Research

Working Papers

Papers are available upon request.

1. “New Approaches to Predictor Selection in High-dimensional Predictive Regression Models Using Multiple Testing and Lasso” [Job Market Paper 1] 

2. “Machine Learning and Forecast Encompassing Principle in High Dimensional Predictive Models of Growth-at-Risk and Growth-Shortfalls” [Job Market Paper 2]

3. “Another Comprehensive Look at the Empirical Performance of Equity Premium Prediction in Quantiles” (with Yan Ge and TH Lee)

4. “Forecast Encompassing and Granger Causality in Predictive Expectile Regression Models” (with Yan Ge and TH Lee)

5. “Forecast Encompassing and Granger Causality in Predictive Modal Regressions” (with TH Lee)

6. “Combining Volatility Forecast Models by the Bregman Function” (with TH Lee)

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


Work in Progress

1. “Forecast Encompassing Test for Granger Causality in Autoregressive Conditional Duration Models” (with TH Lee)

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

3. “Specification of Predictive Models of Skewness/Kurtosis Preferences and the Valuation of Risk Assets (with Tae-Hwy Lee and He Wang)