2026
- Tests for Principal Eigenvalues and Eigenvectors, with Jianqing Fan, Ningning Xia and Xinghua Zheng, Journal of the American Statistical Association, 2026, published online
2025
- Multiplicative Factor Model for Volatility, with Yi Ding, Robert Engle and Xinghua Zheng, Journal of Econometrics, 249, 2025, 105959
- How to Dominate the Historical Average, with Kai Li, Changlei Lyu and Jialin Yu, Review of Financial Studies, 38(10), 2025, 3086-3116
2024
- Stock Co-Jump Networks, with Yi Ding, Guoli Liu and Xinghua Zheng, Journal of Econometrics, 239(2), 2024, 105420
- Statistical Learning for Individualized Asset Allocation, with Yi Ding and Rui Song, Journal of the American Statistical Association, 119(545), 2024, 639-649
- Mining the Factor Zoo: Estimation of Latent Factor Models with Sufficient Proxies, with Runzhe Wan, Wenbin Lu and Rui Song, Journal of Econometrics, 239(2), 2024, 105386
2023
- Volatility Measurement with Pockets of Extreme Return Persistence, with Torben G. Andersen, Viktor Todorov and Bo Zhou, Journal of Econometrics, 237(2), 2023, 105048
2022
- Volatility of Volatility: Estimation and Tests Based on Noisy High Frequency Data with Jumps, with Guangying Liu and Zhiyuan Zhang, Journal of Econometrics, 229(2), 2022, 422-451
2021
- High Dimensional Minimum Variance Portfolio Estimation under Statistical Factor Models, with Yi Ding and Xinghua Zheng, Journal of Econometrics, 222(1), 2021, 502-515
2020
- High-dimensional Minimum Variance Portfolio Estimation Based on High-frequency Data, with Tony Cai, Jianchang Hu and Xinghua Zheng, Journal of Econometrics, 214(2), 2020, 482-494
2019
- Approaching Mean-Variance Efficiency for Large Portfolios, with Mengmeng Ao and Xinghua Zheng, Review of Financial Studies, 32(7), 2019, 2890-2919
- Estimating the Integrated Volatility with Tick Observations, with Jean Jacod and Xinghua Zheng, Journal of Econometrics, 208(1), 2019, 80-100
2018
- A Unified Approach to Volatility Estimation in the Presence of Both Rounding and Random Market Microstructure Noise, with Zhiyuan Zhang and Yichu Li, Journal of Econometrics, 203(2), 2018, 187-222
2017
- Statistical Properties of Microstructure Noise, Econometrica, 85, 2017, 1133-1174, with Jean Jacod and Xinghua Zheng
2016
- Efficient Estimation of Integrated Volatility Incorporating Trading Information, Journal of Econometrics, 195(1), 2016, 33-50, with Shangyu Xie and Xinghua Zheng
2015
- Rounding Errors and Volatility Estimation, Journal of Financial Econometrics, 13(2), 2015, 478-504, with Per A. Mykland
2014
- Realized Volatility When Sampling Times are Possibly Endogenous, Econometric Theory, 30, 2014, 580-605, with Per Mykland, Eric Renault, Lan Zhang and Xinghua Zheng
2013
- The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency, Journal of Financial Economics, 109, 2013, 224-249, with Yacine Ait-Sahalia and Jianqing Fan
- Volatility Inference in the Presence of Both Endogenous Time and Microstructure Noise, Stochastic Processes and their Applications, 123, 2013, 2696-2727, with Zhiyuan Zhang and Xinghua Zheng
2012
- Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection, Journal of the American Statistical Association, 107(497), 2012, 412-428, with Jianqing Fan and Ke Yu
2011
- On the Estimation of Integrated Covariance Matrices of High Dimensional Diffusion Processes, Annals of Statistics, 39(6), 2011, 3121-3151, with Xinghua Zheng. Supplementary file (PDF)
2009
- Microstructure Noise in the Continuous Case: The Pre-Averaging Approach, Stochastic Processes and their Applications, 119(7), 2009, 2249-2276, with Jean Jacod, Per A. Mykland, Mark Podolskij and Mathias Vetter
2007
- Are Volatility Estimators Robust with Respect to Modeling Assumptions?, Bernoulli, 13(3), 2007, 601-622, with Per A. Mykland
2003
- The Influence Analysis of Parameter Estimation in Linear Errors-in-Variables Modle. Outstanding Undergraduate Thesis, Beijing Normal University (2003)
2002
- On Euler's Constant--Calculating Sums by Integrals. American Mathematical Monthly, Sep. 2002, 845-850
- The Magic of Lottery VS the Power of Mathematics (in Chinese, National First prize in the China Undergraduate Mathematical Contest in Modeling (CUMCM) 2002), with Dejun Luo, Yong Zhang
2001
- Three-Dimensional Reconstruction of a Blood Vessel (in Chinese, National First prize in CUMCM 2001), with Xihan Mu, Yan Li