Forthcoming
Additive nonparametric models with time variable and both stationary and nonstationary Regressors (with C. Dong)
Journal of Econometrics

A Simple and Efficient Estimation Method for Models with Nonignorable Missing Data (with C. Ai and Z. Zheng)
Statistica Sinica

A New Semiparametric Estimation of Large Dynamic Covariance Matrix with Multiple Conditioning Variables (with J. Chen and D. Li)
Journal of Econometrics

Standard Errors for Nonparametric Regression (with B. Chu and D. Jacho-Chavez)
Econometric Reviews

The behaviour of betting and currency markets on the night of the EU referendum (with T. Auld)
International Journal of Forecasting

Estimating the bid ask spread with a simple nonparametric method from the Roll model (with X. Chen, S. Schneeberger, and Y. Yi)
Journal of Econometrics