Publications

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. Boosted p-Values for High-Dimensional Vector Autoregression. Working paper, 2022.

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. Local Composite Quantile Regression for Regression Discontinuity. Journal of Business & Economic Statistics, vol. 40, pp. 1863-1875, 2022.

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. Towards Profitability: A Profit-sensitive Multinomial Logistic Regression for Credit Scoring in Peer-to-peer Lending. Proceedings of the Future Technologies Conference 2022, vol. 1, pp. 696-718, 2022.

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. Lassoed Boosting and Linear Prediction in Equities Market. Working paper, 2021.

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. Local Composite Quantile Regression Smoothing: A Flexible Data Structure and Cross-validation. Econometric Theory, vol. 37, pp. 613-631, 2021.

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. Does health behavior change after diagnosis?. Working paper, 2021.

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. Functional-coefficient Regression Models for Panel Data under Cross-sectional Dependence. Working paper, 2018.

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. Leverage and Asymmetric Volatility: The Firm-Level Evidence. Journal of Empirical Finance, vol. 38, pp. 1-21, 2016.

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. Dynamic Panels, Cross Sectional Correlation, and Arbitrage in Equities Market. Working paper, 2016.

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. Quasi-maximum Likelihood Estimation of Multivariate Diffusions. Studies in Nonlinear Dynamics & Econometrics, vol. 17, pp. 179-197, 2013.

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. Nonparametric Estimation in Large Panels with Cross Sectional Dependence. Econometric Reviews, vol. 32, pp. 754-777, 2012.

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. Quasi-maximum Likelihood Estimation of Discretely Observed Diffusions. The Econometrics Journal, vol. 14, pp. 241-256, 2011.

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. Estimation of Multivariate Jump-Diffusions with Strong Approximations. Working paper, 2010.

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. Panel Vector Autoregression under Cross-Sectional Dependence. The Econometrics Journal, vol. 11, pp. 219-243, 2008.

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. Finite Sample Properties of FGLS Estimator for Random-Effects Model under Non-normality. Contributions to Economic Analysis, vol. 274, pp. 67-89, 2006.

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