Publications

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

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

Working Papers
A Revisit to Sovereign Risk Contagion in Eurozone with Mutual Exciting Regime-Switching Model[new version] Revise and Resubmit, Journal of Economic Dynamics and Control
Work in Progress
Measuring Interconnectedness with Noisy Network Data