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

Working Papers

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

Augment large covariance matrix estimation with auxiliary network information (with Oliver Linton, Shaoran Li, Weiguang Liu and Xiang Lu)

Do Peer Characteristics Explain Returns: An Aggregation Approach [link]