Research

Working Papers

Papers are available upon request.

1. “Forecast Encompassing and Predictor Selection in High-dimensional Predictive Models”. (with Tae-Hwy Lee) [Job Market Paper]

2. “Higher Order Elicitability and Forecast Encompassing for Volatility Forecasts”. (with Tae-Hwy Lee and Ekaterina Seregina)

3. “Machine Learning and Forecast Encompassing Principle in High Dimensional Predictive Models of Growth-at-Risk and Growth-Shortfalls”. (with Tae-Hwy Lee)

4. “Another Comprehensive Look at the Empirical Performance of Equity Premium Prediction in Quantiles”. (with Tae-Hwy Lee)

5. “Forecast Encompassing and Granger Causality in Predictive Expectile Regression Models”.

6. “Forecast Encompassing and Granger Causality in Predictive Modal Regressions”. (with Tae-Hwy Lee and Tao Wang)

7. “Higher Order Elicitability and Forecast Encompassing in Predictive Models of Expected Shortfalls”. (with Tae-Hwy Lee)

8. “Forecast Encompassing Test for Granger Causality in Predictive Model of Skewness and Kurtosis”. (with Tae-Hwy Lee and He Wang)

9. “Evaluation of Density Forecast Models Using the Continuous Ranked Probability Score by Encompassing Principle”. (with Tae-Hwy Lee and He Wang)

10. “Forecast Encompassing Test for Granger Causality in Autoregressive Conditional Duration Models”. (with Tae-Hwy Lee)