Research

1. Social media, financial reporting opacity, and return comovement: Evidence from Seeking Alpha (with Rong Ding and Hang Zhou)

Journal of Financial Markets (2020) Article 100511

2. Nearly Unbiased Estimation of Sample Skewness

Economics Letters (2020) Article 109174 [MATLAB Code][Corrigendum]

3. A Simple Nearly Unbiased Estimator of Cross-Covariances (with Yao Rao)

Journal of Time Series Analysis (2020) 42(2):244-266  [MATLAB Code]

4. A Descriptive Study of High-Frequency Trade and Quote Option Data (with Torben Andersen, Ilya Archakov, Leon Grund, Nikolaus Hautsch, Sergey Nasekin, Ingmar Nolte, Manh Cuon Pham, Stephen Taylor, Viktor Torodov)

Journal of Financial Econometrics (2021), 19(1):128-177 [Web appendix]

5. High-Frequency Volatility Modelling: a Markov-Switching Autoregressive Conditional Intensity Model (with Ingmar Nolte and Sandra Nolte)

Journal of Economic Dynamics and Control (2021) Article 104077 [Supplement]

6. Weighted Least Squares Realized Covariation Estimation (with Ingmar Nolte, Michalis Vasios, Valeri Voev, Qi Xu)

Journal of Banking & Finance (2022) Article 106420

7. Correcting the bias of the sample cross-covariance estimator 

Journal of Time Series Analysis (2024) 45(2):214-247 [MATLAB Code] [R Code]

8. Disclosure of Investor Relationship Activities and Stock Crash Risk: Evidence from Private In-house Meeting (with Rong Ding, Yuxin Sun, Hang Zhou)

British Accounting Review (2024) Article 101325

9. Parametric Risk-Neutral Density Estimation via Finite Lognormal-Weibull Mixtures (with Ingmar Nolte and Manh Cuong Pham)

Journal of Econometrics (2024), 241(2): Article 105748  [Supplement][MATLAB Code]

1. Testing  for Jumps in a Discretely Observed Price Process with Endogenous Sampling Times (with Qiyuan Li, Ingmar Nolte, Sandra Nolte, Shifan Yu)

R&R, Journal of Econometrics

2. Realized Candlestick Wicks (with Ingmar Nolte, Sandra Nolte, Shifan Yu)

R&R, Journal of Econometrics

3. On the Brownian Range and the Brownian Reversal

R&R, Journal of Applied Probability

4. Decoupling Interday and Intraday Volatility Dynamics with Price Durations (with Ingmar Nolte, Sandra Nolte, Shifan Yu)

5. Measuring the Inward Variation of High-Frequency Price Paths (with Ingmar Nolte and Sandra Nolte)

6. A Linear Weight Estimator for Dynamic Global Minimum Variance Portfolio Allocation (with Ekaterina Kazak, Ingmar Nolte, Sandra Nolte)

7. Estimating and forecasting long-horizon dollar return skewness (with Kevin Aretz and Jiayu Jin)

8. Skewness Forecasts and Pricing Implications over Alternative Horizons (with Kevin Aretz and Jiayu Jin)

Statistical Inference based on intraday candlesticks (with Jia Li)

New empirical features of market microstructure noise in high-frequency data (with Zhen (Merrick) Li and Oliver Linton)