Publications

News-Implied Linkages and Local Risk Spillovers in the Equity Market (Job Market Paper)[link] Journal of Econometrics

Dynamic Peer Groups of Arbitrage Characteristics (with Shaoran Li and Oliver Linton)[link] Journal of Business & Economic Statistics

A Revisit to Sovereign Risk Contagion in Eurozone with Mutual Exciting Regime-Switching Model (solo author) [new version] Journal of Economic Dynamics and Control

Diamond Cuts Diamond: News Co-mention Momentum Spillover Prevails in China,Journal of Banking and Finance (with Shaoran Li and Hanyu Zheng) [link]

First Discussion Meeting on Statistical Aspects of the Covid-19 Pandemic (with Shaoran Li and Oliver Linton)，Journal of the Royal Statistical Society:Series A (Statistics in Society)

Working Papers

Dual Industry Effects and Cross-Stock Predictability (with Doron Avramov, Shaoran Li, Oliver Linton) [link], Revise and Resubmit,  Journal of Financial Economics. Previously circulated as “Do Peer Characteristics Explain Returns? An Aggregation Approach” and “Decoding Cross-Predictability: Peer Strength vs. Peer-Firm Disparities”

Should We Augment Large Covariance matrix Estimation with Auxiliary Network Information?  (with Shaoran Li, Oliver Linton, Weiguang Liu and Wen Su), Revise and Resubmit,  Journal of Econometrics

A Tale of Two News-implied Linkages: Information Structure, Processing Costs  and Cross-firm predictability (with Shaoran Li and Hanyu Zheng) [link]