Distinguished Professor of Business Economics
- PhD, Zhejiang University, 2008
- 2018—2024: Professor, University of York, UK
- 2016—2017: Reader, University of York, UK
- 2013—2016: Lecturer, University of York, UK
- 2012—2013: Senior Research Fellow, Monash University, Australia
- 2011—2011: Research Fellow, Monash University, Australia
- 2008—2010: Research Associate, University of Adelaide, Australia
- 2023: Leverhulme Research Fellowship, The Leverhulme Trust
- 2011: Discovery Early Career Researcher Award, Australian Research Council
- Statistics and Financial Econometrics (BECO7010)
- Functional Data Analysis
- High-Dimensional Econometrics & Statistics
- High-Frequency Financial Econometrics
- Network Modeling
- Nonparametric & Semiparametric Econometrics
- Panel Data Econometrics
- Robust Statistics
- Time Series Analysis
- Nonparametric estimation of large spot volatility matrices for high-frequency financial data (with R. Bu, O. Linton and H. Wang). Forthcoming in Econometric Theory (2024+).
- Detection and estimation of structural breaks in high-dimensional functional time series (with R. Li and H. Shang). Forthcoming in Annals of Statistics (2024+).
- Estimating time-varying networks for high-dimensional time series (with J. Chen, Y. Li and O. Linton). Forthcoming in Journal of Econometrics (2024+).
- Functional-coefficient quantile regression for panel data with latent group structure . Journal of Business & Economic Statistics 42 (2024), 1026-1040 (with X. Yang, J. Chen and R. Li).
- Dimension reduction and rotated MARS . Journal of Machine Learning Research 24 (309) (2023), 1-30 (with Y. Liu and Y. Xia).
- Detection of multiple structural breaks in large covariance matrices. Journal of Business and Economic Statistics 41 (2023), 846-861 (with Y. Li and P. Fryzlewicz).
- Nonstationary fractionally integrated functional time series . Bernoulli 29 (2023), 1505-1526 (with P. M. Robinson and H. Shang).
- Robust nonlinear regression estimation in null recurrent time series. Journal of Econometrics 224 (2021), 416-438 (with F. Bravo and D. Tjøstheim).
- Local whittle estimation of long range dependence for functional time series. Journal of Time Series Analysis 42 (2021), 685-695 (with P. M. Robinson and H. Shang).
- Nonparametric estimation of large covariance matrices with conditional sparsity. Journal of Econometrics 223 (2021), 53-72 (with H. Wang, B. Peng and C. Leng).
- Nonparametric estimation of conditional quantile regression with mixed discrete and continuous data. Journal of Business & Economic Statistics 39 (2021), 741-756 (with Q. Li and Z. Li).
- Long-range dependent curve time series. Journal of the American Statistical Association 115 (2020), 957-971 (with P. M. Robinson and H. Shang).
- Kernel-based inference in time-varying coefficient cointegrating regression. Journal of Econometrics 215 (2020), 607-632 (with P.C.B. Phillips and J. Gao).
- Nonparametric estimation of conditional quantile functions in the presence of irrelevant covariates. Journal of Econometrics 212 (2019), 433-450 (with X. Chen, Q. Li and Z. Li).
- A new semiparametric estimation approach of large dynamic covariance matrices with multiple conditioning variables. Journal of Econometrics 212 (2019), 155-176 (with J. Chen and O. Linton).
- Semiparametric ultra-high dimensional model averaging of nonlinear dynamic time series. Journal of the American Statistical Association 113 (2018), 919-932 (with J. Chen, O. Linton and Z. Lu).
- Nonparametric estimation and forecasting of time-varying coefficient realized volatility models. Journal of Business and Economic Statistics 36 (2018), 88-100 (with X. B. Chen, J. Gao and P. Silvapulle).
- Estimating smooth structural change in cointegration models. Journal of Econometrics 196 (2017), 180-195 (with P. C. B. Phillips and J. Gao).
- Panel data models with interactive fixed effects and multiple structural breaks. Journal of the American Statistical Association 111 (2016), 1804-1819 (with J. Qian and L. Su).
- Estimation in nonlinear regression with Harris recurrent Markov chains. Annals of Statistics 44 (2016), 1957-1987 (with D. Tjøstheim and J. Gao).
- Semiparametric dynamic portfolio choice with multiple conditioning variables. Journal of Econometrics 194 (2016), 309-318 (with J. Chen, O. Linton and Z. Lu).
- Uniform consistency of nonstationary kernel-weighted sample covariances for nonparametric regression. Econometric Theory 32 (2016), 655-685 (with P. C. B. Phillips and J. Gao).
- Local composite quantile regression smoothing for Harris recurrent Markov processes. Journal of Econometrics 194 (2016), 44-56 (with R. Li).
- Model selection and structure specification in ultra-high dimensional generalised semi-varying coefficient models. Annals of Statistics 43 (2015), 2676-2705 (with Y. Ke and W. Zhang).
- Uniform consistency for nonparametric estimators in null recurrent time series. Econometric Theory 31 (2015), 911-952 (with J. Gao, S. Kanaya and D. Tjostheim).
- Semiparametric GEE analysis of partially linear single-index models for longitudinal data. Annals of Statistics 43 (2015), 1682-1715 (with J. Chen, H. Liang and S. Wang).
- Estimation in generalised varying-coefficient models with unspecified link functions. Journal of Econometrics 187 (2015), 238-255 (with W. Zhang and Y. Xia).
- A flexible semiparametric forecasting model for time series. Journal of Econometrics 187 (2015), 345-357 (with O. Linton and Z. Lu).
- Estimation in partially single-index panel data models with fixed effects. Journal of Business and Economic Statistics 31 (2013), 315-330 (with J. Chen and J. Gao).
- Local linear fitting under near epoch dependence: uniform consistency with convergence rate. Econometric Theory 28 (2012), 935-958 (with Z. Lu and O. Linton).
- A new diagnostic test for cross-section uncorrelatedness in nonparametric panel data models. Econometric Theory 28 (2012), 1144-1163 (with J. Chen and J. Gao).
- Semiparametric trending regression in panel data models with cross-sectional dependence. Journal of Econometrics 171 (2012), 71-85 (with J. Chen and J. Gao).
- Estimation in semiparametric regression with nonstationary regressors. Bernoulli 18 (2012), 678-702 (with J. Chen and J. Gao).
- Co-Editor of Econometric Theory (2024-)
- Associate Editor of Journal of Time Series Analysis (2021-)
- Associate Editor of Econometrics & Statistics (2015-)
- Associate Editor of Econometric Theory (2021-2024)