Research

Preprint versions of the publications and selected working papers are openly accessible on my SSRN/official webpage.

Publications

Journal of Financial Markets (2020) Article 100511

Economics Letters (2020) Article 109174

Journal of Time Series Analysis (2020) 42(2):244-266

Journal of Financial Econometrics (2021), 19(1):128-177

Journal of Economic Dynamics and Control (2021) Article 104077

Journal of Banking & Finance (2022) Article 106420

Journal of Time Series Analysis (2024) 45(2):214-247

British Accounting Review (2024) Article 101325

Working Papers

R&R, Journal of Econometrics

R&R, Journal of Econometrics

R&R, Journal of Econometrics


Work-in-progress

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)