Research

Working papers

• “Normal approximation for U-statistics with cross-sectional dependence” [PDF]
• “Nonparametric specification tests with cross-sectional dependence” [PDF]
• “High-dimensional covariance estimation with structural information” [PDF]
• “Should We Augment Large Covariance Matrix Estimation with Auxiliary Network Information?”, with Shuyi Ge, Shaoran Li, Oliver Linton and Wen Su. [PDF]
• “Conformal prediction for interval outcomes”, with Aureo de Paula and Elie Tamer.

Work in progress

• “Nonlinear beta tests in asset returns”, with Oliver Linton.
• “Uniform law of large numbers and bootstrap for U-statistics with cross-sectional dependence”
• “Valid inference for regression models with many covariates and multi-way clustering”, with Cheuk Ng.