Research

Publication

1. Optimal Inference for Spot Regressions (with Tim Bollerslev and Jia Li) [pdf]
   American Economic Review, 114(3), 2024, 678-708.

Working Paper

1. Conformal Prediction for High-frequency Event Studies

Work in Progress

1. Robust Inference for Spot Regressions (with Tim Bollerslev, Jia Li and Ulrich K. Müller)

2. A Robust Test for the Tracking Performance of Leveraged ETFs (with Tim Bollerslev, Jia Li and Ulrich K. Müller)