"On multiple structural breaks in distribution: An empirical characteristic function approach,” with Z. Fu, and X. Wang,
Econometric Theory, forthcoming.
"A score statistic for testing the presence of a stochastic trend in conditional variances,” with O. Linton, B. McCabe,
and J. Sun, Economics Letter, forthcoming.
"Probabilistic and deterministic wind speed forecasting based on non-parametric approaches and wind characteristics
information," with J. Heng, J. Hu, and S. Wang, Applied Energy, 306 (2022), 118029.
"Forecasting crude oil price intervals and return volatility via autoregressive conditional interval models," with Y. He,
A. Han, Y. Sun and S. Wang, Econometric Review, 40.6 (2021), 584-606.
"Policy assessments for the carbon emission flows and sustainability of Bitcoin blockchain operation in China," with
S. Jiang, Y. Li, Q. Lu, D. Guan, Y. Xiong and S. Wang, Nature Communications 12, 1938 (2021). https://doi.org/10.1038/s41467-021-22256-3
"Solving Euler equations via two-stage nonparametric penalized splines," with L. Cui and Y. Li, Journal of Econometrics 222.2 (2021), 1024–1056.
"Time-varying model averaging," with T. Lee, Y. Sun, S. Wang and X. Zhang, Journal of Econometrics 222.2, (2021), 974–992.
"A model-free consistent test for structural change in regression possibly with endogeneity," with Z. Fu, Journal of Econometrics 211 (2019), 206-242.
"Asymmetric pass-through of oil prices to gasoline prices with interval time series modelling," with Y. Sun, X. Zhang and S. Wang, Energy Economics 78 (2019), 165-173.
"Out-of-sample forecasts of China's economic growth and inflation using rolling weighted least squares," with Y. Sun and S. Wang, Journal of Management Science and Engineering, 4.1 (2019), 1-11.
"Econometric modeling and economic forecasting," with Z. Cai and S. Wang, Journal of Management Science and Engineering, 3.4 (2019), 179-182.
"Nowcasting China's GDP using a Bayesian approach," with Y. Zhang, C. Yu and H. Li, Journal of Management Science and Engineering 3 (2018), 232-258.
"Advance in theoretical econometrics—Essays in honor of Takeshi Amemiya," with Z. Cai and C. Hsiao, Journal of Econometrics 206 (2018), 279-281.
"Econometric modeling and economic forecasting," with Z. Cai and S. Wang, Journal of Management Science and Engineering 3 (2018), 179-182.
"Threshold autoregressive models for interval-valued time series data," with Y. Sun, A. Han, and S. Wang, Journal of Econometrics 206 (2018), 414-446.
"Characteristic function-based testing for conditional independence via a nonparametric regression approach," with
X. Wang, Econometric Theory 34 (2018), 815-849.
"Testing strict stationarity with applications to macroeconomic time series," with X. Wang and S. Wang, International Economic Review 58 (2017), 1227-1277.
"A general approach to testing volatility models in time series," with Y. J. Lee, Journal of Management Science and Engineering 2 (2017), 1-33.
"An efficient integrated nonparametric entropy estimator of serial dependence," with X. Wang, W. Zhang and S. Wang,
Econometric Reviews 36 (2017), 728–780.
"Do China's high-speed-rail projects promote local economy? New evidence from a panel data approach," with X. Ke, H. Chen and C. Hsiao, China Economic Review 44 (2017), 203-226.
"A vector autoregressive moving average model for interval-valued time series data," with A. Han, S. Wang and X. Yun,
Advances in Econometrics 36 (2016), edited by R. Hill, G. Gonzalez-Rivera and T. Lee, pp.417-460.
"Analysis of crisis impact on crude oil prices: A new approach with interval time series modeling," with W. Yang, A. Han and S. Wang, Quantitative Finance 16 (2016), 1917-1928.
"Detecting for smooth structural changes in GARCH models," with B. Chen, Econometric Theory 32 (2016), 740-791.
"Impact of the new health care reform on hospital expenditures in China: A case study from a pilot city," with J. Yang and S. Ma, China Economic Review 39 (2016), 1-14.
"Time-varying Granger causality tests for applications in global crude oil markets," with F. Lu, S. Wang, K. Lai and J. Liu,
Energy Economics. 42 (2014), 289-298.
"A unified approach to validating univariate and multivariate conditional distribution models in time series," with
B. Chen, Journal of Econometrics 178 (2014), 22-44.
"A loss function approach to model specification testing and its relative efficiency," with Y. Lee, Annals of Statistics 41 (2013), 1166-1203.
"How smooth is price discovery? Evidence from cross-listed stock trading," with H. Chen and P.M. Choi, Journal of International Money and Finance 32 (2013), 668-699.
"Productivity spillovers among linked sectors," with L. Peng, China Economic Review 25 (2013), 44-61.
"Testing for smooth structural changes in time series models via nonparametric regression," with B. Chen,
Econometrica 80 (2012), 1157-1183.
"Testing for the Markov property in time series," with B. Chen, Econometric Theory 28 (2012), 130-178.
"Are corporate bond market returns predictable?" with H. Lin and C. Wu, Journal of Banking and Finance 36 (2012), 2216-2232.
"Testing the structure of conditional correlations in multivariate GARCH models: A generalized cross-spectrum approach," with N. McCloud, International Economic Review 52 (2011), 991-1037.
"Generalized spectral testing for multivariate continuous-time models," with B. Chen, Journal of Econometrics 164 (2011), 268-293.
"Detecting misspecifications in autoregressive conditional duration models and non-negative time-series processes," with Y.-J. Lee, Journal of Time Series Analysis 32 (2011), 1-32.
"Characteristic function-based testing for multifactor continuous-time Markov models via nonparametric regression," with B. Chen, Econometric Theory 26 (2010), 1115-1179.
"Modeling the dynamics of Chinese spot interest rates," with H. Lin and S. Wang, Journal of Banking and Finance 34 (2010), 1047-1061.
"Granger causality in risk and detection of extreme risk spillover between financial markets," with Y. Liu and S. Wang,
Journal of Econometrics 150 (2009), 271–287.
"Central limit theorems for generalized U-statistics with applications in nonparametric specification," with J. Gao, Journal of Nonparametric Statistics 20 (2008), 61-76.
"Interval time series analysis with an application to the Sterling-Dollar exchange rate," with A. Han, K. K. Lai and
S. Wang, Journal of Systems Science and Complexity 21 (2008), 558-573.
"An empirical study on information spillover effects between the Chinese copper futures market and spot market," with X. Liu, S. Cheng, S. Wang and Y. Li, Physica A 387 (2008), 899-914.
"Serial correlation and serial dependence," The New Palgrave Dictionary in Economics, 2008, 2nd Edition, ed. Steven Durlauf.
"Model-free evaluation of directional predictability in foreign exchange markets," with J. Chung, Journal of Applied Econometrics 22 (2007), 855-889.
"Asymmetries in stock returns: Statistical tests and economic evaluation," with J. Tu and G. Zhuo, Review of Financial Studies 20 (2007), 1547-1581.
"Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates," with H. Li and F. Zhao, Journal of Econometrics 141 (2007), 736-776.
"An improved generalized spectral test for time series models with conditional heteroskedasticity of unknown form," with Y. Lee, Econometric Theory 23 (2007), 106-154.
"Validating forecasts of the joint probability density of bond yields: Can affine term structure models beat random walk?" with A. Egorov and H. Li, Journal of Econometrics 135 (2006), 255-284.
"Asymptotic distribution theory for nonparametric entropy measures of serial dependence," with H. White, Econometrica 73 (2005), 837-901.
"Generalized spectral testing for conditional mean models in time series with conditional heteroskedasticity of unknown form," with Y. Lee, Review of Economic Studies 72 (2005), 499-541.
"Nonparametric specification testing for continuous-time models with applications to spot interest rates," with H. Li,
Review of Financial Studies 18 (2005), 37-84.
"Wavelet-Based testing for serial correlation of unknown form in panel models," with C. Kao, Econometrica 72 (2004), 1519-1563.
"Out-of-sample performance of discrete-time short-term interest models," with H. Li and F. Zhao, Journal of Business and Economic Statistics 22 (2004), 457-473.
"Inference on predictability of exchange rates via generalized spectrum and nonlinear time series models," with
T. H. Lee, Review of Economics and Statistics, 85 (2003), 1048-1062.
"Diagnostic checking for the adequacy of nonlinear time series models," with T.H. Lee, Econometric Theory 19 (2003), 1065-1121.
"Nonparametric methods if continuous-time finance: A selective review," with Z. Cai, in Recent Advances and Trends in Nonparametric Statistics, (eds.) M. Akritas and D. Politis, Elsevier: New York, 2003, pp. 283-302.
"Testing for independence between two stationary time series via the empirical characteristic function," Annals of Economics and Finance 2 (2001), 123-164.
"One-sided testing for ARCH effects using wavelets," with J. Lee, Econometric Theory 17 (2001), 1051-1081.
"A test for volatility spillover with application to exchange rates," Journal of Econometrics 103 (2001), 183-224.
"Testing serial correlation of unknown form via wavelet methods," with J. Lee, Econometric Theory 17 (2001), 386-423.
"Modeling the impact of overnight surprises on intra-daily stock returns," with G. Gallo and T.-H. Lee, Proceedings for Business and Economic Statistics (2001), American Statistical Association.
"Generalized spectral tests for serial dependence," Journal of the Royal Statistical Society, Series B (Statistical Methodology) 62 (2000), 557-574.
"Hypothesis testing in time series via the empirical characteristic function: A generalized spectral density approach,"
Journal of the American Statistical Association 94 (1999), 1201-1220.
"M-testing using finite and infinite dimensional parameter estimators," with H. White, in Cointegration, Causality, and Forecasting: A Festschrift in Honour of Clive W. J. Granger, (eds.) R. F. Engle and H. White, London: Oxford University Press, 1999, pp.326-365.
"A new test for ARCH effects and its finite-sample performance," with R. Shehadeh, Journal of Business and Economic Statistics 17 (1999), 91-108.
"Testing for pairwise serial independence via the empirical distribution function," Journal of the Royal Statistical Society Series B (Statistical Methodology) 60 (1998), 429-453.
"One-sided testing for autoregressive conditional heteroskedasticity in time series models," Journal of Time Series Analysis 18 (1997), 253-277.
"Testing for independence between two covariance stationary time series," Biometrika 83 (1996), 615-625.
"Consistent testing for serial correlation of unknown form," Econometrica 64 (1996), 837-864.
"Consistent specification testing via nonparametric series regressions," with H. White, Econometrica 63 (1995), 1133-1159.
"China's evolving managerial labor market," with T. Groves, J. McMillan and B. Naughton, Journal of Political Economy 103 (1995), 873-892.
"Productivity growth in Chinese state-run industry," with T. Groves, J. McMillan and B. Naughton, in Studies on China's State-owned Enterprise System Reforms, (eds.) F. Dong, Z. Tang and H. Du, Beijing: People's Press, 1995.
"Autonomy and incentives in Chinese state enterprises," with T. Groves, J. McMillan and B. Naughton, Quarterly Journal of Economics CIX (1994), 183-203.