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)