Dr. Liyuan Cui
Solving Euler Equations via Two-Stage Nonparametric Penalized Splines
Journal of Econometrics, 2020
New research proposes a novel estimation-based approach to solving asset pricing models for both stationary and time-varying observations.
Dr. Xu Han
Estimation and Inference of Change Points in High-Dimensional Factor Models
Journal of Econometrics, November 2020
New research highlights the importance of the “structural break,” where factor loading coefficients change over time.
Dr. Yunan Li
Mechanism design with costly verification and limited punishments
Journal of Economic Theory, January 2020
The head of personnel has a job to allocate among a finite number of applicants. How does the principal maximize her expected payoff in such an environment?