Drafts are available upon request.
1. “Combining Nested Value-at-Risk Forecast Models” (with Y Ge and TH Lee)
2. “Comparing Predictive Ability of Expectile Regression Models” (with TH Lee)
3. “Granger Causality Test in Predictive Conditional Modal Regressions” (with TH Lee)
4. “Forecast Encompassing and Granger Causality in Predictive Models of Expected Shortfalls and Growth Shortfalls” [Job Market Paper]
5. “Granger Causality Test of Elicitable Functionals of Conditional Distribution Using Logarithmic Scores by Encompassing Principle”
6. “Evaluation of Density Forecasts Using the Continuous Ranked Probability Score by Encompassing Principle”
7. “Higher Order Elicitability and Forecast Encompassing for Volatility Forecasts by Bregman Functions”