Department of Finance
Hong Kong University of Science and Technology
“Inflation Bets on the Long Bond,” with Harrison Hong and David Sraer, Review of Financial Studies, 2017.
“Discussion of ‘The Impact of Policy Initiatives on Credit Spreads during the 2007-09 Financial Crisis’,” International Journal of Central Banking, 2013.
“The Chinese Warrants Bubble,” with Wei Xiong, American Economic Review, 2011. Cited in the Scientific Background of the Nobel Prize in Economic Sciences, 2013.
“Disagreement and Return Predictability of Stock Portfolios,” Journal of Financial Economics, 2011.
“Gone Fishin’: Seasonality in Trading Activity and Asset Prices,” with Harrison Hong, Journal of Financial Markets, 2009.
“High Frequency Market Microstructure Noise Estimates and Liquidity Measures,” with Yacine Aït-Sahalia, Annals of Applied Statistics, 2009.
“Firms as Buyers of Last Resort,” with Harrison Hong and Jiang Wang, Journal of Financial Economics, 2008.
“Simple Forecasts and Paradigm Shifts,” with Harrison Hong and Jeremy Stein, Journal of Finance, 2007.
“Comment on ‘China's Exchange Rate Regime: The Long and Short of It’,” in China’s Financial Transition at a Crossroads, Columbia University Press, 2007.
“Closed-Form Likelihood Approximation and Estimation of Jump-Diffusions with an Application to the Realignment Risk of the Chinese Yuan,” Journal of Econometrics, 2007.
“Saddlepoint Approximations for Continuous-Time Markov Processes,” with Yacine Aït-Sahalia, Journal of Econometrics, 2006.
“Lack-of-Recall and Centralized Monetary Trade,” with Ted Temzelides, International Economic Review, 2004.