Research

Publications

A Network View on Portfolio Risk _{^{(joint with Rui Ren, Wolfgang Karl Härdle, Wei Biao Wu, Journal of Business & Economic Statistics, 2026, just-accepted, 1-21, doi: https://doi.org/10.1080/07350015.2026.2634827)}}

Volatility forecasts by clustering: Applications for VaR estimation _{^{(joint with Peimin Chen, Chunchi Wu, Peng Liu, Interrnational Review of Finance and Economics, 2024, Vol.94, doi: https://doi.org/10.1016/j.iref.2024.05.034.)}}

Topology unveiled: A new horizon for economic and financial modeling _{^{(joint with Yicheng Wei, J Watada, Mathematics, 2025, 13(2), 325 doi: https://doi.org/10.3390/math13020325.)}}

Work in Progress

Risk Premia in the Bitcoin Market _{^{(joint with Caio Almeida, Maria Grith, Ratmir Miftachov, working paper, https://arxiv.org/pdf/2410.15195)}}

GEV-based Distance to Default _{^{(joint with Peimin Chen, Chunchi Wu, working paper, 2018)}}

Firms’ environmental performance and stock returns long-term volatility level and connectedness. Evidence from international comparison _{^{(joint with Gianluca Vagnani, Jinhuan Tian, Yan Dong, working paper)}}

Markov Dynamic Correlation _{^{(joint with Gianluca Vagnani, working paper)}}

Regime-Dependent Multi-Task Learning for Risk-Adjust Portfolio _{^{(joint with Junzo Watada, Yicheng Wei, working paper)}}

Top managers involvement in inventive activities, technological knowledge breadth, and firms’performance _{^{(joint with Gianluca Vagnani, Jinhuan Tian, Yan Dong, working paper)}}