“Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts Based on Inference on the Boundary.” (With Timo Dimitriadis, and Julie Schnaitmann.) Journal of Financial Econometrics. Forthcoming.

“On Fiscal and Monetary Policy-Induced Macroeconomic Volatility Dynamics.” Journal of Economic Dynamics and Control. June 2021.

“Forecasting Short-Run Exchange Rate Volatility with Monetary Fundamentals: A GARCH-MIDAS Approach” (with You Yu.) Journal of Banking and Finance. July 2020.

“On Tail Fatness of Macroeconomic Dynamics.” Journal of Macroeconomics. December 2019.

“Quantile-Based Asymmetric Dynamics of Real GDP Growth.” Macroeconomic Dynamics. March 2019.

“How is the Taylor Rule Distributed under Endogenous Monetary Regimes?” International Review of Finance. June 2018.

“Markov-Switching Quantile Autoregression: A Gibbs Sampling Approach.” (With Richard Luger.) Studies in Nonlinear Dynamics and Econometrics. April 2018.

“Structural Volatility Impulse Response Function and Asymptotic Inference.” Journal of Financial Econometrics. March 2018.

“Measuring Systemic Risk with Regime Switching in Tails.” Economic Modelling. December 2017.

“Unfolded Risk-Return Trade-Offs and Links to Macroeconomic Dynamics” Journal of Banking and Finance. September 2017.

“Foreign Exchange Predictability and Carry Trade: A Decomposition Approach.” (With Stanislav Anatolyev, Nikolay Gospodinov, and Ibrahim Jamali.) Journal of Empirical Finance. June 2017.

“Markov-Switching Quantile Autoregression.” Statistica Neerlandica. November 2016.

“A New Approach to Risk-Return Tradeoff Dynamics via Decomposition.” (With David Frazier.) Journal of Economic Dynamics & Control. January 2016.

“Unfolded GARCH Models.” (With Richard Luger.) Journal of Economic Dynamics & Control. September 2015.

“Modeling Time-varying Skewness via Decomposition for Out-of-sample Forecast.” International Journal of Forecasting. April-June 2015.