People and Research Research Insights

Economics

Solving Euler Equations via Two-Stage Nonparametric Penalized Splines
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.

Estimation and Inference of Change Points in High-Dimensional Factor Models
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. 

Mechanism design with costly verification and limited punishments
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?