Working Papers

Papers are available upon request.

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

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

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

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

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

6. “Combining Volatility Forecast Models by the Bregman Function” (with Tae-Hwy Lee and Ekaterina Seregina)

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

Work in Progress

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