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Estimating Latent Asset-Pricing Factors (with Martin Lettau, May 2018) 

Interpretable Proximate Factors for Large Dimensions (with Ruoxuan Xiong, May 2018) 

State-Varying Factor Models of Large Dimensions (with Ruoxuan Xiong, March 2018) 

Large-Dimensional Factor Modeling Based on High-Frequency Observations (May 2018)

Supplementary Appendix

Sure Profits via Flash Strategies and the Impossibility of Predictable Jumps  (with Claudio Fontana and Eckhard Platen, January 2018) 

Contingent Capital, Tail Risk, and Debt-Induced Collapse (with Nan Chen, Paul Glasserman and Behzad Nouri, Review of Financial Studies, July 2017) 

Supplementary Appendix

Understanding Systematic Risk: A High-Frequency Approach (January 2017) 

Supplementary Appendix

How Relative Compensation can lead to Herding Behavior (with An Chen, January 2017) 

Contingent Convertible Bonds: Pricing, Dilution Costs and Efficient Regulation (May 2012) 

Optimal Stock Option Schemes for Managers (with An Chen, Review of Managerial Science, June 2013) 

New Performance-Vested Stock Option Schemes (with An Chen and Klaus Sandmann, Applied Financial Economics, January 2013)