Selected publications (see CV for complete list):

Working papers

Work in progress & other

  • IVX-Based Panel Predictive Regressions for Stock Returns, With C. Hanck
  • Cross-Sectional Error Dependence in Panel Quantile Regressions, with M. Hosseinkouchak
  • On the use of VAR models with ignored changes in mean and variance, with N. Salish
  • Identification and estimation of dynamic factor models, with J. Breitung
  • Monitoring Value-at-Risk and Expected Shortfall Forecasts, with Y. Hoga
  • Robust Inference in Dynamic Regression Models with Persistent Regressors, with J. Breitung
  • Spurious Long-Range Dependence in Realized Volatilities? A panel examination, with C. Pigorsch and A.I. Tarcolea
  • Long Autoregressions under Asymmetric Loss, with A. Titova
  • Testing the Marginal Normality of Heteroskedastic Series, with R. Kruse
  • Fractional Integration and Cointegration Testing Using the Sample Mean (not working on it anymore)
  • Corrigendum to "Testing predictive regression models with nonstationary regressors" (Zongwu Cai and Yunfei Wang, Journal of Econometrics 178, 4-14)