactual distribution and quantile functions in continuous treatment models (with C. Ai and Z. Zhang)
Journal of Econometrics

The lower regression function and testing the expectation dependence dominance hypothesis (with Y. Whang and Y. Yen)
Econometric Theory

Nonparametric Euler Equation Identification and Estimation (with A. Lewbel, S.T. Srisuma, S. Hoderlein and J.C. Escanciano)
Econometric Theory

Estimation of the Kronecker Covariance Model by Quadratic Form (with H. Tang)
Econometric Theory

A Unified Framework for Specification Tests of Continuous Treatment Effect Models (with Z. Zhang and W. Huang)
Journal of Business and Economic Statistics

A weighted sieve estimation method for nonparametric time series models with nonstationary variables (with C. Dong and B. Peng)
Journal of Econometrics

When will the COVID-19 pandemic peak (with S. Li)
Journal of Econometrics

Estimation and inference in semiparametric quantile factor model (with S. Ma and J. Gao)
Journal of Econometrics[/su_spoiler]