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Published Papers

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Review of Financial Studies

Winter 2021

Finance

Learning about the Neighborhood

Zhenyu GaoMichael SockinWei Xiong

Review of Financial Studies

Winter 2021

Review of Financial Studies

Winter 2021

Finance

The Whack-a-Mole Game: Tobin Taxes and Trading Frenzy

Jinghan CaiJibao HeWenxi JiangWei Xiong

Review of Financial Studies

Winter 2021

Journal of Economic Dynamics and Control

November 2017

Finance

A Hybrid Spline-Based Parametric Model for the Yield Curve

Adriano FariaCaio Almeida

Journal of Economic Dynamics and Control

November 2017

Annals of Statistics

June 2021

Finance

A shrinkage principle for heavy-tailed data: High-dimensional robust low-rank matrix recovery

Jianqing Fan Weichen WangZiwei Zhu

Annals of Statistics

June 2021

The Geneva Risk and Insurance Review

September 2021

Finance

The Evolution from Life Insurance to Financial Engineering

Ralph S. J. KoijenMotohiro Yogo

The Geneva Risk and Insurance Review

September 2021

Review of Financial Studies

September 2021

Finance

Where Has All the Data Gone?

Maryam FarboodiAdrien MatrayLaura Veldkamp

Review of Financial Studies

September 2021

Econometrica

Forthcoming

Macroeconomics

Low Interest Rates, Market Power, and Productivity Growth

Econometrica

Forthcoming

Journal of Machine Learning Research

August 2021

Finance

Hoeffding’s Inequality for Markov Chains and its Applications to Statistical Learning

Jianqing FanBai Jiang Qiang Sun

Journal of Machine Learning Research

August 2021

Review of Financial Studies

August 2021

Finance

A Theory of Liquidity Spillover between Bond and CDS Markets

Review of Financial Studies

August 2021

Econometrica

July 2021

Econometrics

Generalized Local-to-Unity Models

Econometrica

July 2021

Journal of Financial Economics

June 2021

Finance

Issuance overpricing of China’s corporate debt securities

Yi DingWei XiongJinfan Zhang

Journal of Financial Economics

June 2021

Brookings Papers on Economic Activity

July 2021

Finance

Initial impacts of the pandemic on consumer behavior: Evidence from linked income, spending, and savings data

Natalie Cox Peter GanongPascal NoelJoseph VavraDiana FarrellFiona Greig...

Brookings Papers on Economic Activity

July 2021

American Economic Review

June 2021

Finance

Feedbacks: Financial Markets and Economic Activity

Markus BrunnermeierDarius PaliaKarthik A. SastryChristopher A. Sims

American Economic Review

June 2021

Journal of Econometrics

May 2021

Finance

Augmented factor models with applications to validating market risk factors and forecasting bond risk premia

Jianqing FanYuan KebYuan Liao

Journal of Econometrics

May 2021

Quantitative Economics

May 2021

Econometrics

Linear Regression with Many Controls of Limited Explanatory Power

Chenchuan (Mark) LiUlrich K. Müller

Quantitative Economics

May 2021

Review of Financial Studies

May 2021

Finance

Contractual Restrictions and Debt Traps

Ernest LiuBenjamin N. Roth

Review of Financial Studies

May 2021

Journal of Financial Economics

May 2021

Finance

Pricing of Index Options in Incomplete Markets

Caio AlmeidaGustavo Freire

Journal of Financial Economics

May 2021

Journal of Econometrics

May 2021

Econometrics

Closed-form Implied Volatility Surfaces for Stochastic Volatility Models with Jumps

Yacine Ait-SahaliaChenxu LiChen Xu Li

Journal of Econometrics

May 2021

Journal of Financial Economics

April 2021

Finance

Inspecting the Mechanism of Quantitative Easing in the Euro Area

Ralph S. J. KoijenFrancois KoulischerBenoît NguyenMotohiro Yogo

Journal of Financial Economics

April 2021

Journal of the American Statistical Association

March 2021

The interplay of demographic variables and social distancing scores in deep prediction of U.S. COVID-19 cases

Francesca TangJianqing Fan

Journal of the American Statistical Association

March 2021